Equities
Platforms bring structured products to the masses
Simon, Luma and Halo fuel 80% rise in volume of structured investments in US
Germany has enough support to block EU’s PFOF ban
Possible compromise would be using consolidated tape to benchmark best execution
Fair-value losses derail payout plans at State Street, BNY
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
SocGen, ING most exposed to rate shocks among EU banks
Banks’ economic value of equity would shrink under higher rates scenarios
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
Germany tells EU to PFOF
Proposed ban might need to be dropped to prove practice is harmful
Germany fights for neobrokers’ PFOF rights
Leaked document shows Germany wants to protect ‘anti-competitive’ practice
The biggest Russian ETFs are filled with cash, US assets
ETFs issued by BlackRock, DWS and VanEck have sold nearly all of their ‘uninvestable’ Russia stock
How Russian stocks still meet EU rules for ‘good governance’
Loose SFDR definitions leave room for Russian state-owned firms to remain in article 8 funds
Russia GDRs face extinction on sanctions and market closures
Around 100 programmes hang in the balance after BNY Mellon resigns as depository bank for VTB
Moscow Exchange closure leaves equity swap contracts in limbo
Isda plans to issue guidance on the application of commonly used disruption event clauses
Sanctions threaten top pension funds’ Russia assets
Top global pension funds might dump Moscow-linked holdings in response to Ukraine invasion
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Equity markets have become so complex as to defy explanation
Experts struggle to rationalise wild swings in a market that is almost unrecognisable
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
Vanna and the Big Put: unusual suspects in a market mystery
US equity reversal on January 24 has spawned many theories, but no solid answers
TS Imagine: leading the way in risk and margin management
If the past two years have taught prime brokers anything, it’s that those with real-time risk and margin management tools at their fingertips have a competitive edge and staying power. Award-winning software platform TS Imagine offers prime brokers the…
Performance attribution for multifactorial equity portfolios
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
How PGGM made 11% a year selling credit protection to banks
Dutch investor expects returns to drop over time unless rising inflation widens risk premia
BlackRock is biggest US fund user of single-stock options
Counterparty Radar: Microsoft was top underlying in latest filings, with notionals also up for Amazon and Meta
US funds piled on index hedges ahead of stock selloff
Counterparty Radar: Filings show managers adding more than $5.5 billion of puts in Q3, setting new high
Autocalls in peril as Netflix breaches downside barriers
Options liquidity keeps hedging panic at bay as some investors double down on volatile tech stocks
Market reversals trigger losses for intraday quant strategy
Equity trend strategies designed to hedge against market drops have suffered in recent turmoil