Equities
Is low vol crowded? That depends who you ask
Equity drawdowns have pushed more investors into low volatility strategies, raising fears of a build-up of risk
Hedge funds doubt tall tales around UK short-selling review
FCA has never used powers to ban short-selling, but reporting tweaks would be welcome
Goldman’s VAR drops 20% in Q4
Retreat led by commodities and interest rate risk
UK’s plans to ditch share trading rules threaten liquidity
Asset managers say London’s decision to relax EU equity regime will fragment liquidity – with unpredictable consequences
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
French resolution may lead EU to adopt US-style rules for PFOF
German and Czech proposals would also put kibosh on commission’s mooted ban on the practice
Norinchukin’s investment securities loss widens to $12bn
Lender is worst-hit by bond price crash among Japanese banks
Equity swap clearing: LSEG aims to sway naysayers
Initial margin, SA-CCR and Archegos fuel comeback of total return swap clearing, but scepticism remains
Equities clearing and CCP resilience: protecting post-trade from geopolitical turmoil
Headline-making events in 2022 have driven market volatility with sustained increases in trading and clearing volumes. With market participants under pressure, how do central counterparty (CCP) resilience and innovation in equities clearing provide…
US midterm election scenarios: a fright after Halloween
Republican control of Congress could deal “a sharp shock to markets”, analysis suggests
Illiquid assets throw UK pensions off balance
Collapse in equity and bond prices leaves some funds with outsized exposure to private holdings
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
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