Volatility
As dispersion hikes in price, equity traders slice and dice
Banks tout alternative versions of relative value vol strategy, including reverse dispersion
Doubts dog equity dispersion as market grows up to five-fold
Some say $500 million vega notional – or more – in popular equity derivatives trades could be dampening volatility
Options market still searching for cause of the Vix plunge
BIS paper blames yield-enhancing structured products, but market participants are unconvinced
RMB vol returns as hedge funds take barrier trade profits
Unwinds of exotic positions saw vol jump 72% after surprise PBoC move last week
Risk Quantum
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BofA, PNC lead Q1 rise in non-performing CRE loans
Commercial real estate write-offs also increased, driven by office loans
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
Citi halves swaptions book with US retail funds
Counterparty Radar: Mutual funds and ETFs cut exposures by 22% in Q4
Isda AGM 2024
Industry calls for major rethink of Basel III rules
Isda AGM: Divergence on implementation suggests rules could be flawed, bankers say
CFTC chair backs easing of G-Sib surcharge in Basel endgame
Isda AGM: Fed’s proposed surcharge changes could hike client clearing cost by 80%
CDS review seeks to tackle conflicts ‘elephant’
Isda AGM: Linklaters proposes overhaul for determinations committee - including independent members
Japanese megabanks shun internal models as FRTB bites
Isda AGM: All in-scope banks opt for standardised approach to market risk; Nomura eyes IMA in 2025
Clearing
Hidden Road ready for rush hour after FCM approval
Prime broker is trading “trillions” of notional with “a few hundred” counterparties in FX and crypto
As FCMs dwindle, regulators fear systemic risk
Panellists highlight dangers of clearing membership becoming more concentrated
Industry pushes to extend review for Emir active accounts rule
Fears that compressed timeframe leaves less than a year to test if controversial policy is working
Vanguard begins clearing NDFs on LCH
Addition of mutual fund giant gives big boost to client-cleared activity on ForexClear
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