Latest Markets
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
Isda pushes to ‘decouple’ Simm calibration from model changes
Emir 3.0 prompts effort to separate risk-weight revisions from methodology updates
Are market-makers better at dealing with central bank intervention?
Lack of pain following BoJ intervention suggests dealers are better at handling event risk
MassMutual adds to mammoth interest rate swaps book
Counterparty Radar: Firm was responsible for 28% of US life insurers’ notional aggregate in Q4 2023
Clear warning on escape hatch for optimisation trades
CCPs fear Emir clearing mandate carve-out for portfolio rebalancing could be abused
Breaking out of the cells: banks’ long goodbye to spreadsheets
Dealers are cutting back on Excel amid tighter regulation and risk concerns
Interest rates
Dealers bullish on upcoming offshore CGB futures relaunch
Better contracts and deeper foreign interest in China bonds set to spur uptake, but launch date unclear
BGC forming consortium to take on CME Group’s rates empire
Banks and PTFs are being offered a stake in FMX, which has CFTC approval to launch a futures exchange
Reluctantly, CME moves to clear US Treasuries
CME Group will seek regulatory approval to clear US Treasuries, chief executive Terry Duffy said today
LDI managers disagree on credit collateralised gilt repo
BlackRock and Schroders execute first trades, but others favour different ways to source liquidity
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
MassMutual adds to mammoth interest rate swaps book
Counterparty Radar: Firm was responsible for 28% of US life insurers’ notional aggregate in Q4 2023
Electronic trading
RMB vol returns as hedge funds take barrier trade profits
Unwinds of exotic positions saw vol jump 72% after surprise PBoC move last week
New trading platform costs weigh on FX dealers
As roughly 75 platforms vie for business, LPs complain of struggle to keep up with connectivity costs
LMAX taps real money clients with Cürex deal
Acquisition aims to offer liquidity providers diverse flows from asset managers
Start-up bond platform OpenYield prepares to launch
Start-up aims to give retail brokers the same electronic liquidity used by the professionals
Who’s winning the €STR futures race? Depends how you measure
CME, Eurex and Ice all claim to be leading, but experts say it’s too early to pick a winner
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Managing Japanese interest rate risk and creating trading opportunities
Beyond Libor: the impact of SOFR on rates, bonds and loans
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