Buy side
Formosa swaptions trade under pressure from new Taiwan rules
Limit on investment by insurers is hitting issuance of Formosa bonds and related options
Mifid II, RFQs and the future of Europe’s G-Sibs
The week on Risk.net, August 11-17, 2018
Own goal: Mifid II reduces transparency in some EU markets
New rules replace voluntary arrangements in ETFs and Nordic bonds, fragmenting post-trade data
AllianceBernstein digs into its own data, looking for alpha
Firm combs through information about its portfolio managers for signs of bias and bad habits
Industry seeks smaller ‘big bang’ for margin
New study supports sixfold hike in 2020 compliance threshold to avoid “dormant” margin accounts
Initial margin – Preparing for the buy‑side ‘big bang’
Video Q&A: David White, triResolve
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
EU trading venues warn over looming end of LEI relief
Expelling issuers with no legal entity identifiers could hurt liquidity and investor strategies
Ping An unit prepares factor investing foray
Insurance giant’s asset management arm turns to alternative risk premia as fundamental returns in emerging markets begin to shrink
Quant manager spurns vendors’ machine learning software
Ex-head of algo trading at JP Morgan says machine learning processes should be built internally
Machine learning study points way to smarter beta
‘Boosted trees’ method uses same metrics as conventional factor investing but mixes them in new ways
Buy side frets over fallbacks in ‘zombie Libor’ scenario
Firms say any future plunge in number of Libor contributors should trigger switch to fallback rate
Sustainable investing boom lifts demand for new data
One trendy investment approach reinforces another
RBA’s Debelle warns against buy-side Libor complacency
Central banker also says Australian dollar swaps may gradually migrate to cash rate if other Ibors end
Risk management on course to move beyond cost centre
Video Q&A: Neil Dodgson, IBM Watson Financial Services
Number of banks per RFQ jumps in EU, posing risk to prices
Some requests for quote are sent to over 20 dealers, raising worries about information leakage
Safeguarding liquidity in a changing environment
Nick Gant, head of fixed income prime brokerage for Europe, the Middle East, Africa and Asia-Pacific at Societe Generale Prime Services, discusses banks’ evolving responsibilities for providing liquidity in a post-financial crisis environment in which…
CFTC probed CDS market under last enforcement head
Goelman compares manufactured payouts to match-fixing, and says CFTC has jurisdiction to bring case
US dealers agree to disclose corporate bond quotes
Market to get pre-trade transparency but big dealers remain on the sidelines
Start-up fund looks to profit from early-stage bubbles
Market feedback loops have a signature that can be spotted and monetised, new fund SIMAG says
Swaps market off pace for IM rules – Isda survey
Participants want to see more standardisation in collateral and custodial contracts