Bonds
Accurate RFR hedges face liquidity trade-off, participants say
Isda AGM: Aligning swaps with assorted cash market conventions requires users to weigh liquidity cost
Op risk data: Money laundering gaffes cost ABN €480m in penalties
Also: Turkish crypto exchange’s missing $2bn; online payment scams rise during Covid. Data by ORX News
The bond venue using blockchain technology to plug leaks
LedgerEdge trading system aims to stop prices moving against users requesting quotes in larger sizes
Traders say BoE green bond purchase scheme could sap liquidity
Updated plan could spike market volatility – harming not only brown bonds, say dealers
Government bond swaptions and how they might work
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
BofA kept up bond binge in Q1
Bank added $172bn of debt securities to portfolio over first three months of the year
UK funds fall out of love with sterling swaps
Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds
Asia moves: Natixis hires two in Asia, Sumitomo boosts corporate banking, and more
Latest job news across the industry
Podcast: Richard Martin on improving credit migration models
Star quant proposes a new model for predicting changes in bond ratings
Credit migration: generating generators
A stochastic time change helps the modelling of rating transition
Repo-linked renminbi floaters fail to excite investors
Muted demand dents China’s hope for repo fixing to become debt market’s benchmark of choice
CanDeal ideal: could Canada make a sea-change in e-trading?
E-trading firm aims to capture all Canada’s electronic fixed income trade, requiring a culture shift
EU bond issuance and the impact on the derivatives landscape
This webinar explores the implications of EU bond issuance, how it impacts the derivatives market, and the opportunities and challenges a relatively fast pace of new debt issuance has created for market participants
ETF options: the market’s latest credit hedge
Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
Nascent green repo market promises new market ‘ecosystem’
Market participants see demand for repo backed by green collateral
US Fed facility bought Libor bonds with ‘weak’ fallbacks
Industry surprise over purchase of floaters linked to doomed benchmark
DBS chief executive on fighting tech disruptors with data
Asia Risk 25: Data and AI are top technology priorities for Singapore bank, says Piyush Gupta
Japan weighs benchmark options as sun sets on Libor
Dominance of risk-free rates in local swaps markets post-Libor is no foregone conclusion, dealers say
Covid disrupted sale of bail-in bonds by EU banks
Top banking groups are short €146.5 billion of MREL-eligible instruments
Synthetic Libor powers give FCA ‘massive discretion’
Consultation on use of new benchmark clout may not limit safety-net rates to economic realities
Canada pension fund Hoopp goes cool on bonds
$70bn investor rethinks LDI strategy to take into account paltry yield from fixed income
Varying bank leverage ratio could fix ‘broken’ repo market
Risk Live: Repo with buy side should incur different leverage ratio, suggests big asset manager
Why the US election fallout was not a surprise to banks
A contested result was unexpected, but scenario planning meant banks weren’t unprepared
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses