Bonds
PTFs loaded up on US Treasuries during SVB collapse
Treasury official says non-bank interdealer market share rose 10 percentage points in March as dealers retreated
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
HSBC’s rate-hedge reset to generate $1bn bond loss
Unwind of lower-yielding bonds costs $578m in Q3, with another $400m expected by year-end
Eurex repo haircutting to move to Prisma futures model
Switch will open cross-margining opportunities between repo and futures
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
How patchy liquidity is stymieing systematic credit
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
Equitable lobbies for concentration charge on riskier ABS
“Ultra-high correlation of losses” between lower-rated tranches requires new regulation, insurer says
Asset managers offer tailored LDI to smaller pension schemes
Minimum AUM for customised hedging slashed from around £400m to £75m
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
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
Pension funds weigh corporate bonds as margin for gilt repo
Stung by disastrous losses during last year’s LDI squeeze, funds consider greater range of collateral on gilt repo
Why credit default committees are a turnoff for the buy side
With high costs and little to gain from participating, investment firms seem content to leave the legal work to the banks
Beyond Libor: the impact of SOFR on rates, bonds and loans
Dmitry Pugachevsky, director of research at Quantifi, explores how the transition from Libor to the SOFR impacts rates, bonds and loans, alongside some of the challenges that are due to arise
LCH Ltd’s RepoClear margin model gets a makeover
Changes aim to make margin models for gilt repo more sensitive to market moves
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Credit Suisse CDS blip spotlights obligations list overhaul
Isda began work on updating reference instruments before banking crisis erupted
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
BofA cut $89 billion of AFS securities in H1
Pivot away from fair-value bond investments most sweeping among large US banks
Run risk on funds not a systemic issue, say market participants
FSB and Iosco are consulting on drive to make open-ended funds adopt anti-dilution tools
Five US banks would breach CET1 buffers on AFS loss reinclusion
Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most
Sovereign bonds top choice for IM collateral
Drive towards higher interest-earning assets strongest at CME and LCH among top CCPs
EU’s late CDS transparency push triggers trader fears
Leaked proposal to shoehorn public disclosure of CDS into Mifir placates Esma, but alarms traders
Scope of CDS anti-fraud rule raises concerns
Funds holding bond and swaps positions at risk under new SEC rule, warn lawyers