Basis trading
Repo and FX markets buck year-end crunch fears
Price spike concerns ease as September’s surprise SOFR jump led to early preparations for bank window dressing
Trillion-dollar basis trade will keep growing – asset managers
Treasury issuance, credit trades and repo stigma drive rise in futures use
For US Treasury troubles, treat the cause not the symptom
Regulatory alarm about hidden risk in the Treasury futures market misses the point, fund association execs write
Treasury futures super-user switches to swaps
Capital Group’s Anbax fund slashes UST futures holdings in move to alternative rates derivatives
US Treasury official calls for SLR relief during market stress
Under Secretary Liang also urges scrutiny of “artificial incentives” for Treasury futures in 40-Act rules
Traders eye negative CDS-bond basis
Changed market dynamic can be profitable for those firms able to capture it
Review of 2023: A hard road to a soft landing
Banks and regulators were caught in the crosswinds of the fight against inflation
The unknown risk on the flip side of the basis trade
US mutual funds have amassed record notionals in Treasury futures that in some cases exceed their AUM
Hard concentration: clearing members want clarity from CCPs
FCMs complain they struggle to pass opaque margin calculations through to end-clients
Margin failings raise concern over Treasury basis trade
Opaque models at clearing houses cast doubt on calculations for concentration add-on
BGC’s Eurex swap curve: basis killer?
Outright curve aims to stamp out LCH-plus-basis pricing for Eurex swaps – but price gap may persist, dealers say
Why the search for cheapest-to-deliver bonds just got harder
Interest rates uncertainty triggers bargain hunt among futures traders
Treasury clearing will drive up trading costs: BofA exec
Rates co-head warns SEC proposal could squeeze smaller dealers out of Treasury market
Hedge funds warn SEC dealer rule is ‘unenforceable’
Private funds say they are collateral damage of poorly drafted push to regulate PTFs
Single-name CDS trading bounces back
Volumes are up as Covid-driven support fuels opportunity for traders and investors
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
Sales of China’s snowball notes fall
Issuers point to tighter equity index basis and recent regulator warning over marketing of snowballs
Singapore calls time on new SOR swaps from September
Report calls on market participants to end reliance on SOR in coming quarters
Multi-curve Cheyette-style models with lower bounds on tenor basis spreads
A solution for a no-arbitrage condition in Cheyette-style models is proposed
Basis trades: a test case for regulating risky activities
FSOC is right to focus on dangerous behaviour, but Treasury meltdown reveals a complex chain of actors
CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds