Sovereign bonds
EU banks pare own-country sovereign exposures
Banks held €1.76 trillion of domestic government bonds in Q2 2019, down from €1.91 trillion a year ago
Funding risk of global banks varies
Basel study shows European banks have seen net cash outflows increase just 7.7% in four years
Factor-based tactical bond allocation and interest rate risk management
This paper offers two composite bond market factor investment strategies each for the Swiss bond market and for the global sovereign bond market.
Tradeweb reveals package trading for swaps and bonds
New tool offers pricing and trading of sterling swap-bond combo
Liquidity coverage at US G-Sibs worsens in Q2
HQLA rose $18bn while projected net cash outflows jumped $29bn
Bond binge accelerates at eurozone insurers
Annualised growth rate of debt portfolios hits new high of 2.6%
EU-Singapore trade deal awakens sovereign restructuring fears
Many worry that EU government bonds are now in play for international arbitration
Enria takes aim at eurozone banks’ sovereign exposures
New ECB supervision chair floats Pillar 2 concentration charge, criticises use of IFRS 9
Euro swap bid/offers edge to decade lows
Mifid II and extreme competition raise profitability concerns for euro rates market-makers
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
EU banks most exposed to French, German, US sovereign risk
French bonds make up 17% of all EU bank sovereign exposures
JSCC bond unit reports 26 margin breaches in Q3
JGB turmoil, heightened activity may have caught clearing members off-balance
CIBC's Barbados woes incur $44 million capital charge
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour
'No-deal' Brexit would add risk weights to EU government bonds
HSBC has most sovereign exposures that could attract higher capital charges among big UK banks
Own goal: Mifid II reduces transparency in some EU markets
New rules replace voluntary arrangements in ETFs and Nordic bonds, fragmenting post-trade data
Munich Re adjusts sovereign portfolio
Reinsurer clips US, UK, Italy holdings
Commerzbank VAR jumps on Italian turmoil
Sovereign bond yield spike hits public finance portfolio
EU banks toughen terms for OTC trades – ECB
Credit conditions for SFT and OTC derivatives tightened over past three months
EU trading venues warn over looming end of LEI relief
Expelling issuers with no legal entity identifiers could hurt liquidity and investor strategies
Softer repo treatment seen as up for grabs in final US NSFR
Funding rules for Treasury repo on shortlist of changes; lower swaps add-on viewed as done deal
Banking union: big bang or damp squib?
Eurozone needs package of interrelated measures to prevent project going backwards
Only 1% of bonds caught in first wave of Mifid transparency
Trax estimates 5% of corporate bonds will be subject to full transparency after four-year phase-in
Eonia jump forces rethink of euro swap pricing
Traders say volatility of discount rate should be taken into account after "unprecedented" 12bp move
The price is still wrong: banks tackle bond CSA discounting
Diverging Eonia and European repo rates spur banks to look at valuations of swaps with bond collateral