Risk.net
Latest on Derivatives
NatWest’s PB chief on not changing course after Archegos
Marcus Butt believes diversity of clients, both in size and type, is the best way to manage risk
Legg Mason, Western AM jump into surging inflation market
Counterparty Radar: AB, Lord Abbett, PGIM also report larger books in Q2, as swap activity ramps up
Black basket analytics for mid-curves and spread options
A new solution to calibrate derivatives with multiple strikes is proposed
Latest
Quotes
19901 has never been reformed, despite all the IsdaFix stuff. Could it still be manipulated? Yes.
Interdealer broker source
You’ll find all sorts of things happening in prime risk management, from sophisticated to not
Former head of one Wall Street prime brokerage
[A one-way CSA] is not doable in the financial markets anymore – nobody would want to do a swap with you
Tom Meuwissen, general manager of the treasury at NWB Bank
Editor's Choice
From the margins: CGBs vie to join the collateral club
Can CGBs emulate US Treasuries as initial margin on cross-border derivatives trades?
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 articleDerivatives
Legg Mason, Western AM jump into surging inflation market
Counterparty Radar: AB, Lord Abbett, PGIM also report larger books in Q2, as swap activity ramps up
Receive this by email
Comment
A defence against the next convexity crunch
Hedge funds and the rebound in collateral velocity
Our Take
OTC derivatives clearing: no turning back
Could prime of primes go pop?