Corporate bonds
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
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
Industry warns SEC bond disclosure plan may backfire
Extending rules for OTC equities to 144A bond issues could result in less price transparency
Flow Traders to offer prices on first bond market run on DLT
The first bond market run on a private blockchain gives non-banks an opportunity to take market share
CDS users mull ‘uniform’ price as Russia fallback
Pricing agreement could replace dealer estimates if sanctions scupper default auctions
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
Have corporate bond markets outgrown the plumbing?
Regulators must examine both investor demand and dealer liquidity supply, say Iosco experts
Apollo, KKR, Ares and the Bermudan CLO arbitrage
‘Capital efficiency’ may explain a 1,100% surge in life assets reinsured on the Atlantic island
SEC proposal could mandate crypto venue registration
Updates to Reg ATS would classify “communications protocol systems” as exchanges
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
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
Don’t apply OTC equity rules to bonds, says SEC’s Peirce
Republican commissioner warns proposed transparency rule could deter electronic trading of bonds
Leveraging liquidity scores and pricing data in portfolio trading
In this podcast, Zoi Fletcher, associate commercial editor, Risk.net, talks to Matt Walters, head of product, portfolio trading at MarketAxess, about how data analytics is improving outcomes in portfolio trading, the optimal situations in which it should…
FRTB starts ‘tug of war’ between front and back offices
Risk USA: dealers face trade-off between accuracy of pricing models and level of capital charges
Non-bank growth in e-credit spurs dealer algo push
As the likes of Jane Street capture more electronic business, dealers are reassessing their capabilities
Insurers’ favourite credit rating becomes more expensive
US institutions face a dilemma: go up a rating and lose yield or go down a rating and increase risk
Corporates pre-hedge future bond sales as inflation rises
Companies are making the most of low rates while they last and hedging issuance that’s years away
Empirical validation of the credit rating migration model for estimating the migration boundary
In this paper, a structural model for credit rating migration is developed and validated, by which the migration boundary is recovered for the first time.
Accurate RFR hedges face liquidity trade-off, participants say
Isda AGM: Aligning swaps with assorted cash market conventions requires users to weigh liquidity cost
The bond venue using blockchain technology to plug leaks
LedgerEdge trading system aims to stop prices moving against users requesting quotes in larger sizes
