Download PDF United States Many US markets have seen the roughest week since March; the Dow and S&P 500 indices are down 7.5% and 6.4% respectively and the Nasdaq fell over 6% (following a sharp selloff in technology stocks due to mixed earnings results, with Apple falling 5.5% after a Read more…
Download PDF Introduction Variance swaps are OTC derivatives that allow investors to get direct exposure to the volatility of an underlying product, such as stock indexes, exchange rates and other asset classes. They initially gained popularity during the early 2000s following the advances in derivatives pricing theory. Their pure exposure Read more…
Download PDF Introduction Once again, the United States are at a crossroad. Pitted against each other, American citizens will have to cast a vote on what many political observers believe to be one of the most divisive elections in recent times. As the ballots roll in, financial markets will Read more…
Download PDF United States This week the S&P 500 index experienced its biggest weekly gain in three months, going up by 3.84% and closing at 3,477.13, slightly more than the +3.27% characterizing the Dow Jones that finished its rally at 28,586.90. Generally speaking, volatility appears to have decreased across the Read more…
Download PDF Introduction The supranational, sub-sovereign and agency (SSA) market sits on a highly niche portion of the general bond market, having composed of sovereign government issuers and private credit borrowers. The issuer landscape is made up of international institutions that have differing funding requirements, such as development banks, infrastructure Read more…
Download PDF Introduction In the business world, there are many words, some have strong meanings, others are buzzwords. Does the word “ESG” have a material impact in the asset management world, or is it just used as a marketing ploy? In this article, we seek to evaluate this question globally Read more…
Download PDF Two years ago, in our article “Dollar repatriation? Different story told by cross-currency swap”, we have looked into the 2018 environment of the cross-currency basis market. This year has brought about a major funding crisis and that caused this topic to be worth revisiting since COVID-19 led to Read more…
Download PDF United States Last week the S&P 500 went up by 0.44% and closed at 3,348.44, whilst Dow Jones registered a weekly gain of 1.17%, finishing at 27,682.81. Hopes for another coronavirus-relief bill contributed to the recovery of the market after having four consecutive weeks of bearish trend. The Read more…
Download PDF INTRODUCTION Nearly 2 years ago, we wrote our article titled “Investing in the ETF Era”, describing Exchange Traded Funds and their ever-expanding popularity and role in the world of finance (formulating a useful introductory reading to the world of ETFs). This trend hasn’t changed ever since then, Read more…
Download PDF Introduction Tail-risk hedging strategies were once again on investors mouths, following the March 2020 drawdowns. April 2020 headlines were dominated by tail-risk hedge funds performance numbers and tenfold returns were not uncommon. By mainly incorporating complex option-based and CDS strategies, the funds look to minimize portfolio drawdowns in Read more…
Download PDF United States Last week the S&P 500 went down by 0.63% and closed at 3,298.46, whilst Dow Jones registered a weekly loss of 1.75%, finishing at 27,173.96. These figures represent the fourth straight weekly fall for both indexes, the longest losing streak in over a year. Gloomy Read more…
Download PDF Introduction With the rise of High Frequency Trading (HFT), the market structure has evolved into a complex organism. The impact of HFT on markets in terms of altering dynamics, increasing volatility and in general, making markets fickler is indisputable. Whether this is for the better or worse for Read more…
Download as PDF SOFR On November 17, 2014, the Federal Reserve Bank established its own research group, the Alternative Reference Rates Committee, a commission composed by the major international banks, central counterparties and asset managers, with the support of the U.S. Department of Treasury, the U.S. Commodity Futures Trading Commission Read more…
Download as PDF ICE LIBOR Nowadays, LIBOR is administered by ICE Benchmark Administration, which publishes the rate for seven tenors (overnight, 1-week, 1-month, 2-month, 3-month, 6-month and 1-year) in five currencies (Euro, U.S. Dollar, British Pound Sterling, Swiss Franc and Japanese Yen). Currently, twenty panel banks submit their estimates between Read more…
Download as PDF Introduction The BIS triennial survey held every 3 years indicated most recently in 2019 that the USD was on 88% of all transaction. This makes it the world most used currency and the main reserve currency of centralbanks and transaction. However, another currency has recently made great Read more…