Sovereign bonds
Hungary central bank action ‘distorting’ swaps curve
Flooding market with cheap swaps knocks 14% off bid rate
Systemic risk and the sovereign-bank default nexus: a network vector autoregression approach
This paper investigates European bond markets; looking at credit risk spillover effects between financial institutions and sovereigns in the euro area.
European government bond dynamics and stability policies: taming contagion risks
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
Deal of the year: Crédit Agricole Corporate & Investment Bank
French bank triumphs with bond repack
Fed’s Dudley: liquidity warnings a ploy to weaken regulation
“Most arbitrage trading has simply ceased,” Goldman exec counters
Repo market coping with liquidity regulation for now – bankers
Efficiency gains have kept capital supply up, but challenges remain
Capital hit from death of 0% sovereign weight 'not enormous'
Banks would have to raise equity equal to 0.7% of current levels, ESRB finds
‘Grexit’ and radical Greek bond restructuring not expected
Extension of maturities and lower interest rates more likely
AIB welcomes AFS bond filter preservation
Senior risk manager says economy too fragile to remove filter
Banks treat most sovereign exposures as risk-free
Basel report highlights overuse of standardised approach
Solvency II volatility dampener ineffective for euro periphery
Stress tests expose flaw in formula to calculate volatility adjustment
Progressive insurers revise approach to sovereign risk
Some supervisors pressing firms to risk weight sovereign bonds
European insurers return to peripheral sovereign debt markets
High yields and low volatility driving comeback from core-Europe firms
Italy follows Ireland in retaining AFS bond filter
Banca d'Italia proposes to allow its banks to ignore some government bond volatility
Government bond traders see difficult markets heading into 2014
Your word is my bond
Central Bank of Ireland diverges from Basel III on AFS bonds
Irish bank capital numbers would filter out unrealised gains and losses on government bonds
Detroit swaps spark fight between dealers and insurers
Detroit spinners
First Indonesian sovereign bond ETF to boost liquidity in onshore bond market
Fixed income ETF launched at a time of volatility in the Indonesian domestic market
Banks fear capital swings if Basel III kills bond filter
Filter furore
White paper: Sovereign debt contracts and the effects of recent case law on bondholders
This white paper deals with the implications of the case of NML Capital Ltd v Argentina. Although the decision applies specifically to sovereign debt contracts governed by New York law, it could have an impact on bondholders whose debt is not governed by…
FSA forces UK banks to assume higher sovereign losses
Behind-the-scenes clampdown sets loss-given-default floor at 45% – and could make UK bonds less attractive
MSCI and Barclays partner to launch ESG fixed-income indexes
Link-up will allow institutional fixed-income investors to apply ESG investment strategies to their bond portfolios
Sovereign CDS market needs to learn lessons from Greece, dealers say
An auction to settle the Greek sovereign CDS goes smoothly, but some participants argue the documentation needs to be revisited