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The recent decision by the Federal Reserve Bank to add high-yield funds to its asset-purchasing program triggered unprecedented flows into exchange-traded funds specializing in sub-investment grade securities.
As share prices plummeted in late February and early March, corporate-bond risk premia exploded at rates not seen since the aftermath of the Lehman Brothers default.
The gauge of Eurozone market volatility goes from second-lowest reading on record to highest since 2008 in a matter of days.
On Sept. 17, the rate on overnight Treasury-funded US repurchase agreements, or repos, jumped to an average of 5.25% from 2.43% the day before, with some trades settling as high as 9%.
According to the returns for Axioma’s factors, the first quarter of 2019 was probably a tough one for many systematic, factor-based investors, especially those investing in the US.
According to the returns for Axioma’s factors, the first quarter of 2019 was probably a tough one for many systematic, factor-based investors, especially those investing in the US.
Ever since the onset of the financial crisis in 2008, volatility has become a critical aspect for investors to consider in their portfolios.
This month, the STOXX® GC Pooling EUR Deferred Funding Rate (GC Pooling Deferred), a benchmark of overnight borrowing costs in Europe, turned five years old, as did the full STOXX GC Pooling money market curve.
The European Central Bank (ECB) recently conducted a market consultation to assess three candidate euro overnight rates as alternatives to the current benchmark EONIA, the long-established risk-free rate (RFR) for pan-European lending.
The secured interbank lending market may play a role in the search for a reliable indicator of the cost of funding in Europe.
Over the past decade, the Chief Risk Officer has been elevated to the driver’s seat, charged with navigating a more challenging, vaster terrain with an entire organization in tow.
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