Bonds
EU bonds favoured over swaps as hedge for European debt
Hedge funds are increasingly using the bonds to hedge Bunds and OATs as swap correlations decline
KeyCorp refreshes AFS portfolio with $7bn CMBS sale
Strategic shift taps peak valuations and Scotiabank investment to reduce AOCI pressure
Are investors betting on Kamala or Donald? Neither
Hedge funds and others shun election-based trades and rely on existing hedges to guard against surprise market moves
MTS hopes BondVision revamp will double rates market share
Proni says dealer oversight on fees and data, and new order tech key to D2C push; swaps a possibility
ECB official leaves door open to liquidity aid for non-banks
Risk Live: Deputy director doesn’t rule out copying UK plan to extend repo facility to pension funds and life insurers, but no imminent plans
European banks search for consensus on credit spread risk
New EBA guidelines spawn diverging interpretations of which products must be assessed for CSRBB
Markdowns on Japan Post Bank’s domestic bonds widen 50%
Unrealised losses on JGBs-dominated book compounded by out-of-the-money foreign-bond hedges
India’s index inclusion could herald future flow shifts
Limited boost to FX flows after Indian govvies debut on JPM index may change as others follow suit
Cable basis set to shrink as pension buyouts dwindle
BoE rate cuts and tightening US credit spreads expected to further normalise the sterling-US dollar cross-currency basis
Regulators want to fix AT1s. Investors want restraint
Tweaking the instrument that regulators love to hate may be the only way to prevent its abolition
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
Anticipating rate hike, MUFG offloaded ¥4trn of Japan government bonds
Lender reduces holdings to lowest in over a decade
Trends, challenges and opportunities in fixed income trading
Is 2024 the year of the bond?
EU banks hedge net interest income to pass new IRRBB test
Would-be outliers look to cut sensitivity of cashflows to rate moves, but at what cost?
Shifting tack, Goldman bought $6.7bn of agency RMBS in Q1
Purchase of amortised-cost securities is first diversification away from US Treasuries in seven years
Sovereign ‘greenium’ differs more than you might think
Term structure data shows wide variation in yields for green sovereign debt, argues economist
Covid-induced Eurobonds mark step towards EU financial cohesion
Successful issuance points to greater pan-European sharing of risk
BofA, JPM hoover up $104bn of US Treasuries in Q1
As Fed’s first rate cut nears, banks revamp their AFS holdings
Norinchukin’s paper losses double to record high
Latest AOCI fluctuation knocks 29% off CET1 capital
FX alternative risk premia as a key diversifier for equity bond portfolios
Siddharth Grover, head of QIS structuring at BBVA, discusses how the BBVA FX Risk Premia Indices can aid investors seeking diversification, and provides insight into potential trends moving forward
Republic First’s securities portfolio lost over $400m in 2024
Fair-value losses on non-agency RMBS holdings accelerated as rate cut expectations dimmed