Equities
LCH UK units experience diverging IM requirements
EquityClear and RepoClear drop by half while SwapClear hits record high
Decades of history says you can beat high inflation with quality
Factors such as momentum and value generally outperform the market irrespective of inflation, but new research suggests quality stocks are best when prices are rising rapidly
Investors say new SEC disclosures may sit on shelf
Advisory committee questions value of rule 605 changes, even for retail investors
Euro area funds’ debt securities surged 13% in 2023
Investments vis-a-vis euro area issuers rebound after 2022 slump, driven by bond funds
How China’s equities intervention caused a quant fund quake
Popular leveraged market-neutral trade crumbled after government stepped in to support major indexes in February
Ken Pang set to join Millennium as Asia equities head
Former Credit Suisse markets co-head joins hedge fund’s Hong Kong office
As T+1 looms, non-US firms consider out-of-hours trading
Pruned settlement cycle forces foreign buy-siders to explore automating the FX leg of securities trades
‘Brace, brace’: quants say soft landing is unlikely
Investors should prepare for sticky inflation and volatile asset prices as central banks grapple with turning rates cycle
Clearing members sour further on cash for IM collateral
Sovereign bonds remain preferred choice at top CCPs in Q3
FRTB managers face hard facts about risk factors
There are ways to reduce the capital charges caused by NMRFs, but they come at a price
Firms seek optimisation gains as UMR and SA-CCR bite
A wider range of market participants is taking advantage of service providers such as OSTTRA’s optimisation cycles to drive margin and counterparty credit risk efficiencies across asset classes including FX, rates, equities, commodities and credit
SEC contradicts itself on exchange pricing, say firms
Cboe warns ban on volume-based rebates will not improve pricing for investors
Could excessive regulation make bank stocks uninvestable?
JP Morgan's EMEA CFO says capital requirements will mean banks lose business to non-banks
An empirical study of the contrarian strategy against US equities in the Japanese market
This paper investigates the contrarian strategy against US equities, finding that for samples where the previous day's daily return on the S&P 500 is positive (negative), the next day's intraday returns on Japanese stock-index futures will be the inverse…
US takes scissors to repos. In Europe, it’s not cut and dried
Stateside banks fear disadvantage over haircut rules that EU sees as not ready to implement
People: Finma CEO quits, Citi’s dealmaking promotion, and more
Latest job changes across the industry
US banks reshaped liquidity buffers in Q2
Truist, BofA and US Bancorp lead highly liquid assets pile-up
Industry divided on whether Europe should delay FRTB
Most bankers prefer to keep to earlier start date, even though it puts continent out of sync with US
Industry aims to Fix patchy exchange outage comms
A Fix working group is hoping to standardise the way that venues communicate with the sell side when tech glitches strike
Goldman’s Marquee is a gradual revelation
Multiple apps are being corralled into a sticky cross-asset ecosystem, updated with Python and cloud
Diversification is even better than a free lunch – study
Data back to 1926 shows that spreading bets brings higher returns as well as lower risk
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities
GFXC fosters global awareness of T+1 impact on FX
Risk Live: Many non-US firms yet to realise FX implications of the country’s shift to shorter settlement times