Counterparty Radar: Market leader Pimco cuts nearly one-third of book in Q3
Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data
The authors consider conditional and unconditional intraday value-at-risk models for high-frequency exchange-traded funds, providing results useful to practitioners of high-frequency trading.
Counterparty Radar: US retail funds retreat from trade as Morgan Stanley becomes top dealer in Q2
Counterparty Radar: US retail funds cut their repo exposure in Q2 to the lowest level since 2020
Counterparty Radar: Corporate positions exceed SSA contracts for first time on record in Q2
Counterparty Radar: Bond powerhouse moves to lock in high rates in Q2 with one-year swap
Banks are looking to reclaim territory they previously ceded to market-makers and private funds
Counterparty Radar: Pimco also exits space in Q2 as US funds show record low positions in the instrument
Talking Heads 2023: Non-bank market-maker remains confident of its edge in small-ticket corporate credit
Deutsche Bank, HSBC hit by cuts at Vanguard and Pimco in Q2
Talking Heads 2023: Putting CDSs, ETFs and bonds into the same pot will result in better pricing, says credit head Bhatia
Emergence of execution-only ECNs, prime brokers and clearing houses brings new confidence in crypto
Counterparty Radar: BlackRock, Franklin Templeton and T Rowe Price among the managers who added to single-stock positions
Dealers claim it’s a vital tool for managing risk. Clients say it’s open to abuse. How should regulators treat the problem child of financial markets?
The authors investigate the performance of energy exchange-traded funds between January 2000 and August 2022, finding a relatively high degree of correlation with the performance of US and global equities.
Counterparty Radar: French dealer grew its repurchase book by 65% in first quarter
Counterparty Radar: New trades with PGIM totalling $2.4 billion return Citi to top of dealer rankings
Counterparty Radar: Aggregate notional drops 27% in Q1 as Pimco unwinds more swaps
Counterparty Radar: US retail funds’ aggregate notional drops to lowest levels since late 2020 in Q1
Counterparty Radar: Market for US retail funds sheds $5.2 billion in volume in Q1
Settlement mismatch expected to raise creation and redemption costs