Exchange-traded funds (ETFs)
Citi swaption volumes surge as BlackRock relationship flourishes
Counterparty Radar: Market leader Pimco cuts nearly one-third of book in Q3
Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data
The authors consider conditional and unconditional intraday value-at-risk models for high-frequency exchange-traded funds, providing results useful to practitioners of high-frequency trading.
BlackRock, Pimco slash mutual fund swaptions books
Counterparty Radar: US retail funds retreat from trade as Morgan Stanley becomes top dealer in Q2
BNP Paribas is biggest fish in shrinking repo pond
Counterparty Radar: US retail funds cut their repo exposure in Q2 to the lowest level since 2020
US funds add to single-name CDS positions
Counterparty Radar: Corporate positions exceed SSA contracts for first time on record in Q2
Pimco adds $103bn in fresh receive-fix interest rate swaps
Counterparty Radar: Bond powerhouse moves to lock in high rates in Q2 with one-year swap
Talking Heads 2023: A turf war in credit markets
Banks are looking to reclaim territory they previously ceded to market-makers and private funds
PGIM nearly eliminates credit options book
Counterparty Radar: Pimco also exits space in Q2 as US funds show record low positions in the instrument
Flow Traders bullish about threat from big banks
Talking Heads 2023: Non-bank market-maker remains confident of its edge in small-ticket corporate credit
BNPP back in dealer top three for FX forwards with mutuals
Deutsche Bank, HSBC hit by cuts at Vanguard and Pimco in Q2
Citi is building a central risk book for credit
Talking Heads 2023: Putting CDSs, ETFs and bonds into the same pot will result in better pricing, says credit head Bhatia
FX-style crypto platforms could bridge gap with TradFi
Emergence of execution-only ECNs, prime brokers and clearing houses brings new confidence in crypto
US mutual funds piled into call-selling strategies in Q1
Counterparty Radar: BlackRock, Franklin Templeton and T Rowe Price among the managers who added to single-stock positions
We need to talk about pre-hedging
Dealers claim it’s a vital tool for managing risk. Clients say it’s open to abuse. How should regulators treat the problem child of financial markets?
Evaluating the performance of energy exchange-traded funds
The authors investigate the performance of energy exchange-traded funds between January 2000 and August 2022, finding a relatively high degree of correlation with the performance of US and global equities.
Pimco powers BNP Paribas to top of repo rankings
Counterparty Radar: French dealer grew its repurchase book by 65% in first quarter
Citi’s single-name CDS book with retail funds doubled in Q1
Counterparty Radar: New trades with PGIM totalling $2.4 billion return Citi to top of dealer rankings
US retail funds continue to ditch inflation hedges
Counterparty Radar: Aggregate notional drops 27% in Q1 as Pimco unwinds more swaps
PGIM trades reinforce Citi’s credit options stronghold
Counterparty Radar: US retail funds’ aggregate notional drops to lowest levels since late 2020 in Q1
Pimco returns to sold index CDS growth
Counterparty Radar: Market for US retail funds sheds $5.2 billion in volume in Q1
T+1 in the US to push ETF spreads wider
Settlement mismatch expected to raise creation and redemption costs