Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
Risk.net research finds 28 of 50 large companies now have CSAs – but has the trend run its course?
Pricing vanilla and exotic options with a deep learning approach for PDEs
Sharp narrowing of fallback spreads may have caused up to $2 billion of losses
As funding stresses grew in mid-March, investors liquidated bond holdings in a dash for cash. As a result, asset swap spreads jumped significantly. For instance, the asset swap spread on JP Morgan’s 4.62% bond maturing in May 2021 jumped from 14.37bp on January 17 to a peak of 607bp on March 20, before ending the quarter at 123bpRead the full article