Fixed income
Sovereign ‘greenium’ differs more than you might think
Term structure data shows wide variation in yields for green sovereign debt, argues economist
CP+ unveiled: accurate, real-time pricing for global credit and rates markets
Bond markets lack transparency, making it difficult for investors to value bonds and compare prices. This can lead to overpaying or missed opportunities. CP+, a real-time pricing tool for bonds, addressees these challenges by offering data on more than…
The squeezing middle: data shows Europeans taking on US foes
Dealer Rankings 2024: Barclays, BNP Paribas and Deutsche grab bigger share of the pie
Sustainable bond markets miss an options trick
A derivatives mindset could boost lagging sustainability-linked market, argues climate think-tank
Liquidnet sees electronic future for grey bond trading
TP Icap’s grey market bond trading unit has more than doubled transactions in the first quarter of 2024
FICC takes flak over Treasury clearing proposal
Latest plans would still allow members to bundle clearing and execution – and would fail to boost clearing capacity, critics say
LCH UK units experience diverging IM requirements
EquityClear and RepoClear drop by half while SwapClear hits record high
EC adviser: more dealer help needed on EU bond secondary market
For their part, banks want greater clarity around issuance plans after 2026
BMO Capital Markets gaining ground in US Treasuries
Canadian bank goes head-to-head with large US bulge brackets in D2C market
Citi, JP Morgan bail-in buffers ebb above minimums
Duo’s long-term debt headroom closest to regulatory requirements among top US banks
Start-up bond platform OpenYield prepares to launch
Start-up aims to give retail brokers the same electronic liquidity used by the professionals
Better tech brings threat of two-speed trading in fixed income
Smaller asset managers may get left behind as automation allows the big players to prosper
Derivatives house of the year: JP Morgan
Risk Awards 2024: Response to regional banking crisis went far beyond First Republic
UK pensions mull discount rate switch after LDI crisis
Large schemes rethink liability calculations as illiquid allocations balloon following ‘mini-budget’
How patchy liquidity is stymieing systematic credit
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
Shining a light on fixed income
Traditionally, fixed income as an asset class has presented market participants with several challenges due to the over-the-counter (OTC) model by which the bulk of securities are traded. Observable market data, especially for infrequently or thinly…
We need to talk about pre-hedging
Dealers claim it’s a vital tool for managing risk. Clients say it’s open to abuse. How should regulators treat the problem child of financial markets?
Iosco takes aim at pre-hedging with new probe
Global standard-setter intends to release results of review in third quarter of 2024
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
TMX, CanDeal set to launch risk-free Canadian term rate
Forward-looking version of Corra will take over as official loan benchmark next year
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Sherman ratio optimization: constructing alternative ultrashort sovereign bond portfolios
This paper explores the Sherman ratio and find that it has merit in the optimization of portfolio construction.
Evolution of the fixed income tradable ecosystem
Fixed income tradable indexes are designed to provide an efficient means to measure the bond market. This paper offers an introduction to these instruments and highlights their performance in recent market periods
Token effort is no blockchain boon for illiquid assets
Cash-like tokenised instruments find takers; initiatives based on less liquid assets struggle to take off