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Investors choose safer bank bonds as AT1 opportunity wanes
Technical factors mean senior bank bonds now offer relative value
Can history resolve factor investors’ p-hacking questions?
Quants seek reassurance in the far distant past
For US Treasury troubles, treat the cause not the symptom
Regulatory alarm about hidden risk in the Treasury futures market misses the point, fund association execs write
Sliced and sliced again: investors’ latest trick for risk transfer
‘Retranched’ synthetic securitisations offer higher yields, but questions remain over legality of structures
After the selloff, competing theories on dealer gamma
Tier1 Alpha sees $74 billion short gamma catalyst; SG says rapid return to positive territory had calming effect
Featured
Insurance double-hatters like Apollo can expect more scrutiny
Regulators are homing in on conflicts of interests at private-equity-owned insurers
Vega peak was foothill in historic Nikkei selloff
JFSA scrutiny has curbed issuance of autocallables, so stock plunge generated light re-hedging
Capital rules explain leverage craving in US bank risk transfers
Tougher requirements have led to conservative structuring and lower coupons
Athora CFO exit caps management overhaul
Entire management team at Apollo’s European insurance affiliate has been replaced since 2022
Long shadow of Apollo looms over turmoil at Athora
Risk.net investigation reveals troubling picture of US asset manager’s European insurance project
Zero-day options
Taming of the skew sparks new debate over 0DTEs
Some pin lower put premium on short-dated market-maker hedging; others cite fundamentals
OCC readies new intraday margin requirement
Draft measure would cover all options positions including 0DTEs
Bank QIS teams take zero-day options plunge
JP Morgan sees better risk/reward profile for 0DTE-based trend strategies
Balanced trading is calming zero-day volatility fears
UBS finds little evidence that 0DTE options exacerbate volatility
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Matchmaking and benchmarking for OTC derivatives
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HSBC loses FX forwards market share with EU funds
Counterparty Radar: UK bank reported 6% drop in notional volumes with Ucits funds in H2 last year
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