Bonds
EU insurers show bias to own sovereigns
Forty-two percent of median EU country insurance sector's sovereign bond portfolio allocated to domestic government
Portfolio traders turn to tech – A new generation of strategies
Chris Bruner, head of US credit product at Tradeweb, explores the products that can help managers express portfolio views and how they can maximise the benefits they can reap by evaluating and understanding the price, risk and relative value of each…
EU-Singapore trade deal awakens sovereign restructuring fears
Many worry that EU government bonds are now in play for international arbitration
Libor fallbacks a low priority for most bond investors
However some securities shunned due to perceived weak legal safeguards
Use-cases for Mifid II data prove elusive
Banks running market share analysis from trade reports, but data quality hampering other projects
State Street top trading partner of Dodge & Cox Funds in 2018
Custody bank made up over 90% of all principal transactions
The low flow blow
Traders can’t make flow rates business hot again, but their colleagues in tech and ops might be able to
Dealers suffer in euro rates desert
Analysis shows collapse in swap and bond bid/offer spreads, as traders say business is “unsustainable”
Euro swap bid/offers edge to decade lows
Mifid II and extreme competition raise profitability concerns for euro rates market-makers
Debt-issuance spree helps Lloyds hurdle MREL target
Total funds and eligible liabilities rose to £66.8 billion at the end of last year, up 23% from 2017
Alt risk premia study finds ‘zero alpha’, clear beta to bonds
Vanilla exposures explain as much as two-thirds of returns, authors say
Libor may linger as regulators ‘change tune’
CFTC and FCA suggest benchmark could be kept alive to avoid cash market chaos
Repo rate hits 7.25% on year-end volatility
US Treasury issuance on December 31 said to have fuelled last-minute dash for cash
Bond trading dominates EU bank market risk
Traded debt position risk accounts for 60% of market risk capital requirements
A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
This paper reflects upon the evolution of the Altman family of bankruptcy prediction models, as well as their extensions and multiple applications in financial markets and managerial decision making.
Japan’s term RFR toil may mean bigger Tibor role
Derivatives-based methods for constructing curve challenging amid negative rate environment
Libor fallbacks set to split cash and swaps
Basis could appear when benchmark dies, with swaps, bonds and loans embracing different fallbacks
New directions – Diversification of alternative risk premia strategies
Despite a difficult year, investors remain keen to use alternative risk premia strategies. However, current approaches may be less diversified than they appear, especially given cross-contamination in cash equity factors. According to Nomura, a more…
China warning spurs banks over bail-in debt plans
Competing for attention in global TLAC markets could drive up costs for Chinese lenders
Law firm of the year: Linklaters
Risk Awards 2019: Linklaters at forefront of major changes to OTC derivatives market
As Brexit looms, Mifid transparency faces the chop
EU law and equivalent UK draft threaten to split and undermine trade disclosure rules
Growing an institutional footprint in Asia’s ETF market
Hong Kong Exchanges and Clearing (HKEX) explores the burgeoning impact of institutional investors in Asia’s exchange‑traded funds (ETFs) market – which is demonstrating the potential to establish itself as a global force – with a focus on the rapid…