Equities
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
At LCH, required IM rose over Q3
Required minimum demanded of clients increased at ForexClear, RepoClear and EquityClear, but fell at SwapClear
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
Bank-run fund derivatives platforms hit records
JP Morgan’s Nexus has seen balances double, while AUM on UBS’s Neo have tripled
Hedge fund stake exit helps Credit Suisse cut VAR
Market risk-weighted assets at the AM unit drop almost 95% following the move
OTC derivatives amount rose 5% in H1
While notional amounts were up from end-2020, gross market values fell 20% across all instruments tracked by the BIS
The future of equity derivatives and perspectives for UK equities and dividends
In this webinar, three experts from FTSE Russell, Natixis and Eurex discuss the emerging equity derivatives landscape in the UK and Europe post-Covid recovery
After FTSE inclusion, China bonds still face CNY hedge hurdles
Lack of pricing competition and costly hedges top buy-side hurdles to investing in China, says ChinaFICC CEO
How ‘open’ became ‘random’ in Mifir open access CCP rule
EU clearing monopolies endure as share trades are rarely cleared at end-users’ chosen CCP
Nordea’s trading VAR up 58% in Q3
Higher equity and interest rate risk pushed measure to highest level since March 2020
JP Morgan’s VAR falls to lowest since 2018
Gauge of trading risk drops 20% quarter on quarter, driven by commodities and equity desks
Asia moves: BIS appoints new chair for Asia council, VP Bank expands Asia leadership, and more
Latest job changes across the industry
EC aims for near-real-time consolidated tape
Exchanges say the plan is too ambitious and would trigger a latency arms race
Clear out: inside the equities takeover of Citi’s FCM
Clearing unit is being reshaped to support equities growth push
China’s first global multi-asset index embedding ESG criteria
China Minsheng Bank explores its joint initiative alongside Societe Generale – the Minsheng multi-asset ESG global allocation index – and its objective to provide investors across several regions with balanced returns from assets with ESG criteria…
Buy-side trading system of the year: Tradeweb
Asia Risk Awards 2021