Derivatives
Optimal exercise of callable bonds
Citi quants and structurers present a term-structure model for callable bonds' work
How Citi is handling topsy-turvy rates markets
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
Time to shine: corporate FX’s surprise glow-up
Corporate FX enjoys its time in the sun as currency headwinds spark corporate hedging needs
Pick a lane: Anna DSB to rival CDM coded swaps reporting?
Dual machine-executable rules are set to create choice – and maybe bifurcation – for swaps reporting
Buy-side retreats to ‘dirty’ CSAs amid collateral crunch
Repo market fears prompt insurers and pension funds to revert to bond collateral
BNP Paribas’ CVA capital charge hits record high
Risk-weighted assets for potential drop in value of derivatives instruments reached €6bn in June
Getting the jump on pricing dividend-protected derivatives
Morgan Stanley quants show how to avoid mispricing corporate options and convertible bonds
GFMA proposes disruption settlement framework for FX
Russian ruble close-out pain triggers calls for voluntary multilateral pricing framework
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
‘Are we nearly there yet?’ Banks navigate ESG loan accounting
Lenders ask standards boards for guidance on how rules should be applied
At SEB, CVA charges diverge from Nordic peers
Bank’s credit valuation adjustment RWAs kept rising in Q2
PGIM leans into bought credit options, further boosts Barclays
Counterparty Radar: US mutual funds added $25 billion in net new positions in Q1 with purchased protection rising
Will last look disclosures come to FX derivatives?
JPM and NatWest have published their swaps and options last look windows – will others follow suit?
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
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
FCM client margin for F&O hit all-time high in May
But concentration among top 10 broker-dealers continues to shrink
A new way to calculate conditional expectations
Gaussian distributions can sharpen one of the most commonly used tools in quant finance
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
The final stretch: outstanding issues in non-linear RFR derivatives
Six months on from Libor’s cessation, cash and derivatives markets have adapted quickly to the new multi-rate world. In the US, where selected US dollar Libor tenors will remain in place until mid-2023, SOFR is firmly established as the preferred…
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