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Quotes
Direct inflation swap trading certainly is not something that suits all market participants
Charlotte Oakes, Morgan Stanley
The markets are moving more quickly than the timescales to transfer liquid assets from one place to another
Simeon Willis, XPS Pensions Group
Primarily because of China’s zero-Covid policy, China rates are trading on their own path to that of US rates
Bruno Lettich, Standard Chartered
Editor's Choice
UK pensions hit with £100m margin calls as gilts and sterling slide
At least three LDI managers request emergency capital as others consider unwinds to avoid default
Big Figure
Japan basis blowout
A combination of surging inflation, a burst of rate hikes from central banks and a liquidity-starved market has disrupted even the simplest curve or futures-bond relationship. A glaring example is the blowout in the basis between 10-year Japanese government bonds and futures on June 15.
Read the full articleInvesting
Pension funds foresaw margin meltdown (a decade ago)
Years of warnings went largely unheeded. Questions may now spread to post-crisis clearing and margining project
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Comment
Is stochastic cross-currency basis a better way to model IM?
Why fears about quantitative tightening are overblown
Our Take
Pension funds foresaw margin meltdown (a decade ago)
Talking Heads 2022: Rates market ruckus