Sovereign bonds
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
China needs an RMB liquidity absorber – HK might be the answer
Increasing HKMA’s CNH debt issuance could help cement renminbi’s role in financial markets
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral
US Treasury market preps for reporting showdown
Sifma expected to attack transparency plans; prop traders brand objections “crazy”
‘Very little support’ for a US Treasury clearing mandate – Isda
Dealers and clients prefer carrot to stick in efforts to improve Treasury market liquidity
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
EU eyes fix to FRTB’s capital asymmetry for govvies
Banks say French presidency proposal would see PD floor slashed for sovereign bonds under IMA
Ukrainian debt holders brace for restructure
Investors could see a 40% haircut on the bonds, but it’s never that simple
Gensler calls for enhanced US bond market transparency
SEC chief advocates shorter Trace reporting delay, public dissemination of Treasuries trades
CDS users mull ‘uniform’ price as Russia fallback
Pricing agreement could replace dealer estimates if sanctions scupper default auctions
Sanctions threaten top pension funds’ Russia assets
Top global pension funds might dump Moscow-linked holdings in response to Ukraine invasion
FRTB capital quirk for sovereign bonds bewilders banks
EU treatment of govvies under internal models is worse than standardised approaches
SSA risk manager of the year: European Commission
Risk Awards 2022: EC debt programme skyrockets to fund recovery package of up to €800 billion
Don’t apply OTC equity rules to bonds, says SEC’s Peirce
Republican commissioner warns proposed transparency rule could deter electronic trading of bonds
Ex-regulators back PTFs’ call to reform Treasuries clearing
G30 proposal comes just weeks after PTFs requested improvements to Ficc sponsored clearing
EU regulators want Basel sign-off before leverage ratio changes
Risk Live: Benefits of temporary leverage exemptions still to be determined, ECB official says
US Treasuries: a venerable market in need of fresh thinking
The world’s most important market has evolved ad hoc; bringing order to it will be no small task
Own-country risk makes up 51% of EU bank sovereign portfolios
Home government exposures up seven percentage points in 2020
At big US banks, Treasury holdings grew over $350bn in 2020
US debt held-to-maturity increased 92% over the year
Softer US NSFR could skew global repo pricing
US banks benefit from Treasury repo exemption, while EU banks report only end-quarter ratios
Banks’ claims on the public sector up a third post-Covid
Own-country debt and reserves climbed 44%
EU banks built up own-sovereign risks through Covid crisis
Italian, Spanish and French banks in particular saw holdings of domestic government debt surge
MMFs lengthen portfolio maturity post-Covid – BIS
Average holdings had maturity of 41 days in November