Bonds
Bailed-out basis traders face regulatory backlash
The cash/futures basis trade could be a test case for regulating systemically risky activities
Cross-border bank loans fizzled in Q2 as bonds soared – BIS
Outstanding dollar-denominated bonds climbed 4% over Q2
First Ameribor bond bolsters SOFR alternative
Signature Bank sets sub debt milestone for aspiring Libor replacement; swaps expected to follow
Citi turns to fintech to boost FCM interest income
Clearing giant is optimising its treasury function to combat low rates and CCP fee hikes
Euribor fallback consultation set for November
ECB’s Holthausen raises concerns over inclusion of non-existent term €STR as safety net for euro contracts
FX swap volumes set to rise on China bond index inclusion
Traders expect greater use of FX derivatives if FTSE Russell adds bonds to WGBI this week
Bonds go back to the future as electronic volumes grow
Surge in bond ETFs and portfolio trades accompanies investor return to platforms
Friary deal clears path for Sonia switch revival
Consent solicitation for Libor-linked pass-through notes is first transition test for variable-duration instruments
Hong Kong plots Honia-linked floater debut
Central bank hopes floating rate note sale will kick-start new debt market linked to risk-free rate
France, Germany lead EU on MREL debt sales
French banks account for 27% of total bail-in bond issuances
Dealers vie with Markit to electronify bond issuance
Competing platforms could split the market for new issuance in Europe and the US
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