Derivatives
D-day for the rates market: solving the outstanding issues in US Libor transition
The next months will determine how rates markets cope with the death of Libor. With transition efforts approaching D-day, experts discuss the issues facing the market, the progress made so far and the outstanding issues facing the ‘new look’ rates market…
Information geometry of risks and returns
An innovative product design framework and its geometric interpretation is introduced
SVB salvage lands First Citizens with $18bn of FX contracts
Bank now holds seventh-largest stack of non-trading currency derivatives in the US
The case for modularity and interoperability
This report, produced by WatersTechnology and Broadridge, investigates the extent to which firms have optimized their entire trade lifecycles, the structure, challenges and interoperability of their front-office systems, and what they most value when…
Citi becomes top single-name CDS dealer for US life insurers
Counterparty Radar: New York bank bests Barclays as sector contracts by $340 million at the end of 2022
State Street triples repo book to become top US fund dealer
Counterparty Radar: Pimco trades boost Boston bank as sector volumes hold steady in Q4
Hedge funds’ use of barrier options comes under spotlight
Former traders say Glen Point CEO’s arrest highlights compliance gulf between funds and dealers
Citi catapults to top credit options dealer spot for US funds
Counterparty Radar: Market for mutual funds, ETFs continues to shrink in Q4 as Pimco, PGIM further cut exposures
Fidelity, T Rowe add to sold single-stock call positions
Counterparty Radar: US mutual funds, ETFs shed $2.7 billion in options notional during Q4
Calamos grows equity index options book amid put U-turn
Counterparty Radar: US retail funds cut $39.3 billion notional in Q4
Integrating ECL onto a stress-testing platform: portfolio composition
How to grow a portfolio that is internally consistent with a stress scenario
Athene dominates FX forwards market for US life insurers
Counterparty Radar: Morgan Stanley claims top dealer spot in $56 billion sector
BMR grows bought single-name CDS book as market slumps
Counterparty Radar: US retail funds cut $1.5 billion in sold swap positions in Q4
Initial margin requirements for IR swaps hit record $325bn
CME, Eurex and LCH report aggregate 10% rise in month marred by most severe crisis since 2008
Capital Group, BMR double down on bought index CDSs
Counterparty Radar: Market for US mutual funds contracts in Q4 for the first time in eight quarters
US life insurers retained inflation hedges despite CPI drop
Counterparty Radar: John Hancock is biggest user of inflation swaps among US insurers, BNPP the largest dealer
First CAD, yen inflation swaps appear in mutual fund filings
Counterparty Radar: Western Asset slashed inflation bets in Q4 as Empower probes new frontiers
BofA claims top swaptions dealer spot for US life insurers
Counterparty Radar: Sector-wide exposures grew 35% in Q4 2022 on the back of large MetLife trades
Decrypting crypto: understanding the requirements for successful institutional participation
Part 2 of this new white paper series continues to explore the adoption of cryptocurrencies within institutional markets.
US life insurers’ IR swaps usage hits $1.2trn in Q4 2022
Counterparty Radar: MassMutual is largest user of the instrument, finds our new analysis of industry filings
Mitigating margin procyclicality: the effectiveness of anti-procyclicality measures during the Covid-19 stress event
This paper analyzes the effectiveness of APC measures implemented by central counterparties for clearing member and client margins, with effectiveness sensitive to the details of calibration and type of portfolios to which the measure is applied.
Deutsche Bank health check comes back clean
From capitalisation to derivatives, Germany’s top bank displays as robust a prudential profile as its peers
Morgan Stanley scores big with swaption trades
Counterparty Radar: Mutual funds increase pace of transition from USD Libor to SOFR in Q4 2022
ESG strategies special report
This Risk.net special report sponsored by SAS features a series of articles that reflect on the latest initiatives for consistent standardised global frameworks for measuring ESG, consider the methodologies investors are using to make measurable progress…