Bonds
Asset managers offer tailored LDI to smaller pension schemes
Minimum AUM for customised hedging slashed from around £400m to £75m
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
Flow Traders bullish about threat from big banks
Talking Heads 2023: Non-bank market-maker remains confident of its edge in small-ticket corporate credit
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
Pension funds weigh corporate bonds as margin for gilt repo
Stung by disastrous losses during last year’s LDI squeeze, funds consider greater range of collateral on gilt repo
Why credit default committees are a turnoff for the buy side
With high costs and little to gain from participating, investment firms seem content to leave the legal work to the banks
Beyond Libor: the impact of SOFR on rates, bonds and loans
Dmitry Pugachevsky, director of research at Quantifi, explores how the transition from Libor to the secured overnight financing rate (SOFR) impacts rates, bonds and loans, alongside some of the challenges that are due to arise
LCH Ltd’s RepoClear margin model gets a makeover
Changes aim to make margin models for gilt repo more sensitive to market moves
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Credit Suisse CDS blip spotlights obligations list overhaul
Isda began work on updating reference instruments before banking crisis erupted
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
BofA cut $89 billion of AFS securities in H1
Pivot away from fair-value bond investments most sweeping among large US banks
Run risk on funds not a systemic issue, say market participants
FSB and Iosco are consulting on drive to make open-ended funds adopt anti-dilution tools
Five US banks would breach CET1 buffers on AFS loss reinclusion
Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most
Sovereign bonds top choice for IM collateral
Drive towards higher interest-earning assets strongest at CME and LCH among top CCPs
EU’s late CDS transparency push triggers trader fears
Leaked proposal to shoehorn public disclosure of CDS into Mifir placates Esma, but alarms traders
Scope of CDS anti-fraud rule raises concerns
Funds holding bond and swaps positions at risk under new SEC rule, warn lawyers
CDS auction-rigging lawsuit set to proceed
US judge clears way for case in which pension funds allege dealers manipulated CDS settlements
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
Evolution of the fixed income tradable ecosystem
Fixed income tradable indexes are designed to provide an efficient means to measure the bond market. This paper offers an introduction to these instruments and highlights their performance in recent market periods
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Europe’s new IRRBB test: the riddle with no answer
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
Managing inflation risk with hedging strategies
Dmitry Pugachevsky, director of research at Quantifi, explores how banks manage inflation risk using inflation swaps and inflation-linked bonds as hedging instruments
Dutch pension funds brace for hedging revamp
Planned legislative changes set to reduce long-end hedging needs, but market divided on curve impact