Bonds
Growing an institutional footprint in Asia’s ETFs market
Hong Kong Exchanges and Clearing (HKEX) explores the burgeoning impact of institutional investors in Asia’s exchange‑traded funds (ETFs) market – which is demonstrating the potential to establish itself as a global force – with a focus on the rapid…
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
Jump: inside the secretive e-trading giant
Execs at the Chicago prop firm wish the whole world was a Clob, but as bilateral volumes rise, they’ve decided to go with the flow
Korean insurers shun structured notes ahead of IFRS 9
Prospect of earnings volatility blamed as big buyers of notes turn to less exotic assets
Asia embraces intelligent automation
Asia’s adoption of new tools and processes has gained significant momentum, with increased automation now a primary focus for many financial firms. Paul Worthy, head of Japan at Tradeweb, explores how this change has come about, and how firms can use the…
Term versions of RFRs will work – FCA official
Schooling-Latter backs plan to build curve from swaps and futures; others have doubts
Own goal: Mifid II reduces transparency in some EU markets
New rules replace voluntary arrangements in ETFs and Nordic bonds, fragmenting post-trade data
Poor Mifid data could condemn OTC market to the dark
Many derivatives likely to fail first full liquidity test and escape EU transparency obligations
Commerzbank VAR jumps on Italian turmoil
Sovereign bond yield spike hits public finance portfolio
Generali weathers Italian bond turbulence
Solvency II SCR ratio dips to a still lofty 201% in the first half
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
EU trading venues warn over looming end of LEI relief
Expelling issuers with no legal entity identifiers could hurt liquidity and investor strategies
UK bank funding costs spike in Q1 – BoE
Total term debt issuance is around 60% higher this year to date than at the same points in 2016 and 2017
Podcast: Richard Martin on EM debt, copulas, machine learning
Quant sceptical of machine learning algos and black boxes
Emerging market corporate bonds as first-to-default baskets
Modified Merton model offers insights on EM corporate debt
Modelling correlation: from zig-zag to zig-zig
Research is starting to show the stock-bond link in a new light
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
Citi largest counterparty for Templeton currency hedges
Citi accounted for 23% of outstanding forwards at end-March
European investment fund growth slows
Bond fund growth rate falls from 10.6% to 8.2% quarter-on-quarter
Duelling repack platforms find common ground
Standard documentation initiative mulls shared SPV model as founders seek to join rival
Dodge & Cox turns to MBS as Treasury yields rise
Income Fund grows securitised allocations from 36.1% to 39.7%
Reform fails to solve collateral woes in Korea
Korean swaps users wary of collateral reuse, leaving dealers with LCR burden
Libor death threatens to blow hole in hedges
Isda AGM: BlackRock, Fed stress need for fallbacks to marry up across rates universe
Rising rates hit Chubb's portfolio
US insurer posts $1 billion in realised and unrealised losses