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Latest on Derivatives
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Buy-side traders start to cool on ESG-deficient dealers
Managers adopting ESG metrics in counterparty evaluations may exclude dealers that aren’t up to scratch
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
Latest
Quotes
Bespoke ESG indexes are more difficult to hedge because there is no market in volatility or dividends for those indices
Trading source at one major dealer
People started getting out [of steepeners] and then realised the exit door got smaller because many had similar positions
Thomas Pluta, global head of linear rates trading at JP Morgan
For corporate credit investors, it makes sense to switch some of your bond exposures into CDS
Sean Boland, head of corporate credit at Cheyne Capital
Editor's Choice
Losing their hedge: why so many UK energy suppliers went bust
Hedging strategies were powerless to protect firms from runaway energy price rises
Big Figure
Bond exodus
Liquidity in Treasuries saw a sharp deterioration on February 25, with bid/offer spreads across the whole curve tripling. Belly flies such as 2/5/10s cheapened over 17bp, seven times greater than in a typical session. This had a knock-on effect on off-the-run Treasuries. The head of rates at a US buy-side firm says one popularly traded deep off-the-run 30-year bond that regularly trades two ticks wide blew out to 12-13 ticks wide on February 25.
Read the full articleRisk Management
Top 10 op risk losses for 2021 hog $15bn total
Despite more fraud and crypto crime, firms’ op risk losses fall in number and in volume. Data by ORX News
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A defence against the next convexity crunch
Hedge funds and the rebound in collateral velocity
Our Take
Libor battles aren’t over, but the war is won
Blame to spare in UK energy supplier debacle