Indexes
Goldman’s unmatched sold credit protection up 15% in Q3
Written notionals not hedged by buying identical protection on riskiest names jumped 85%
JPM sees upside in blurring lines between QIS and SMAs
Hedge funds are combining their strategies with bank indexes to create new products
UBS embraces ‘narrative alpha’ for new form of sentiment strategy
NLP engine traces how stories spread, instead of counting words
India’s index inclusion could herald future flow shifts
Limited boost to FX flows after Indian govvies debut on JPM index may change as others follow suit
Another post-Libor rate aims to clear Iosco bar
After two rivals were slapped down by the benchmark overseer last year, will Axi fare differently?
Corporate ‘greenium’ reveals effect of ESG rules on returns
Analysis of sustainable products shows how SFDR has caused a shift in investor behaviour, writes economist
CP+ unveiled: accurate, real-time pricing for global credit and rates markets
Bond markets lack transparency, making it difficult for investors to value bonds and compare prices. This can lead to overpaying or missed opportunities. CP+, a real-time pricing tool for bonds, addressees these challenges by offering data on more than…
Vendors lack silver bullet for FRTB’s fund-linked issue
EU and UK legislators tried to ease capital charge by leaning on vendors, but problems persist
JSCC’s initial margin soared as Japan’s stock market hit record high
Higher demand for exchange-traded products pushed requirements up in Q1
Bloomberg to launch T+1 FX fixing
Index arm to offer benchmark for value tomorrow outrights that settle in line with new US securities timeline
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
The race to build hyper-personalised investing
Direct indexing is taking off, but how far can it scale?
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
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
The unknown risk on the flip side of the basis trade
US mutual funds have amassed record notionals in Treasury futures that in some cases exceed their AUM
RBC’s credit derivatives book grows fourfold on market-making push
Notionals of credit protection sold and purchased have ballooned 236% and 382% respectively since October 2022
TMX, CanDeal set to launch risk-free Canadian term rate
Forward-looking version of Corra will take over as official loan benchmark next year
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
Hedge funds turn to exotics for EM carry trades
Traders eye dual digitals to cheapen up carry plays
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