Bonds
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
Industry warns SEC bond disclosure plan may backfire
Extending rules for OTC equities to 144A bond issues could result in less price transparency
Norinchukin’s capital dented by crashing bond prices
The bank lost three percentage points of CET1 ratio in Q1 as contribution from AOCI halved
Cross-currency’s €STR switch may hasten Euribor demise
Rising cost of issuer cross-currency hedges could spur greater adoption of euro risk-free rate
Brexit bogeyman haunts EU’s Mifir transparency push
Bloc considers copying darker side of UK's divergence from its 2018 rules
Ukrainian debt holders brace for restructure
Investors could see a 40% haircut on the bonds, but it’s never that simple
Market braces for end of Russia central bank sanctions carve-out
Isda AGM: general licence expires on May 25, threatening bond payments and deliverable ruble settlement
Trumid, SGX Asia bonds JV faces uncertain future
Costly delays to launch of exchange sees backers slash headcount
Fair-value losses shave 50bp off HSBC’s CET1 ratio
Further buybacks in the latter part of 2022 unlikely as core ratio falls close to bank’s own guidance
Fair-value losses derail payout plans at State Street, BNY
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
What drives the convertible bond market?
Dmitry Pugachevsky, director of research at Quantifi, provides an overview of the burgeoning convertible bond market, including approaches to modelling and its outlook in the current inflationary environment
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
A look at asset liquidation from a different angle
Quants propose a novel approach to assess liquidation cost and stress-testing for hard-to-sell assets
CDSs may not cover final coupon on $149bn of Russian bonds
Some derivatives contracts expire before end of final grace period for distressed corporate bonds
Credit default swaps on Russian companies face uncertain future
With CDS auctions on sanctioned companies unlikely, traders may have to rely on dealer estimates
Russia’s foreign currency debt pile at risk of default
Sanctions could block coupon payments on $200bn of externally held foreign currency bonds
SSA risk manager of the year: European Commission
Risk Awards 2022: EC debt programme skyrockets to fund recovery package of up to €800 billion
Law firm of the year: Allen & Overy
Risk Awards 2022: law firm takes pivotal role in bond market’s DLT vision
How PGGM made 11% a year selling credit protection to banks
Dutch investor expects returns to drop over time unless rising inflation widens risk premia
Pimco’s Brazilian real deal swells its swaps portfolio
Counterparty Radar: Bond investor held an 83% market share of BRL swaps traded with mutual funds at Q3 2021
Fears over strong dollar put Asia’s hedgers on edge
Local corporates look to manage US dollar exposures in response to inflation and Fed tapering concerns
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
Tradeweb’s head of Asia reflects on the firm's year of connecting China’s investor community with global financial markets
James Sun, industry veteran and Tradeweb's head of Asia, talks about the firm's 2021 Asia-Pacific highlights, including the evolution of mainland China’s financial markets and how Bond Connect’s Southbound channel is streamlining Chinese investors’…