The 2026 Marsh CFA Institute Global Pension Index is released by Marsh in partnership with the CFA Institute and the Monash Centre for Financial Studies, covering 55 retirement income systems worldwide. It uses adequacy (40% weight), sustainability (35% weight), and integrity (25% weight) as core evaluation dimensions.
Read originalThe Ministry of Finance will issue RMB treasury bonds through the Hong Kong Monetary Authority's Central Moneymarkets Unit. The tender announcement, tender information memorandum, and tender-related information provided by the issuance and custodian agent for this issuance have all been simultaneously released as attachments.
Read originalThe Hong Kong Monetary Authority announced the tender results for three Exchange Fund Bills (EF Bills) on October 20, 2026, namely issues Q2642, H2671, and Y2696, with key tender data including allocated amounts, accepted yields, and pro-rata allotment ratios disclosed. It also announced that tenders for Exchange Fund Bills of issues Q2643 and H2671 will be held on October 27, 2026, with a total planned issuance amount of HK$80,782 million.
Read originalA study based on 2.8 million EU ETS trades and compliance records from 2005 to 2022 shows that 37% of regulated operators in the world’s largest carbon market do not participate in trading each year, and this phenomenon persists. Trading concentrates in the April compliance month, when returns are systematically higher, operator order flow can predict returns, and this effect is concentrated among frequent traders. A model incorporating market entry costs, limited intermediation, and heterogeneous information can explain these features. Staggering compliance deadlines into four groups can reduce the compliance-month premium by 58% without changing the overall cap.
Read originalResearchers used proprietary panel data of commercial mortgages from 1998 to 2021 and adopted deep neural networks (DNN) to distinguish liquidity-constrained default from strategic default. The study found that, under delinquency conditions, property net operating income (NOI) has a more significant impact on default rates than loan-to-value ratio (LTV), and the threshold for dividing the two types of defaults remained stable during the 2008 financial crisis and the 2020-2021 COVID-19 commercial real estate shock.
Read originalThis paper proposes a generalized variance framework based on the determinant of the instantaneous covariance matrix of asset log returns for pricing multi-asset discrete swaps, which captures the joint discreteness of multivariate asset returns while accounting for their dependence structure. The framework is constructed under Heston and Barndorff-Nielsen-Shephard (BNS) stochastic volatility models, deriving analytical pricing expressions for the three-asset Heston model and tractable approximations for the corresponding BNS model.
Read originalThe Bank for International Settlements (BIS) has released a working paper examining the role of Liquidity Coverage Ratio (LCR) regulation for large U.S. banks in driving the growth of private credit markets.
Read originalThe Bank for International Settlements (BIS) has released a working paper that studies the transmission effects of offshore NDF markets on onshore spot exchange rates, using centralized clearing NDF transaction-level data for 10 emerging market currencies from 2013 to 2025. The study shows that a $1 billion long USD order flow causes the onshore spot exchange rate to depreciate by approximately 10 basis points, while the offshore NDF exchange rate moves by about 18 basis points, and offshore transactions widen the spread between offshore and onshore rates; when dealer balance sheets are strained, the impact on the spot exchange rate is larger.
Read originalThis article analyzes the combination of risk premiums for TIPS and crude oil. Based on data as of October 9, 2026, the 10-year TIPS real yield is 2.91%, up 116 basis points from the same period last year, and the 10-year breakeven inflation rate is 2.33%. This dual-asset portfolio can enhance expected returns with virtually no additional risk, while also offering educational value for dynamic position management.
Read originalThe Hong Kong Monetary Authority, on behalf of the Hong Kong SAR Government, announced that it will conduct a tender for 2-year RMB institutional government bonds via tap issuance of existing 3-year government bonds (issue number 03GB2807001) on October 22, 2026. The tender size is RMB 750 million, with a settlement date of October 26, 2026.
Read originalThis research paper, published by the Bank for International Settlements (BIS), is based on the credit theory of money. Starting from payment as a fundamental monetary behavior, it outlines four core tensions in the operation of the monetary system and proposes that money is essentially an institutional achievement sustained by trust. The paper applies this framework to the analysis of gold, Bitcoin, and stablecoins. The views expressed are those of the authors and do not necessarily reflect the views of the BIS or its member central banks.
