Exchange-traded funds (ETFs)
Chicago pits power IMC’s institutional options push
Talking Heads: IMCX lures 100 asset managers, while Dash partnership bolsters retail execution
Unaligned exchange traded funds: risk-adjusted performance and market-timing skills
The authors compare the performance of unaligned exchange-traded funds with US and global equities, finding a significant positive correlation in monthly returns.
Bitcoin ETFs drive demand for borrowing in crypto markets
Mismatch between cash and crypto settlement cycles creates pre-funding challenge
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
Discord deepens over fund-linked trades in FRTB
More banks use punitive approach to capital treatment under new trading book regime, irking regulators
Vanguard stages swaptions comeback
Counterparty Radar: Deutsche grew book to $11 billion in Q1 to become largest non-US swaptions dealer to mutual funds
Data reveals hidden clockwork of FX forwards market
More than 70% of Vanguard’s volumes and nearly half of Pimco’s regularly occur on just four calendar days
Morgan Stanley shoots into FX options dealer top spot
Counterparty Radar: US mutual funds added $11.1 billion in new positions in Q1
Pimco doubles down on FX forwards trades in Q1
Counterparty Radar: Pimco accounted for nearly 60% of all notionals added by mutual funds
Citi halves swaptions book with US retail funds
Counterparty Radar: Mutual funds and ETFs cut exposures by 22% in Q4
BlackRock’s interest rate swaps notional climbs 20%
Counterparty Radar: US retail funds continued to add to their positions in Q4
Invesco more than triples size of its FX options book
Counterparty Radar: Manager’s portfolio exceeded $5bn notional in Q4
Pimco’s cuts to FX forwards positions hit dealers in Q4
Counterparty Radar: State Street takes top spot among dealers as BNP Paribas slides to fourth
Zero-day hedging takes root in new asset classes
Option users move beyond equity indexes in search of cheaper, sharper hedging tools
Canada’s FRTB pioneers get snowed on fund-linked trades
As Basel capital reforms go live, risk managers eye early adopters’ progress and push to improve capital treatment of fund-linked products
Citi swaption volumes surge as BlackRock relationship flourishes
Counterparty Radar: Market leader Pimco cuts nearly one-third of book in Q3
Pimco’s interest rate swaps book shrinks 21% in Q3
Counterparty Radar: BlackRock and Capital Group also trim positions to drive down swaps usage by US mutual funds
US mutual funds’ passion for LatAm FX options undimmed in Q3
Counterparty Radar: Carry trade opportunities see managers’ positions increase tenfold in 2023
BNP takes top forwards spot with US mutuals
Counterparty Radar: French bank ousts Bank of America to lead the table for the first time
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.
BlackRock, Pimco slash mutual fund swaptions books
Counterparty Radar: US retail funds retreat from trade as Morgan Stanley becomes top dealer in Q2