Bonds
Own goal: Mifid II reduces transparency in some EU markets
New rules replace voluntary arrangements in ETFs and Nordic bonds, fragmenting post-trade data
Poor Mifid data could condemn OTC market to the dark
Many derivatives likely to fail first full liquidity test and escape EU transparency obligations
Commerzbank VAR jumps on Italian turmoil
Sovereign bond yield spike hits public finance portfolio
Generali weathers Italian bond turbulence
Solvency II SCR ratio dips to a still lofty 201% in the first half
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
EU trading venues warn over looming end of LEI relief
Expelling issuers with no legal entity identifiers could hurt liquidity and investor strategies
UK bank funding costs spike in Q1 – BoE
Total term debt issuance is around 60% higher this year to date than at the same points in 2016 and 2017
Podcast: Richard Martin on EM debt, copulas, machine learning
Quant sceptical of machine learning algos and black boxes
Emerging market corporate bonds as first-to-default baskets
Modified Merton model offers insights on EM corporate debt
Modelling correlation: from zig-zag to zig-zig
Research is starting to show the stock-bond link in a new light
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
Citi largest counterparty for Templeton currency hedges
Citi accounted for 23% of outstanding forwards at end-March
European investment fund growth slows
Bond fund growth rate falls from 10.6% to 8.2% quarter-on-quarter
Duelling repack platforms find common ground
Standard documentation initiative mulls shared SPV model as founders seek to join rival
Dodge & Cox turns to MBS as Treasury yields rise
Income Fund grows securitised allocations from 36.1% to 39.7%
Reform fails to solve collateral woes in Korea
Korean swaps users wary of collateral reuse, leaving dealers with LCR burden
Libor death threatens to blow hole in hedges
Isda AGM: BlackRock, Fed stress need for fallbacks to marry up across rates universe
Rising rates hit Chubb's portfolio
US insurer posts $1 billion in realised and unrealised losses
Rising yields prompt China banks to up loan-loss coverage
Domestic and foreign lenders reassessing loan books and tweaking hedging strategies
Mifid transparency has failed so far, say traders
Poor quality, inaccessible data and a lack of instruments covered undermine use case
Regulatory merger keeps China on course for deleveraging
Combination of banking and insurance regulators offers opportunity to co-ordinate debt reduction measures
The DIY approach to China bond investing
Lack of international ratings means foreign investors will need research resources of their own
China’s Bond Connect set to remove trading obstacles
Launch of delivery versus payment and block allocation should stimulate onshore hedging as well