Sovereign bonds
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
EU banks most exposed to French, German, US sovereign risk
French bonds make up 17% of all EU bank sovereign exposures
JSCC bond unit reports 26 margin breaches in Q3
JGB turmoil, heightened activity may have caught clearing members off-balance
CIBC's Barbados woes incur $44 million capital charge
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour
'No-deal' Brexit would add risk weights to EU government bonds
HSBC has most sovereign exposures that could attract higher capital charges among big UK banks
Own goal: Mifid II reduces transparency in some EU markets
New rules replace voluntary arrangements in ETFs and Nordic bonds, fragmenting post-trade data
Munich Re adjusts sovereign portfolio
Reinsurer clips US, UK, Italy holdings
Commerzbank VAR jumps on Italian turmoil
Sovereign bond yield spike hits public finance portfolio
EU banks toughen terms for OTC trades – ECB
Credit conditions for SFT and OTC derivatives tightened over past three months
EU trading venues warn over looming end of LEI relief
Expelling issuers with no legal entity identifiers could hurt liquidity and investor strategies
Softer repo treatment seen as up for grabs in final US NSFR
Funding rules for Treasury repo on shortlist of changes; lower swaps add-on viewed as done deal
Banking union: big bang or damp squib?
Eurozone needs package of interrelated measures to prevent project going backwards
Only 1% of bonds caught in first wave of Mifid transparency
Trax estimates 5% of corporate bonds will be subject to full transparency after four-year phase-in
Eonia jump forces rethink of euro swap pricing
Traders say volatility of discount rate should be taken into account after "unprecedented" 12bp move
The price is still wrong: banks tackle bond CSA discounting
Diverging Eonia and European repo rates spur banks to look at valuations of swaps with bond collateral
Eurozone must lead search for doom-loop fix
Basel Committee working on sovereign risk, but eurozone has most at stake
Brexit gives banks a taste of life without AFS bond filters
Liquidity buffer valuations now key concern during stress events
MUFG head criticises internal modelling restrictions
Isda AGM: Mitsubishi UFJ Group CEO also sounds warning on sovereign risk weights and CVA
Hungary central bank action ‘distorting’ swaps curve
Flooding market with cheap swaps knocks 14% off bid rate
Systemic risk and the sovereign-bank default nexus: a network vector autoregression approach
This paper investigates European bond markets; looking at credit risk spillover effects between financial institutions and sovereigns in the euro area.
European government bond dynamics and stability policies: taming contagion risks
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
Deal of the year: Crédit Agricole Corporate & Investment Bank
French bank triumphs with bond repack
Fed’s Dudley: liquidity warnings a ploy to weaken regulation
“Most arbitrage trading has simply ceased,” Goldman exec counters
Repo market coping with liquidity regulation for now – bankers
Efficiency gains have kept capital supply up, but challenges remain