Bonds
Illiquidity, concentrated bond holding raise volatility – paper
The volatility of financial market price shocks in the Bund and taper tantrums was aggravated by illiquidity and concentrated holdings of bonds, working paper finds
Ugandan social security fund’s outside investments performing well, CIO says
Gerald Kasaato says investments in Kenya are performing well; greater use of external managers could be ‘very beneficial’ if restriction to East Africa investment is expanded
Riksbank floats new collateral limits
Swedish central bank looks to limit the amount of covered bonds pledged as collateral for intraday credit; assessment suggests limited impact on banks
Blanchard and others look to reconcile theory of capital flows with practice
Revamp of Mundell-Fleming model helps explain apparently contradictory results, with important implications for policy-makers looking to respond to capital flows
Eurosystem’s asset purchase programme should increase growth by 1% annually, paper says
The Eurosystem’s asset purchase programme could increase growth and inflation by 1% annually for two years, a working paper from the Bank of Italy predicts
South Africa aims to launch electronic trading platform this year
A deputy governor of the South African Reserve Bank announces electronic trading platform could be launched in the coming months
National Bank of Denmark confident it possesses ‘necessary tools’ to defend currency
The ministry of finance will resume issuing government bonds in October after measures to stabilise the krone have ‘desired effect’
China to open up interbank foreign exchange market
Central banks will be granted access to China’s interbank foreign exchange market as part of ongoing reforms, Li Keqiang reveals
BoJ predicted to expand QQE, within limits
Analysts are predicting the Bank of Japan will increase asset purchases next month, but researchers are warning of speed bumps ahead
Argentine reserves spared as US court overturns ruling
Central bank will not have to pay creditors out of its reserves, US appeals court rules, although the decision is not meant to allow Argentina to ‘continue shirking’ its debts
BIS paper finds emerging market corporations exploiting carry trade
Study of emerging market foreign currency-denominated bond issuance by Bruno and Shin finds corporations appear to be issuing bonds as part of a carry trade, rather than financing investment
Ukraine strikes debt restructuring deal with main creditors
Agreement would see creditors accept 20% nominal haircut on $18bn worth of debt; finance minister and IMF head hail agreement and stress need for support among bondholders
BIS researchers dissect emerging market fire sales
Working paper picks apart the channels through which asset management impacts on emerging bond markets, finding evidence of procyclical behaviour
RBI paper explores challenges in public debt management
Research identifies a ‘narrow investor base’ as one hurdle and considers how to encourage greater participation from retail investors in the market for government securities
Insurers call for clarity on US agency risk weightings
Capital treatment under Solvency II unclear, say securitisation specialists and insurers
China Treasury bond futures hit by cash equity volatility
Increase in volatility as traders exit positions to fund equity portfolios
US report finds ‘no single cause’ of October 15 volatility in Treasury market
Staff from five bodies, including the Fed board of governors and New York Fed, analyse data from unusual bout of volatility in the US Treasury market last year
Thai Government Pension Fund eyes deeper bond futures market
Thailand's $23 billion Government Pension Fund is one of the institutions that wants to see the country's bond futures market build on the progress already made in equity and forex derivatives
Provincial bond issuance could revive Chinese CDS market
China's CDS market has been languishing in the shadow of state protection – will the rising provincial bond market change this?
RBA minutes note mixed signals for policy
Slight slowdown globally and nervousness over Greece and US rates offset by ‘solid’ lending growth, stronger employment and improved sentiment
EU court rules OMTs are legal
ECB is vindicated as ECJ rules in favour of crisis measure that would see the central bank buy potentially unlimited amounts of sovereign debt to protect ‘singleness’ of monetary policy
Weidmann sees bond reversal as ‘a kind of re-normalisation’
Bundesbank president argues sell-off is a ‘correction of market overshooting’ in the wake of ECB asset purchases; insists volatility is ‘not exceptionally high’ at present
Exchange launches asset-backed coins for asset managers
Asset managers will be able to trade physical assets directly with each other through new asset class dubbed ABCs, which will be tradeable on newly launched exchange Abacas
ECB paper examines financial exposure in eurozone
Working paper finds eurozone investors are ‘overexposed’ to securities issued within the region, more so in the case of ‘low-rating economies’