Bonds
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%
Index delays leave passive bond funds in purgatory
Moves to postpone index rebalancings could backfire as rating agencies press ahead with downgrades
Fed action fails to dampen spreads for riskier credits
Borrowing costs for some issuers are still two to three times the historical average
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
US banks still fret about cutting liquidity buffers
Fed instructions to banks to run down LCR undermined by governance rules, other liquidity metrics
Libor webinar playback: spotlight on bonds
Panellists from Lloyds, RBC Capital Markets and TD Securities discuss efforts to switch to new lending benchmarks
Seeing red over blue-chip swap in Argentina’s NDF fiasco
Emta protocol salve aside, peso settlement rate snafu is a warning for emerging market FX derivatives
Bonds and swaps struggled in virus volatility
Low liquidity and wider spreads amplified by remote working, traders claim
BoE’s new Sonia index gets a thumbs-up from issuers
Calculating coupons based on compounded Sonia was “a real nightmare” for some
Rates trading revenues up 154% at top US banks
Net gains on interest rates-related exposures top $21 billion