Sovereign bonds
Bond rout puts pressure on UST holdings at US banks
Banks leaned heavily on mark-to-market Treasuries before April’s sell-off
Clearing members favour domestic sovereign bonds for IM in Q3
Secured cash at commercial banks and central bank deposits also on the rise as part of collateral diversification
Deutsche’s IRC tops €8 billion in four-year high
Ballooning credit-event risk charge contrasts with Q3 drop at BNP Paribas, ING
EU banks fear loss of NSFR repo relief
European Commission must decide by next June; other jurisdictions adopted softer calibration
Regulators want to fix AT1s. Investors want restraint
Tweaking the instrument that regulators love to hate may be the only way to prevent its abolition
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
US banks rejig AFS books in Q2
Some banks binge on US Treasuries while Goldman doubles down on RMBSs
Sovereign ‘greenium’ differs more than you might think
Term structure data shows wide variation in yields for green sovereign debt, argues economist
Covid-induced Eurobonds mark step towards EU financial cohesion
Successful issuance points to greater pan-European sharing of risk
Northern Trust buys $2.4bn of US Treasuries as rate-cut prospects rise
Additions to the 5–10 year portion of AFS book have been, for now, swapped to SOFR
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
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
EC adviser: more dealer help needed on EU bond secondary market
For their part, banks want greater clarity around issuance plans after 2026
BoE puts American spin on fix for FRTB’s govvies dilemma
Four jurisdictions find four different ways to resolve Basel market risk capital quirk
Clearing members sour further on cash for IM collateral
Sovereign bonds remain preferred choice at top CCPs in Q3
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
China needs an RMB liquidity absorber – HK might be the answer
Increasing HKMA’s CNH debt issuance could help cement renminbi’s role in financial markets
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral
Sovereign risk manager of the year: Ukraine’s Ministry of Finance
Risk Awards 2023: War bonds programme and debt payment freeze raise $11.6 billion to fund defence against Russia
US Treasury market preps for reporting showdown
Sifma expected to attack transparency plans; prop traders brand objections “crazy”