Basis trading
Why the search for cheapest-to-deliver bonds just got harder
Interest rates uncertainty triggers bargain hunt among futures traders
Treasury clearing will drive up trading costs: BofA exec
Rates co-head warns SEC proposal could squeeze smaller dealers out of Treasury market
Hedge funds warn SEC dealer rule is ‘unenforceable’
Private funds say they are collateral damage of poorly drafted push to regulate PTFs
Single-name CDS trading bounces back
Volumes are up as Covid-driven support fuels opportunity for traders and investors
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
Sales of China’s snowball notes fall
Issuers point to tighter equity index basis and recent regulator warning over marketing of snowballs
Singapore calls time on new SOR swaps from September
Report calls on market participants to end reliance on SOR in coming quarters
Multi-curve Cheyette-style models with lower bounds on tenor basis spreads
A solution for a no-arbitrage condition in Cheyette-style models is proposed
Basis trades: a test case for regulating risky activities
FSOC is right to focus on dangerous behaviour, but Treasury meltdown reveals a complex chain of actors
CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
Protocol delay casts doubt on Libor death knell timing
Two-month delay to Isda fallback protocol leaves FCA’s planned end-2020 statement in the balance
Mariner’s CRO on avoiding predictable surprises
Buy-side risk survey: relative value specialist builds shocks into investment strategy
Bond-CDS basis keeps investors interested
Difference between cash bond spreads and derivatives tightens but still offers value, dealers say
Sonia swaps surge not mirrored by futures
Popularity of short sterling futures takes shine off Sonia’s RFR succession
Sonia-Libor basis narrows after fallback verdict
Isda picks five-year median for spread adjustment, causing benchmark gap to tighten
Nationwide and Lloyds win nod for Sonia bond switch
Covered bonds secure unanimous transition support, while first negative consent amendment passed
The fair basis
Wujiang Lou remodels credit arbitrage by introducing funding and capital costs
Formosa swaptions trade under pressure from new Taiwan rules
Limit on investment by insurers is hitting issuance of Formosa bonds and related options
Hedge funds cut CDS positions as basis trades diminish
Net long CDS positions fell by $117 billion from mid-2014 to end-2017
LCH plans to let banks clear self-referencing CDSs
Move will facilitate index arbitrage trades and put CDSClear one step ahead of rival Ice, note FCMs
Video interview: Pieter Entius, Flow Traders
Pieter Entius, head of trading at Flow Traders, discusses how Eurex Market-on-Close can deliver listed solutions for basis trading
Skewed views: banks, auditors split on CDS index trades
Views on risks and accounting treatment of arbitrage repack differ across the Street
Buy side turns to credit skew notes for yield pick-up
Revival of credit derivatives arbitrage strategy targeted at insurers and private banks
Bond-CDS basis trades have 'stopped working', hedge funds say
Arbitrageurs have exited trades, leaving basis structurally higher