Bonds
Covid recession makes US insurers’ junk bond piles riskier
About $227.5 billion of firms’ debt holdings are BB+ rated or lower
Eurozone funds charged into overseas debt in Q2
Net purchases almost reversed the first quarter’s fire sale
Covid liquidity, block trades and Fed op risk
The week on Risk.net, August 1-7, 2020
Why Asia needs to talk about SOFR
Focus on local benchmark reform is “distracting” Asia’s preparations for the end of USD Libor
Asia debt market suffers SOFR inertia
Issuers of floating rate notes stick with Libor in absence of term version of risk-free rate
Term SOFR rate still possible this year, benchmark firms say
Administrators target year-end benchmark trials despite low swaps liquidity
UK’s tough legacy fix spells trouble for US Libor transition
FCA will have little control over how synthetic Libor rates are used in other jurisdictions
Altman: mega-bankruptcy wave coming
Credit conditions were worsening before Covid, research finds
‘Improving’ Mifid post-trade transparency splits markets
Mooted changes to Europe’s transparency regime are dividing markets – largely along functional lines
SocGen’s digitised bond passes settlement test
Banque de France-backed deal pips private consortiums in dummy run for digital currency trades
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
Covid-19 and the credit cycle
The Covid-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from a record long benign credit cycle to a stressed one, with still uncertain dimensions. This paper seeks to assess the credit climate…
Bond-CDS basis keeps investors interested
Difference between cash bond spreads and derivatives tightens but still offers value, dealers say
RMB hedging comes onshore as regulators liberalise FX market
Foreign investors turn to CNY for bond hedges as rule changes spur more competition
Equity derivatives aided BlackRock funds in March
Flagship Strategic Income Opportunities fund posted $253 million in net derivatives gains at height of Covid crunch
BlackRock's muni funds slow to rebound from Covid crunch
Cumulative returns have barely edged up for these funds since end-March
Recent defaults lead to record credit derivatives payouts
CDS auctions have yielded historically low recovery rates this year, meaning swap sellers have had to pay more than normal
China bond buyers tiptoe through credit analysis minefield
State backing for domestic companies is hard to gauge, as new investors are discovering
Twin-track solution for ‘tough legacy’ Libor falls flat
Critics deplore lack of detail in UK taskforce's call for parallel legal fix and synthetic rate
Two-factor Black-Karasinski pricing kernel
Analytic formulas for bond prices and forward rates are derived by expanding existing rate models
Singapore debuts floater linked to risk-free rate
DBS to issue one-year note with compounded SORA coupon
Electronic bond trading stalled in volatile markets
Bid/offer spreads on bond platforms spiked in March and the buy side struggled to trade
Safe havens no longer safe, quants fear
Equity-debt correlation breakdown and negative bond yields make investors nervous
Bond embrace may help emerging markets withstand Covid-19
Annual growth rate of debt issued by non-bank borrowers averages 11%