Marcus Butt believes diversity of clients, both in size and type, is the best way to manage risk
Counterparty Radar: AB, Lord Abbett, PGIM also report larger books in Q2, as swap activity ramps up
A new solution to calibrate derivatives with multiple strikes is proposed
Can CGBs emulate US Treasuries as initial margin on cross-border derivatives trades?
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 article
Counterparty Radar: AB, Lord Abbett, PGIM also report larger books in Q2, as swap activity ramps upReceive this by email