Corporate bonds
ECB finds holes in banks’ credit spread risk nets
Banks censured for insufficient evidence to support exclusion of products from CSRBB perimeter
Supervised similarity for high-yield bonds
Quantum cognition ML is used to identify tradable alternatives for high-yield corporate bonds
Shifting credit markets could push SRT pricing wider
Rising volatility may force issuers to adjust pricing in line with broader credit spread trends
US banks tiptoe back to least liquid assets for HQLAs
Goldman and Wells Fargo drive rebound on Level 2A holdings after two-year retreat
BlackRock tests ‘quantum cognition’ AI for high-yield bond picks
Study uses Qognitive machine learning model to find liquid substitutes for hard-to-trade securities
Breaking market norms, tri-party repo rates plunge for fringe collateral
Yields hierarchy upended as cost of repo-ing equities and other volatile securities falls over a percentage point below UST repos
US corporates tap euros for cheap debt and FX hedging
Interest rate differentials and cross-currency basis drive highest reverse Yankee issuance since Covid
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis
How do credit rating agencies and bond investors react to credit guarantees? Evidence from China’s municipal corporate bond market
This paper investigates China's municipal corporate bond market, examining the responses of credit rating agencies and bond investors to credit guarantees.
Pension schemes prep facilities to ‘repo’ fund units
Schroders, State Street and Cardano plan new way to shore up pension portfolios against repeat of 2022 gilt crisis
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
Legal & General to launch ABS funds amid rising pension demand
After 2022 gilt crisis, trustees and consultants turn to asset-backed securities to bolster portfolio liquidity and returns
How AI can give banks an edge in bond trading
Machine learning expert Terry Benzschawel explains that bots are available to help dealers manage inventory and model markets
Buy side unconvinced of corporate bond streaming benefits
Managers see limited utility of streamed prices in the once OTC-only asset class
Better tech brings threat of two-speed trading in fixed income
Smaller asset managers may get left behind as automation allows the big players to prosper
Buy-siders bemoan ‘dark arts’ of corporate bond CSA discounting
Litany of pricing variables fuel wide differences in how dealers calculate discount rates for collateral agreements
Blaming open-end funds for liquidity shocks is closed thinking
Controversial proposals to overhaul how funds manage liquidity risk are based on a fallacy, writes Eric Pan
Vue gives private credit another reason to shun CDSs
Lenders prefer to hold risk themselves and recent issues suggest incompatibility with private markets
How patchy liquidity is stymieing systematic credit
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
Flow Traders bullish about threat from big banks
Talking Heads 2023: Non-bank market-maker remains confident of its edge in small-ticket corporate credit