Solvency II and Derivatives – Part 4
The final paper in our series explores how derivative classification under Solvency II can significantly affect capital outcomes for relative value strategies.
Market Insights
Solvency II and Derivatives – Part 3
Continuing our short series exploring how Solvency II (SII) applies to the use of derivatives within a pure relative value investment strategy, this third paper looks closely at their use under the classification of risk-mitigation.
Positioning for Relative Value in a Risky Macro Environment
In today’s environment of macro uncertainty, the long-held assumption that government bonds are a risk-free asset is being challenged. As market dynamics shift and volatility becomes the norm, investors are rethinking the role of fixed income in portfolio construction.
Solvency II and Derivatives – Part 2
As a firm specialising in managing pure relative value strategies, where derivatives play a central role, we are keen to open the conversation around how these instruments can be used effectively and prudently within the constraints of Solvency II (SII) through a short series of papers. In this second paper, we look closely at the Prudent Person Principle and employing derivatives in the context of Efficient Portfolio Management (EPM).
Market Mechanics: The Greenium Puzzle
Sovereign green bonds are often assumed to trade richer than their conventional peers – a pricing effect known as the greenium.
Bonds Don’t Need to Be Negatively Correlated with Equities
Dr. Laura Ryan’s research challenges the belief that bonds must be negatively correlated with equities to reduce risk, showing instead that relative volatility matters more – even when correlation is positive.
Market Mechanics: Gilt Shock Exposes Systemic Fragility
Gilts were back in the market’s crosshairs this week, as a sudden repricing in UK government bonds reignited concerns around fiscal credibility and underscored the shifting structural risk profile of duration assets.
Solvency II and Derivatives – Part 1
Over the next few months, we’ll be releasing a short series of papers exploring how Solvency II (SII) applies to the use of derivatives within a pure relative value investment strategy. This first paper lays the groundwork for the series by outlining how we understand the core principles of SII as they relate to derivatives in a pure RV context.
Market Mechanics: Northern Rates Head South
The surprise rate cut by Norges Bank and the Swiss National Bank’s return to a zero-policy rate triggered sharp moves at the front end of yield curves this week, as traders rapidly repriced easing expectations. In Norway, two-year yields dropped a not insignificant 10 basis points, while Swiss short rates compressed toward zero, flattening local […]
Market Mechanics: Japan’s 40-Year Bond Auction – A Weak Signal for Long-End Demand
Japan’s 40-year government bond auction on 28 May 2025 recorded its weakest demand since July last year, with a bid-to-cover ratio of just 2.21. The soft result pushed the 40-year yield up to 3.375%, driving a significant steepening of the super-long end of the curve and highlighting the growing risk premia investors now require to […]