Bonds
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
Sovereign risk manager of the year: Ukraine’s Ministry of Finance
Risk Awards 2023: War bonds programme and debt payment freeze raise $11.6 billion to fund defence against Russia
Finra head recognises ‘challenges’ for bond transparency drive
Cook says regulators thinking about industry’s operational and liquidity concerns
Impactful short duration: green bonds and yield curve strategies
In the search for impact and yield, how does a green bond investment strategy compare with the performance of the wider European credit market?
The final countdown: Europe’s pension funds get ready to clear
With clearing exemption due to end next June, EU funds try to learn from UK’s LDI mistakes
CLO managers snapping up discounted high-yield bonds
Holdings in European CLOs top 8% as managers push to increase caps on fixed-rate assets
China bond futures to be relaunched in Hong Kong
Products expected to be back on HKSE next year – six years after being suspended
Why the search for cheapest-to-deliver bonds just got harder
Interest rates uncertainty triggers bargain hunt among futures traders
UK pension funds hand over more assets to LDI managers
Transfer of assets is a pre-emptive move to avoid repeat of September’s collateral crunch, trustees say
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
No clear gain: banks question SEC’s Treasuries clearing plan
US Treasuries dealers say clearing won’t help post-Covid illiquidity – and could harm it
Illiquid assets throw UK pensions off balance
Collapse in equity and bond prices leaves some funds with outsized exposure to private holdings