Credit markets
Citi catapults to top credit options dealer spot for US funds
Counterparty Radar: Market for mutual funds, ETFs continues to shrink in Q4 as Pimco, PGIM further cut exposures
How Man Numeric found SVB red flags in credit data
Network analysis helps quant shop spot concentration and contagion risks
Why US bank regulation needs a system upgrade
SVB collapse shows supervisory framework is not fit for a changing industry and new systemic risks
Credit Suisse CDSs offer no reprieve for AT1 losses
Legal experts pore over credit definitions after AT1 writedown
Lifetime achievement award: Stephen Kealhofer
Risk Awards 2023: KMV co-founder helped usher in a new era of credit risk analysis – at banks and investors
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
PGIM pares back long-bond options bets
Counterparty Radar: Barclays benefits from manager’s Q3 portfolio changes
Trends in global credit markets: the rise of credit default swap clearing in a shifting landscape
As macroeconomic and geopolitical turmoil continues, credit market participants are increasingly looking to clearing for its risk management capabilities and post-trade efficiencies. With a major shift in the clearing landscape under way, Michael Amakye,…
Credit Suisse’s new markets strategy builds on the old one
GTS is scrapped, but blueprint of connecting wealth management to markets remains intact
Pimco dumps credit options as US funds slim holdings
Counterparty Radar: Space shrinks 30% in Q2 following three consecutive quarters of growth
Credit derivatives house of the year: Credit Suisse
Asia Risk Awards 2022
PGIM increases credit hedges as funds add bought index CDSs
Counterparty Radar: Morgan Stanley added market share, but Goldman stayed top among dealers
Data-driven wrong-way risk
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
Bond issues stumble on liquidity drought – Aviva treasurer
Insurer’s £500 million RT1 notes narrowly avoid market freeze as ECB ends asset purchases
Trumid, SGX Asia bonds JV faces uncertain future
Costly delays to launch of exchange sees backers slash headcount
Non-bank growth in e-credit spurs dealer algo push
As the likes of Jane Street capture more electronic business, dealers are reassessing their capabilities
EU consolidated bond tape could boost all-to-all trading
Greater confidence in pricing may also have eased Covid liquidity crunch, says Dimensional exec
The unintended consequences of ring-fencing
Rules aimed at protecting UK depositors may be putting too much froth into the credit market
Traders say BoE green bond purchase scheme could sap liquidity
Updated plan could spike market volatility – harming not only brown bonds, say dealers
Credit migration: generating generators
A stochastic time change helps the modelling of rating transition
CanDeal ideal: could Canada make a sea-change in e-trading?
E-trading firm aims to capture all Canada’s electronic fixed income trade, requiring a culture shift
Bond-CDS basis keeps investors interested
Difference between cash bond spreads and derivatives tightens but still offers value, dealers say
Libor webinar series – Big issuers
Nobody knows what will happen to Libor at the end of 2021, but the market has to be ready for anything – including the benchmark’s demise. This continues to be the message from regulators, despite the havoc caused by the Covid-19 pandemic. The coming…
Electronic bond trading stalled in volatile markets
Bid/offer spreads on bond platforms spiked in March and the buy side struggled to trade