Government bonds
Hedge funds warn SEC dealer rule is ‘unenforceable’
Private funds say they are collateral damage of poorly drafted push to regulate PTFs
JP Morgan extends run as top repo dealer to US funds
Counterparty Radar: New data shows wide variation in haircuts, with biggest clients – like BlackRock and Pimco – getting best terms
Mutual funds struggle to value Russian bonds
Filings show just how challenging pricing securities has been during crisis
Geithner stresses need for SLR reform to restore UST liquidity
Returning leverage ratio to backstop role is “not rocket science”, says former Treasury secretary
Eurex’s fixed income and IRS units hit by almost 700 breaches
Peak breaches in Q1 were €706 million and €214 million in size, respectively
US prop traders face 1,117% capital hike on Treasury trades
Responses to SEC plan show PTFs’ alarm over threshold to register as Treasury dealers
Ukrainian debt holders brace for restructure
Investors could see a 40% haircut on the bonds, but it’s never that simple
Prop stop: SEC plan to register prop trading threatens liquidity
Rule change may also be a crypto landgrab by SEC chairman Gensler, critics say
Revival of FX carry strategy leaves quants unconvinced
Record returns in March give little comfort that strategy is ‘back’
Portfolio rebalancing and seasonality in Canadian financial markets
Using Canadian data for the period 1957–2018, this paper provides evidence in support of portfolio rebalancing by professional portfolio managers.
Gensler calls for enhanced US bond market transparency
SEC chief advocates shorter Trace reporting delay, public dissemination of Treasuries trades
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
SEC proposal could mandate crypto venue registration
Updates to Reg ATS would classify “communications protocol systems” as exchanges
Flow market-maker of the year: Citadel Securities
Risk Awards 2022: ‘Meme factor’ and sturdy systems helped Ken Griffin’s firm cope with huge volumes – and post record revenues
Citadel Securities ‘expects’ to make US primary dealer bid
Firm has invested to meet Fed’s entry criteria, as it seeks bigger say in ongoing UST market reforms
Ukraine invasion clouds rates consensus trades
“Old school” US macro trades are back in fashion, but geopolitical risks add uncertainty
How do you solve a problem like the lira?
Asset managers diverge in their approach to managing Turkish currency turmoil as FX hedging costs soar
Investors shun Chinese bonds favoured by biggest benchmarks
Indexes are increasing their allocation to China, but European investors want climate action first
Top 10 op risk losses for 2021 hog $15bn total
Despite more fraud and crypto crime, firms’ op risk losses fall in number and in volume. Data by ORX News
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
Ex-regulators urge tougher rules for non-banks in UST markets
Mandatory clearing and standing repo facility fees could cut risk of liquidity stress
Buy-side rates traders staying on sidelines after wild October
Funds cautious after staggering collapse of the year’s steepener trade
Industry relief as US keeps leverage ratio reform on the table
Risk USA: Market participants welcome Treasury market report, which includes possible SLR changes