Government bonds
US dealers breathe easier as global uncleared margin rules take shape
The extraterritorial scope of US margin rules would have left US banks’ overseas swaps business in tatters, but an international working group looks set to deliver a reprieve by endorsing similar rules....
New product design has been on the wane for the past few years, but there are still ideas floating around. This month’s technical section includes an article exploring a potentially interesting market...
The current high volatility in government bond markets may lead investors to try to hedge their exposure to floating-asset swap spreads. Mario Pucci obtains an analytical convexity correction for the asset...
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More Government bonds articles
Greek auction result could undermine CDS use
An early trigger is unlikely, but fears of distorted auction outcome remain – and could undermine the use of credit default swaps as a hedge, say market participants
Credit derivatives house of the year: Deutsche Bank
The credit derivatives market has not seen a year like 2011. Volatility was higher in the aftermath of the Lehman Brothers collapse in September 2008, but it focused primarily on financial names. Last year’s fear was less discriminating, encompassing...
Bank risk manager of the year: JP Morgan
In a world of economic capital, risk-weighted assets and net stable funding ratios, it’s refreshing to come across a simpler risk management benchmark: “Our metric of success is ‘no surprises’: no surprises in terms of the impact on the firm of...
Sovereign risk manager of the year: Dutch State Treasury Agency
It is not an easy time to be a European debt issuer. In the last weeks of 2011, Germany saw bids at its November 23 auction fall 35% short of the maximum planned issuance, Standard & Poor’s warned that 15 eurozone countries – including AAA-rated France...
Dealers call for ECB to buy inflation bonds as Italy faces exit from...
Further downgrades for Italy would cause its inflation-linked bonds to drop out of a Barclays Capital index, prompting mass selling by fund managers, dealers fear
Eurozone debt writedown could cost insurers €143bn
Prolonged low interest rates could threaten insurers’ solvency, Swiss Re warns
Credit Suisse and UBS on Basel 2.5: Half a world away
Swiss banks had to switch over to Basel 2.5 at the start of 2011, but they are still wrestling with elements of the new trading book rules – from educating traders on the impact, to working out sovereign bond risks. And differences have already emerged...
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Using market and credit risk analytics to strengthen performance
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