Counterparty Radar
Pimco, Citi top for single-name CDS trades
Counterparty Radar: Top three managers account for 75% of positions – but only Pimco sells protection on the US
Big US managers diverge on CDS sales
Counterparty Radar: Pimco’s sold positions surge 80%, as PGIM and others retreat
FX option selling and weak demand behind vol slide, say traders
EUR/USD vol inches towards pre-Covid lows, but some believe inflation could upset trend
Mixed signals as swap dealers begin quoting ‘SOFR first’
Swaps referencing Libor successor revert to year averages after initial spike on conventions switch
Who’s afraid of the RPI-CPIH judicial review?
RPI trading booming as market ignores legal challenge to the transition
Vanguard, FX forwards kingmaker
Counterparty Radar: How the fund giant influenced banks’ overall forwards fortunes in 2020
Central clearing rates for CDSs hit record high
A volatile 2020 pushed more single- and multi-name contracts to central counterparties
Flexi forwards see rise in corporate interest post-Covid
Treasurers seek flexibility in cashflow hedging as pandemic-related supply chain disruptions bite
Dividend freeze helped keep lid on bank CDS spreads – BIS
But the ban on distributions wrecked bank share prices
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
OTC FX options market gears up for faster electronification
Share of electronic trading remains low but host of factors promise to change that for good
Buy-side physical FX clearing at LCH faces scepticism
Lack of clearing mandate and settlement wrangles mean demand for putative service remains weak
Mutual funds slow to adopt SOFR
Regulatory filings show just 55 trades linked to the rate in the year to September 2020
Majority of EU funds’ CDSs are ‘naked’ exposures
Of more than 4,000 CDS positions assessed by Esma researchers, 71% were uncovered
Euro inflation CCP basis expected as Eurex taps buy side
First crop of Eurex inflation swaps trade flat to LCH, but traders predict four-basis point difference as activity builds