Equities
One man’s trash is another man’s Treasury
With yields at record lows, investors are asking how much protection bonds will offer in a future crisis
Nordic noir: Swedish state pension fund’s outlook is austere
Sweden’s AP1 aims to ditch illiquid assets and target realistic returns with equities
UK and EU regulators diverging on double volume caps
Rule that limits anonymous equities trading to be reviewed in UK, but EC has bigger fish to fry
New HKEX warrant buyers surf vol in unfamiliar waters
While stock volatility is boosting inline warrant turnover, it’s driving bets more suited to wholesale products
Regional US banks outpace giants on loan growth
Banks $3-10 billion grew 19% over Q2
Eurozone funds favoured US equities in Q2
Investment funds also bought up eurozone bank stocks
EU insurers’ fund holdings battered by Covid in Q1
Total asset portfolios declined 6% through Covid shock
BofA becomes first US bank to adopt SA-CCR
Move cut leverage exposure by $66bn, but other banks wary of trade-offs
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
Equity hedges bolstered Axa through Covid crisis
Economic hedges contributed €425 million to H1 income
Eurozone insurers dived back into bonds in Q2
Net purchases of debt securities amounted to €15.1 billion over Q2
SocGen’s VAR jumped 54% in Q2
Credit VAR more than doubled to €43 million
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
Bargain-hunting equity hedgers turn to FX
Currency options are cheap relative to stock index puts, but correlations are uncertain
Funding adjustments in equity linear products
How tax asymmetries and Tobin tax affect the pricing of total return swaps
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Safe havens no longer safe, quants fear
Equity-debt correlation breakdown and negative bond yields make investors nervous
Calculating fair valuations for securities – The underlying complexities of trading fixed income
While some things have changed significantly over the past two decades across the capital markets, others have ostensibly remained the same. Take, for example, the challenge facing capital markets firms when calculating fair valuations for the securities…
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
ABN winds down Ronin books after Vix losses
$200m loss suffered by bank’s clearing business is thought to be mystery second default
Equivalence failure threatens European share trading
UK and EU investors may be forced to trade dozens of shares on less liquid exchanges, analysis shows
Oil price shock triggers big margin calls
Banks and exchanges worked through weekend in anticipation of oil collapse
Equity, Treasury collateral builds up at US G-Sibs
Fair value of equity collateral rises 19% year-on-year