Derivatives
On any given day, the derivatives market is a busy place. You won’t catch us trying to cover it all. Instead, we’re looking for themes, trends and structural changes that affect the market’s buy-side participants.
Right now, our favourite topics include: Libor reform, structured investments and risk transfer, the search for yield, and new ways of accessing liquidity.
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
Inflation swaps market for US funds comes to standstill
Counterparty Radar: Goldman Sachs moves to top dealer spot for non-cleared trades
BlackRock slashes book as IR swap market volume rises
Counterparty Radar: Pimco’s book surpassed $40 billion in Q2, growing to half of mutual fund space
US mutual funds pulled back from repo market in Q2
Counterparty Radar: Cash borrowing fell to lowest level since 2020; JP Morgan remains top dealer
PGIM grows sovereign-referencing CDS book in falling market
Counterparty Radar: US mutual funds cut $2bn in single-name swaps in Q2, making largest reductions in SSA trades
Pimco dumps credit options as US funds slim holdings
Counterparty Radar: Space shrinks 30% in Q2 following three consecutive quarters of growth
Virtus, FT boosted sold single-stock calls amid Q2 contraction
Counterparty Radar: US mutual fund managers cut $4.3 billion in individual equity options
PGIM increases credit hedges as funds add bought index CDSs
Counterparty Radar: Morgan Stanley added market share, but Goldman stayed top among dealers
Nomura’s swaptions volume jumps in Q2 on Pimco trades
Counterparty Radar: Japanese bank triples size of US mutual funds book despite market contraction
T Rowe, JP Morgan AM defy equity index options retreat
Counterparty Radar: US mutual funds cut $15.4 billion from their books in Q2 2022
HSBC claims top FX forwards spot as US banks fall back
Counterparty Radar: Morgan Stanley slips for first time since Q2 2021 amid wider volume decline
Mutual funds dialled up bullish bets with stock options in Q1
Counterparty Radar: Market contracted by $3.9 billion as US managers decreased sold calls
JP Morgan extends run as top repo dealer to US funds
Counterparty Radar: New data shows wide variation in haircuts, with biggest clients – like BlackRock and Pimco – getting best terms
JP Morgan AM leads US funds in equity index options buildout
Counterparty Radar: S&P 500 puts and calls grow 10% in Q1
US mutual funds retreat from inflation hedges
Counterparty Radar: Volumes down 44% as Pimco slashes positions; Western Asset and JP Morgan buck the trend
Goldman retakes top dealer spot in single-name CDS trades
Counterparty Radar: Pimco, Ice increase market share as volumes decline
Pimco, Western AM buttress sold index CDS positions
Counterparty Radar: US funds grow CDX NA HY positions by $7.2 billion in Q1
Capital Group leads charge in ballooning IR swaps market
Counterparty Radar: US mutual funds flock to G10 currency trades as macro conditions worsen
MSIM cuts third of FX options volume amid market contraction
Counterparty Radar: Manager pares $13bn of USD/RMB trades, deals blow to BNP’s market share
Citi dominates mutual funds’ Q1 swaption expansion
Counterparty Radar: Goldman maintains commanding share of dealer business as space hits new record high
State Street flies high in FX forwards as Goldman, Citi dive
Counterparty Radar: Goldman loses half of market share, drops out of dealer top 10
For corporates, Sora seems to be the hardest word
Singapore is facing challenges adapting to new overnight lending rate, but progress is being made
BlackRock is biggest US fund user of single-stock options
Counterparty Radar: Microsoft was top underlying in latest filings, with notionals also up for Amazon and Meta
US funds piled on index hedges ahead of stock selloff
Counterparty Radar: Filings show managers adding more than $5.5 billion of puts in Q3, setting new high