Read originalThe Hong Kong Monetary Authority, on behalf of the Hong Kong SAR Government, announced that it will hold a top-up tender for 10-year HK-dollar government agency bonds on October 21, 2026. The underlying security is the existing bond with code 10GB3507001, with an issuance size of HK$1.25 billion and settlement on October 22, 2026. The bond carries a coupon of 3.17%, payable semi-annually, and matures on July 24, 2035. The tender is open only to designated primary dealers under the Government Bond Programme, with a minimum bid amount in multiples of HK$50,000.
Read originalOn behalf of the HKSAR Government, the HKMA announced that it will hold a tender for 3-year HKD institutional government bonds on October 21, 2026, through a tapering issuance of existing 5-year government bonds (issue number 05GB2912001, stock code 4284), with settlement on October 22, 2026. The tender size is HKD 750 million, with a coupon rate of 3.23% per annum, payable semi-annually, and a maturity date of December 5, 2029. The tender is open only to designated primary dealers under the Infrastructure Bonds Program, with a minimum tender amount of HKD 50,000 or multiples thereof.
Read originalQuantLib 1.44 has been officially released, available for download as both QuantLib-1.44.tar.gz and QuantLib-1.44.zip. This version removes features deprecated in version 1.39, adds several new features, and deprecates a batch of features that will be removed in a future version (expected to be 1.49). This version can still be tested with Visual C++ 2017, but subsequent versions may no longer support this compiler.
Read originalThe HKMA has announced the results of the October 13 tender for two issues of Exchange Fund Bills. Issue Q2641 received HK$205.533 billion in tenders, with HK$71.151 billion allotted at an average accepted yield of 2.82%; Issue H2670 received HK$64.930 billion in tenders, with HK$19.0 billion allotted at an average accepted yield of 3.15%. A tender for three issues of Exchange Fund Bills will be held on October 20, with a total planned issuance of HK$84.147 billion.
Read originalQuantocracy has released its latest roundup of quantitative research links as of October 10, 2026, featuring four related research pieces. It notes that the 30-year U.S. Treasury yield closed at 5.60% in the first week of October, the highest level since 2002; the remaining content covers research discussions on momentum portfolio development, pre-market patterns, and market stop-loss hunting.
Read originalOn October 9, 2026, the SEC released a proposed rule to amend Rule 17a-7 on cross trades under the Investment Company Act of 1940, restoring cross-trading permission for most fixed-income securities, while optimizing rule conditions such as pricing and oversight, and requiring registered funds engaging in cross trades to submit aggregated reports on related trading activities. The proposal will be published on SEC.gov and in the Federal Register, with a 60-day public comment period following publication.
Read originalAnalysis of 401(k) plan filings from 2013 to 2023 by the CFA Institute Research and Policy Center shows that the average expense ratio of 401(k) investment menus fell from 0.69% to 0.39%, with declines in both active and index fund fees, and the fee gap between small and large plans has essentially closed. Fund quality also improved over the same period, with the weighted average of Morningstar Medalist ratings rising from 3.45 to 3.85, and lower-cost funds often receiving higher ratings.
Read originalQuantpedia analyst Cyril Dujava released a study based on a sample of 13 US federal elections from 2000 to 2024, covering XLK, SPY, IYR, IEF, EEM, and GLD.
Read originalOn October 6, 2026, the SEC filed a motion for a consent final judgment against Stephen Kenneth Leech II, former Co-CIO of Western Asset, alleging he operated a multi-year 'cherry-picking' trade allocation scheme from January 2021 to October 2023.
Read originalAlpha Architect interprets the paper "Competition, complexity, and security design: evidence from retail investment products" published in the Review of Finance in 2026. This study takes yield-enhancement products in the Swiss market as a sample and finds that issuers deliberately increase product complexity to weaken price competition when competition intensifies.
Read originalFed Vice Chair for Supervision Bowman delivered remarks sharing preliminary assessments following the implementation of the eSLR rule finalized in November 2025.
Key Takeaways:Understand the calibration logic behind eSLR's shift from a fixed 2% buffer to 50% of GSIB method-1 surcharge capital, and its impact on the balance sheet capacity of Treasury market dealers.
HKEX announced that its wholly owned derivatives clearinghouses, HKCC and SEOCH, plan to include Chinese government bonds and policy bank bonds held under Northbound Bond Connect, as well as MOF bonds issued offshore by the Ministry of Finance, as eligible non-cash collateral for margin requirements starting November 2026. The arrangement remains subject to regulatory approval. This expansion applies to all derivatives products cleared by the two clearinghouses, aiming to provide market participants with more flexible collateral options and improve capital efficiency. The relevant launch date will be announced separately, and detailed rules are available in the circulars issued by HKCC and SEOCH on the same day.
