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End ‘senseless’ ban on midpoint trading, asset managers urge
Investors decry European rule that forces them to trade some equities in whole tick sizes
ETF options: the market’s latest credit hedge
Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
Haitong set for warrants wins as China sanctions hit US banks
China securities firm doubles HKEX warrant output as US banks pull listed products on vetoed names
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Quotes
There isn’t anything that really constrains them [the US Financial Stability Oversight Council] from going back to a focus on systemically important non-bank institutions and… the transmission channels
Marc Saidenberg, EY
There’s really no downside to scenario analysis unless it causes you to do something that harms you, and that’s pretty rare
Aaron Brown, formerly of AQR
When you look at the volume on the private bank business [in autocalls] it is a multiple compared to last year. It’s a very, very big shift for investors
Cross-asset sales head at a US bank in Hong Kong
Editor's Choice
The buy side and Libor: it’s decision time
Investors weigh pros and cons of signing newly released Isda fallback protocol, as Libor demise looms
Big Figure
Margin mayhem
Insurers and pension providers in the eurozone likely exacerbated the run on the region’s money market funds (MMFs) in March, as they withdrew cash en masse to cover huge margin calls on derivatives triggered by Covid-induced volatility. Researchers at the European Central Bank found a strong correlation between MMF inflows and outflows and the variation margin payments made to and from insurance corporations and pension funds related to their interest rate and currency derivatives.
Read the full articleRisk management
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
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A step closer to the perfect volatility model
ECB certificates: a ready-made euro safe asset
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