Bonds
How Citi is handling topsy-turvy rates markets
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
Credit markets falter as dealers slash inventory
Net negative sell-side bond positions exacerbate price gapping and settlement failure
Buy-side retreats to ‘dirty’ CSAs amid collateral crunch
Repo market fears prompt insurers and pension funds to revert to bond collateral
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
Bund volatility sparks uncertainty around futures delivery
Changing cheapest-to-deliver status catches some traders off guard despite Finanzagentur intervention
NIT protocol expanded among plans to electronify the full bond lifecycle
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‘Strong case’ for US synthetic Libor in bond markets
Temporary publication under SOFR-based methodology could mop up 40% of dollar bond issues
Mutual funds struggle to value Russian bonds
Filings show just how challenging pricing securities has been during crisis
Japan’s GPIF divests $1.5bn in Russia-linked assets
Pension fund cut exposure to country by 95% in the 12 months to March
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
Bond issues stumble on liquidity drought – Aviva treasurer
Insurer’s £500 million RT1 notes narrowly avoid market freeze as ECB ends asset purchases
Don’t just reach for the ’70s inflation playbook – CROs
Lack of inflation experience on risk teams not a concern, buy-siders say
EC official signals ‘preference’ for synthetic US Libor fix
UK regulator has resisted calls for a synthetic fallback for legacy dollar contracts
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps
Industry warns SEC bond disclosure plan may backfire
Extending rules for OTC equities to 144A bond issues could result in less price transparency
Norinchukin’s capital dented by crashing bond prices
The bank lost three percentage points of CET1 ratio in Q1 as contribution from AOCI halved
Cross-currency’s €STR switch may hasten Euribor demise
Rising cost of issuer cross-currency hedges could spur greater adoption of euro risk-free rate
Brexit bogeyman haunts EU’s Mifir transparency push
Bloc considers copying darker side of UK's divergence from its 2018 rules
Ukrainian debt holders brace for restructure
Investors could see a 40% haircut on the bonds, but it’s never that simple
Market braces for end of Russia central bank sanctions carve-out
Isda AGM: general licence expires on May 25, threatening bond payments and deliverable ruble settlement
Trumid, SGX Asia bonds JV faces uncertain future
Costly delays to launch of exchange sees backers slash headcount
Fair-value losses shave 50bp off HSBC’s CET1 ratio
Further buybacks in the latter part of 2022 unlikely as core ratio falls close to bank’s own guidance
Fair-value losses derail payout plans at State Street, BNY
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
What drives the convertible bond market?
Dmitry Pugachevsky, director of research at Quantifi, provides an overview of the burgeoning convertible bond market, including approaches to modelling and its outlook in the current inflationary environment