Sovereign bonds
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
Eurozone must lead search for doom-loop fix
Basel Committee working on sovereign risk, but eurozone has most at stake
Brexit gives banks a taste of life without AFS bond filters
Liquidity buffer valuations now key concern during stress events
MUFG head criticises internal modelling restrictions
Isda AGM: Mitsubishi UFJ Group CEO also sounds warning on sovereign risk weights and CVA
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