Equities
Bearish equities dampen China A-share warrants launch
Hong Kong warrants investors “will take time” to warm to new product, dealers say
Interest rate scenarios: skinny-dipping with the Fed
As US rates march upwards, Risk.net readers offer deeply diverging forecasts on the impact for markets through to 2024
Eurex liquidity pool jumps 39% as required IM rises
Members of the IRS clearing unit saw the largest increase of required margin in Q2
IM at three LCH clearing units rose in Q2
Increase in clearing volumes pushed collateral up at EquityClear, RepoClear and SwapClear
No link between geopolitical risk signals and returns – hedge fund
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
Crédit Agricole’s VAR jumps 88% on fixed income blow-up
Trading risk gauge reached the highest since Q2 2020
Hedge funds warn SEC dealer rule is ‘unenforceable’
Private funds say they are collateral damage of poorly drafted push to regulate PTFs
Japan’s GPIF divests $1.5bn in Russia-linked assets
Pension fund cut exposure to country by 95% in the 12 months to March
Don’t just reach for the ’70s inflation playbook – CROs
Lack of inflation experience on risk teams not a concern, buy-siders say
Capital-protected notes surge after US rate hikes
Higher cost of borrowing and equity selloffs revive old favourite of Asia’s structured products market
Liquidity risk down 34% at the OCC
Projected largest payment obligation set at $6.2 billion for Q1
‘Trend’ triumphs in uncertainty, but not as it wanes – study
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
Index vol has been a poor hedge for equity rout, traders say
Single stock ‘micro’ hedges have offered more protection in this year’s selloff
France floats U-turn on Mifid’s dark pool restrictions
Leaked doc shows UK competition threat weighs on minds of EU lawmakers over non-exchange trading
Prop stop: SEC plan to register prop trading threatens liquidity
Rule change may also be a crypto landgrab by SEC chairman Gensler, critics say
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