Government bonds
ECB certificates: a ready-made euro safe asset
The CMU must be backed by a stock of safe assets. The ECB can supply them, writes Daniel Hardy
Credit Suisse, UBS slowed accrual of liquid assets in Q3
Credit Suisse’s LCR drops six percentage points quarter-on-quarter
Big moves, but no panic after tumultuous US election
Treasury market saw its largest post-election move since at least 2000 – but liquidity held up
One man’s trash is another man’s Treasury
With yields at record lows, investors are asking how much protection bonds will offer in a future crisis
CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
BNY Mellon, State Street reshape liquidity buffers
HQLA falls as share of custody banks’ investment portfolios
Fulcrum hangs ESG designs on honing hard numbers
ESG risks will become part of investment and risk management processes across all funds at the firm
Fed will calibrate NSFR to avoid hurting repo
Fed’s supervision head says final liquidity rule will be fast-tracked without fresh consultation
Hong Kong plots Honia-linked floater debut
Central bank hopes floating rate note sale will kick-start new debt market linked to risk-free rate
EU insurers’ fund holdings battered by Covid in Q1
Total asset portfolios declined 6% through Covid shock
Tri-party repo trades backed by GSE debt gain popularity
Agency bond trades made up 37% of total tri-party transactions on September 4
Eurozone funds charged into overseas debt in Q2
Net purchases almost reversed the first quarter’s fire sale
Systemic US banks’ liquidity ratios rebounded in Q2
Aggregate liquid assets increased 15% quarter on quarter
Systemic US banks’ leverage exposures shrank $1.4tn in Q2
On-balance sheet exposures fall on Fed relief
New Tradeweb/IBA benchmark tipped as ‘competitor’ to SOFR
Forward-looking risk-free rate aimed at US mortgage market could have broader applications
DTCC’s mortgage unit hit by $1.5bn margin breach in Q1
A large, directional portfolio $100 billion in size was to blame
China bond buyers tiptoe through credit analysis minefield
State backing for domestic companies is hard to gauge, as new investors are discovering
Generali’s solvency ratio savaged by Covid-19 turmoil
Italian sovereign exposures could force capital gauge even lower
Safe havens no longer safe, quants fear
Equity-debt correlation breakdown and negative bond yields make investors nervous
El-Erian on Covid-19 policy risks and central bank capture
Former Pimco chief says Fed has gone too far, market function rules needed and chance opens for shared policy load
Banks fear time-limit on Fed leverage ratio reprieve
Capital constraints not covered by relief also weigh on balance sheet strategy
Fed’s leverage ratio relief puts foreign banks on the back foot
European banks cannot – yet – exempt US Treasuries from their exposure measures
Deutsche Bank cut liquidity buffer in 2019
Cash balance dropped €49 billion last year
Bankers say discount window is imperfect fix for UST woes
Further changes advocated to ensure Treasuries are used in US bank liquidity buffers