Equity
At Canada’s ‘Big Five’, counterparty and op RWAs grew in 2020
Credit, market RWAs ebbed over the year
UK snuffs out hopes of end to midpoint trading ban
Financial Conduct Authority resists calls to diverge from EU’s tick size regime
End ‘senseless’ ban on midpoint trading, asset managers urge
Investors decry European rule that forces them to trade some equities in whole tick sizes
Trend followers fall under speeding equity markets
Riding trends in equity markets is proving to be a risky pastime for quant investors
Machine learning will create new sales-bots – UBS’s Nuti
Technologists working to automate indications of interest from trading desks
Underwriting activity of US G-Sibs topped $3 trillion in Q3
JP Morgan increased debt transactions by 41% year-on-year alone
Nasdaq retail rush powers intraday momentum trade
Options and ETFs give tech index new momentum, while S&P 500 sees higher levels of mean reversion
EU’s dividend ban overshadows reform effort
Banks may be reluctant to run down buffers even if regulators soften the MDA threshold for payouts
Asia moves: JP Morgan names Asia ECM head, Deutsche adds to ESG team, and more
Latest job news across the industry
Zooming in on equity factor crowding
A measure for crowding in trades is derived from supply and demand imbalances
New HKEX warrant buyers surf vol in unfamiliar waters
While stock volatility is boosting inline warrant turnover, it’s driving bets more suited to wholesale products
Regional US banks outpace giants on loan growth
Banks $3-10 billion grew 19% over Q2
EU insurers’ fund holdings battered by Covid in Q1
Total asset portfolios declined 6% through Covid shock
BofA becomes first US bank to adopt SA-CCR
Move cut leverage exposure by $66bn, but other banks wary of trade-offs
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
Eurozone insurers dived back into bonds in Q2
Net purchases of debt securities amounted to €15.1 billion over Q2
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
Funding adjustments in equity linear products
How tax asymmetries and Tobin tax affect the pricing of total return swaps
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Safe havens no longer safe, quants fear
Equity-debt correlation breakdown and negative bond yields make investors nervous
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
Equivalence failure threatens European share trading
UK and EU investors may be forced to trade dozens of shares on less liquid exchanges, analysis shows
Exploring new investment prospects in volatile markets
Custom and traditional proprietary indexes have been growing in popularity and actively transforming the investment landscape. Financial products linked to indexes are thriving, enabling more efficient access to the market, whether it is equity, bonds or…