Bonds
Evolution of the fixed income tradable ecosystem
Fixed income tradable indexes are designed to provide an efficient means to measure the bond market. This paper offers an introduction to these instruments and highlights their performance in recent market periods
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Europe’s new IRRBB test: the riddle with no answer
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
Managing inflation risk with hedging strategies
Dmitry Pugachevsky, director of research at Quantifi, explores how banks manage inflation risk using inflation swaps and inflation-linked bonds as hedging instruments
Dutch pension funds brace for hedging revamp
Planned legislative changes set to reduce long-end hedging needs, but market divided on curve impact
Western Alliance, PacWest put $9.8bn of loans up for sale
Embattled banks to dispose of 13% and 10% of respective loan books as strategic options talks continue
Swap Connect set to launch within weeks
After final rules were published last week, sources suggest CNY swap scheme could go live by May 15
Some investors see value in beaten-down AT1s
CoCos are trading at a discount on fears that European issuers won’t call the bonds. But buy-siders say this risk is overstated
BofA slashed AFS Treasuries holdings by 36% in Q1
Partial sale of securities portfolio crystallises $200 million of paper losses
Token effort is no blockchain boon for illiquid assets
Cash-like tokenised instruments find takers; initiatives based on less liquid assets struggle to take off
US banks seize chance to transfer securities from HTM to AFS
Wells Fargo, JP Morgan and Citi reclassify $34bn following new hedge accounting treatment
How Man Numeric found SVB red flags in credit data
Network analysis helps quant shop spot concentration and contagion risks
Did US hedge accounting rules contribute to SVB’s recklessness?
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
‘Spectacular’ vol disconnect ‘ominous’ for risk assets
Historic divergence has caught the eye of Boaz Weinstein and others
First Republic had just $11bn eligible for Fed’s new facility
The bank held nearly $20bn of municipal bonds, representing over 60% of its securities portfolio
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
Missing Basel metric could have revealed SVB risks
US regulators did not implement economic value of equity test that SVB failed badly in 2021
Contrarian Goldman grew fair-value bond book in 2022
Held-to-maturity securities balloon, but bank also adds mark-to-market Treasuries as others curtail them
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral
Risk.net’s top 10 investment risks for 2023
Geopolitical frictions, sticky inflation and a hard landing are among the hazards cited by investors
Lawmakers join pushback over SEC dealer rule
Bipartisan letter to Treasury says proposal would damage market liquidity
Lifetime achievement award: Stephen Kealhofer
Risk Awards 2023: KMV co-founder helped usher in a new era of credit risk analysis – at banks and investors
Finra head recognises ‘challenges’ for bond transparency drive
Cook says regulators thinking about industry’s operational and liquidity concerns