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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
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How do you solve a problem like the lira?
Asset managers diverge in their approach to managing Turkish currency turmoil as FX hedging costs soar
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 articleInvesting
From ‘cottage industry’ to quant-ready: prop data at JP Morgan
Unique information now “table stakes” for brokers as they compete for new clients
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A defence against the next convexity crunch
Hedge funds and the rebound in collateral velocity
Our Take
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