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.
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
Bitcoin futures ETF loses 9% a year to fees and contango
Cost of rolling futures contracts from one month to another exacerbates ProShares ETF’s losses
Top 5 trends to watch in 2022
1. Individual investor initiative 2. ESG investing 3. Hedging China risk 4. Digitisation and cryptocurrency 5. Futurisation
Lack of incentives slow uptake of deliverable FX clearing
Absence of regulatory drivers and use of prime brokerage curbing demand, say panellists
Bank-run fund derivatives platforms hit records
JP Morgan’s Nexus has seen balances double, while AUM on UBS’s Neo have tripled
US funds pile into LatAm interest rate swaps
Counterparty Radar: Managers still enamoured of non-G10 pairs in Q2, with BRL volumes now up 104% year-to-date
Last look add-on is disappearing. Is that good for the market?
Views diverge on whether removal of additional hold times will benefit FX liquidity consumers
FX prime brokers jockey for buy-side flows as IM phase 6 looms
Banks say concentrating trades through single dealer would ease paperwork logjam for asset managers
No fair: buy side takes on pricing problem in FX forwards
Interest in TCA is growing as new data sources offer glimpse into murky swaps and forwards market
US funds regain their nerve in index CDS market
Counterparty Radar: Pimco, Western AM push protection selling to new high, as buying dips
US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
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
PGIM chops CDS book as others bulk up
Counterparty Radar: The firm’s shrinking single-name book pushed Bank of America and Citi down the rankings
BNP hits top spot for FX options
Counterparty Radar: French bank ousts long-time leader Citi as biggest dealer for mutual funds
Morgan Stanley bests Citi as top forwards shop for US funds
Counterparty Radar: A $30bn boost from Vanguard sends MS to top of Q2 charts
Inflation hedges flat among US funds, while payers surge
Counterparty Radar: Total inflation-receiver positions inched up in Q1, while inflation-paying books leapt 44%
Pimco, Citi top for single-name CDS trades
Counterparty Radar: Top three managers account for 75% of positions – but only Pimco sells protection on the US
Big US managers diverge on CDS sales
Counterparty Radar: Pimco’s sold positions surge 80%, as PGIM and others retreat
How Brexit split Aegon’s euro swaps book
Years-long effort saw trades quietly move to Frankfurt – but firm wants continued access to LCH