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Lack of supply keeps short-end euro rates vol high
Hedge funds and corporates rush to hedge potential rises in euro interest rates – but sellers aren’t there, say traders
Boaz Weinstein picks Ukraine bonds as a tail-risk strategy
Saba Capital bought debt for as little as 20 cents on the dollar, anticipating explosive payoff
JP Morgan appoints new head of derivatives clearing
Richardson promoted to top job as Rustad takes leave of absence
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Risk Quantum
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Derivatives exposures take toll on Japan leverage measure
Leverage ratios at Mizuho, SMFG and SMTH hit multi-year lows
Counterparty Radar
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Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
Pimco triples book as IR swaptions market nearly doubles
Counterparty Radar: Goldman Sachs nets almost all of bond giant’s Q4 growth
Editors' choice
Rate-linked notes trigger ‘pain trade’ for dealers
Negative 2y30y US swap spread sees hedging costs for range accruals soar, fuelling more flattening
Big Figure
Thrice more unto the breach
BNP Paribas notched three value-at-risk backtesting exceptions in the first quarter, leaving it on the cusp of higher capital charges for trading activities. The latest overshoots, recorded in February and March against hypothetical profit and loss, followed a single breach in November, bringing the one-year rolling total to four, the maximum allowed under European Union rules before capital requirements are hiked.
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Investing
Boaz Weinstein picks Ukraine bonds as a tail-risk strategy
Saba Capital bought debt for as little as 20 cents on the dollar, anticipating explosive payoff
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