Swaptions
Berms without calibration
This paper suggests semi-analytical pricing model for Bermudan swaptions based on swap-rate distributions and the correlations between them which does not require product specific calibration.
Barclays hires former Crédit Agricole swaptions head
Samy Ben Aoun joins bank as head of rates trading for Barclays Europe
Yen rates losses from tariff volatility top $1 billion
Pay fixed, curve flattener and vol steepener positions were hit hard as yields swung wildly
Pimco’s $19 billion Sonia swaptions trade
Counterparty Radar: Bond giant springs up as largest player in space among US mutual fund managers, with Guggenheim shadowing its move
‘Trump slump’ hedges rise on rate cut fears
One dealer notes fivefold increase in number of clients hedging against possibility of faster rate cuts
Too ’Berg to fail? What October’s Instant Bloomberg outage means for the industry
The ubiquitous communications platform is vital for traders around the globe, especially in fixed income and exotic derivatives. When it fails, the disruption can be great
Hedge funds pile into euro systematic vol selling
Range-bound rates markets in Europe entice hedge funds to sell short-dated straddle positions
Derivatives trading halved amid CrowdStrike tech outage
With broker screens offline, G3 rates derivatives volumes plunged versus a normal Friday
Rates markets rattled as tech outage hits broker pricing feeds
Dealers widened spreads and pulled live curves after TP Icap’s pricing feeds went offline
Vanguard stages swaptions comeback
Counterparty Radar: Deutsche grew book to $11 billion in Q1 to become largest non-US swaptions dealer to mutual funds
How steepener trades burned hedge funds, and what happened next
Delays to central bank rate cuts torpedo popular trade, causing funds to pull capital – to the chagrin of sell-side desks
Continued decline of the one-stop shop
Dealer Rankings 2024: Only two banks make the top 10 across all rankings tables – others have focused on vertical dominance
Often fluid. Not always liquid
Dealer Rankings 2024: On the buy side and the sell side, the make-up and depth of OTC mini-markets can change rapidly
Clear warning on escape hatch for optimisation trades
CCPs fear Emir clearing mandate carve-out for portfolio rebalancing could be abused
Citi halves swaptions book with US retail funds
Counterparty Radar: Mutual funds and ETFs cut exposures by 22% in Q4
Basel’s cherry-picking toughens IRRBB shock scenarios
European banks want higher outlier thresholds to offset higher confidence level in new standard
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
Mizuho’s life insurance swaptions notional climbs 575% in a year
Counterparty Radar: Prudential, Global Atlantic add substantially to positions in Q3 as market’s notional total grows to $184bn
Citi swaption volumes surge as BlackRock relationship flourishes
Counterparty Radar: Market leader Pimco cuts nearly one-third of book in Q3
Blow-out on ‘dim sum’ bonds fuels boom in offshore rates options
Swaptions on USD/CNH swaps enjoy boost as investors adopt ‘all-you-can-eat’ approach to callables
Dutch pension reforms face political uncertainty
Elections cast doubt on pension funds’ ongoing transition to defined contribution structure