Latest Derivatives
PFZW’s payout to pensioners jolts euro swap curve
Dutch retirement fund’s announcement of unexpectedly large indexation takes market by surprise
Bank QIS teams take zero-day options plunge
JP Morgan sees better risk/reward profile for 0DTE-based trend strategies
Three’s a crowd? Eurex and Ice battle CME for €STR trading
Chasing exchanges represent 75% of trading volume, 28% of open interest in first weeks of push
FX HedgePool launches all-to-all FX swaps matching
P2P platform starts daily matching and opens up to banks, hedge funds and ECNs
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures
Talking Heads 2023
Banks are looking to reclaim territory they previously ceded to market-makers and private funds, according to our series of interviews with credit specialists.
Interest rates
Swap dealers look internally to ease SOFR basis headaches
Traders are using their own banking units as a new outlet for reducing SOFR-versus-term SOFR risk
Buy side frets over cost of compulsory repo clearing
As US regulators prepare to mandate clearing, cost of compliance remains a mystery to many
Emmi consults on axing ‘expert judgement’ for Euribor
Level 2.3 inputs extrapolated from term version of €STR will replace internal bank estimates
Traders pin Sonia derivative woes on UK’s local difficulties
Market participants say BoE forecasts and mini-budget help explain RFR products’ lack of liquidity
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
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
US life insurers piled into index options in Q2
Counterparty Radar: Lincoln Financial, Global Atlantic lead expansion; Goldman claims top dealer spot
Electronic trading
JP Morgan pulls plug on deep learning model for FX algos
US bank turns to less complex models that are easier to explain to clients
Crypto ECNs aim to offer alternative to Clobs
CrossX and Cypator bring ECN-style trading and settlement to crypto, but rivals claim infrastructure isn’t ready
SGX’s new FX platform sees increased NDF trading from US firms
Sef exemption opens door to increased US buy-side interest
On-chain FX’s brave new world excites some, worries others
Trading tokenised versions of currencies on blockchain could slash settlement risk but sceptics raise concerns over liquidity and pricing
How repo roll risk could spoil US Treasury basis trade
Financing worries emerge as popular trade becomes increasingly reliant on overnight repo
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Cboe’s new options add diversity and liquidity to the credit market
Building out Eurex’s home of the euro yield curve ambition
Managing Japanese interest rate risk and creating trading opportunities
Beyond Libor: the impact of SOFR on rates, bonds and loans
New developments in XVA: an inside view on bank strategy in a changing world