Key Takeaways:HKEX has clarified the bond categories, applicable clearinghouses, and effective date for newly eligible non-cash collateral, allowing derivatives participants to adjust their margin collateral arrangements accordingly.
In his latest memo, Howard Marks explores recent attempts to suppress long-term government bond yields. He states clearly that the only sustainable solution is to address the underlying factors driving interest rates higher, even if such measures face political resistance. Any other approach is essentially an attempt to defy the laws of economics, and such attempts have never succeeded.
Read originalNYU Professor Aswath Damodaran reviews the backdrop of rising U.S. Treasury yields in 2026, noting that the 10-year Treasury yield rose from 4.18% at the start of the year to 4.75% by the end of August, while 20-year and 30-year Treasury yields surpassed 5% during the year. He also compares the long-term trend of U.S. Treasury yields since 1962, as well as concurrent changes in government bond yields across multiple currencies, including the euro, Japanese yen, and British pound.
Key Takeaways:One can learn to construct an intrinsic risk-free rate using the inflation rate plus real GDP growth, and combine it with changes in corporate cash flows to break down the differentiated impact of rising interest rates on stock valuations across industries.
HKEX, the Hong Kong Monetary Authority, the Dubai Financial Services Authority (DFSA) and Nasdaq Dubai jointly announced the establishment of a strategic working group to deepen financial market connectivity between Hong Kong and the Dubai International Financial Centre (DIFC).
Read originalOn August 25, 2026, the Federal Reserve Board released the minutes of its discount rate meetings held on July 20 and July 29, 2026, covering the review and determination of the discount rate offered to depository institutions through the discount window. The process for setting this discount rate is independent of the Federal Open Market Committee's process for setting the target range for the federal funds rate.
Read originalFINRA has issued Regulatory Notice 26-16, amending TRACE rules to extend the proprietary trading indicator, previously applicable only to non-member affiliate transactions, to member affiliate transactions. The voluntary compliance period for this amendment begins August 31, 2026, with a mandatory effective date of August 2, 2027. The rule text is available in the FINRA Online Manual.
Read originalQuantLib 1.43 is officially released, with two download packages available: QuantLib-1.43.tar.gz and QuantLib-1.43.zip.
Read originalFINRA has amended Rule 3210 (Accounts at Other Broker-Dealers and Financial Institutions) to add an exemption for Trump Accounts established under Section 530A of the Internal Revenue Code, with the rule change effective June 17, 2026. Trump Accounts are special traditional IRAs established for eligible individuals under the age of 18. This exemption applies only to such accounts and their compliant investment transactions, and the revised text is attached as Appendix A to the notice.
Read originalThe Financial Analysts Journal, Volume 82, Issue 3 (Q3 2026), pages 5 to 14, published a tribute to Martin Leibowitz, reviewing his relevant contributions to the financial field. This content is a commemorative article recently released by the journal.
Read originalQuantLib 1.42.1 is a bug-fix release that removes a regression in the Gsr class which could cause an infinite notification loop. This release provides two installation packages: QuantLib-1.42.1.tar.gz and QuantLib-1.42.1.zip. The related changes were committed by @lballabio in #2543, and the final version number was set by @lballabio-bot in #2545.
Read originalIn his latest memo, Howard Marks outlines the evolution of the sub-investment grade credit market from the 1970s to the present, focusing on analyzing the drivers behind the rapid growth of direct lending after the global financial crisis, as well as the related issues brought by the rapid deployment of large-scale capital. He points out that the development of direct lending is deeply tied to that of private equity, and the performance of private equity portfolio companies is the core determinant of whether direct loans will succeed in the future.
Read originalIn a special episode of The Insight: Conversations, Howard Marks shares his reflections on themes from Oaktree Capital's recent client conference. The discussion covers the evolution of credit markets, the nature of asset mispricing, and the importance of leadership.
Read originalBridgewater released a study on November 13, 2025, analyzing Canada's response path under U.S. high tariffs and USMCA uncertainty. The report notes that Canada's GDP contracted in Q2 2025, after which it adopted a three-pillar strategy of trade diversification, fiscal expansion, and loose monetary policy, aiming to double non-U.S. exports within a decade and add over CAD 300 billion in trade volume. The fiscal deficit for FY2025-26 reached CAD 78 billion, accounting for 2.5% of GDP. The Bank of Canada maintains an accommodative stance, and initial signs of stabilization have emerged in manufacturing orders, residential construction, and the labor market.
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