Bonds
Sluggish SOFR lending keeps CLO basis contained
Slow credit markets keep risk in check for CLO equity holders
FICC’s government securities unit hit by $995m breach
Large moves in US Treasury yields in June to blame for largest backtesting exception on record
Shifting rates throw bond investors off balance
Dearth of bond liquidity forces some traders to offload positions – but, as ever, others are waiting to pounce
Banks face capital hit on broader energy market collateral
Non-standard clearing house margin for energy trades would increase RWAs unless relief granted
JSCC’s bond and IRS units hit by almost 200 breaches
Q2 volatility triggered some of the largest initial margin breaches ever reported by the CCP
‘Monster’ rally shows junk index isn’t what it was
Speed of recovery reflects structural and technical changes in US high yield
Barclays confronts ‘implausible’ macro risks
Talking Heads 2022: Bank is reaping rewards of sticking with its trading businesses, says macro head Lublinsky
LCH cuts to the chase in SOR conversion plan
Proposal would skip interim stage in demise of Singapore’s outgoing rate
US Treasury market preps for reporting showdown
Sifma expected to attack transparency plans; prop traders brand objections “crazy”
Optimal exercise of callable bonds
Citi quants and structurers present a term-structure model for callable bonds' work
How Citi is handling topsy-turvy rates markets
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
Credit markets falter as dealers slash inventory
Net negative sell-side bond positions exacerbate price gapping and settlement failure
Buy-side retreats to ‘dirty’ CSAs amid collateral crunch
Repo market fears prompt insurers and pension funds to revert to bond collateral
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
Bund volatility sparks uncertainty around futures delivery
Changing cheapest-to-deliver status catches some traders off guard despite Finanzagentur intervention
NIT protocol expanded among plans to electronify the full bond lifecycle
Sponsored podcast
‘Strong case’ for US synthetic Libor in bond markets
Temporary publication under SOFR-based methodology could mop up 40% of dollar bond issues
Mutual funds struggle to value Russian bonds
Filings show just how challenging pricing securities has been during crisis
Japan’s GPIF divests $1.5bn in Russia-linked assets
Pension fund cut exposure to country by 95% in the 12 months to March
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
Bond issues stumble on liquidity drought – Aviva treasurer
Insurer’s £500 million RT1 notes narrowly avoid market freeze as ECB ends asset purchases
Don’t just reach for the ’70s inflation playbook – CROs
Lack of inflation experience on risk teams not a concern, buy-siders say
EC official signals ‘preference’ for synthetic US Libor fix
UK regulator has resisted calls for a synthetic fallback for legacy dollar contracts
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps