Bonds
Reserve manager of the year: Bank of Israel
Israel’s central bank has made breakthroughs in its sensitivity analysis of near-optimal portfolios, as well as making notable gains from its diversification strategy
Global securities lending services provider of the year: BNP Paribas Securities Services
The French bank has helped a range of official institutions to glean additional revenue from their bond holdings in tight markets
Market ‘tightness’ affects QE success – Riksbank paper
Model accounting for the demand and supply of bonds allows authors to reveal new insights into the price and liquidity impact of asset purchases
BoJ acts to thwart pressure on yields
Central bank commitment to yield curve control faces first serious test; BoJ launches unlimited purchases to hold yield down
Fresh investigations into Sri Lankan bond scandal launched
Central bank and Sri Lankan president both investigating possible malpractice around bond sales to the central bank pension fund
Dutch paper looks at sovereign bank interdependencies
Researchers apply correlation between sovereign and bank credit default swaps
Italian paper looks at securitisation of SME loans
Asymmetric information can be overcome by the use of observable data
ECB paper looks at ‘sub-sovereign’ bond yield spreads
Researchers find debt levels and risk aversion are important factors
BoE article sees benefits to agent-based modelling
“Bottom-up” approach is complementary to models that are already widely used; the Bank of England has created new models for both housing and corporate bond markets
Norges Bank recommends higher equity share for oil fund
Declining global growth and lower volatility suggest a larger equity share is both desirable and manageable, central bank says
Bond price shaped by more than just low growth – BIS’s Caruana
Market participants may leave themselves vulnerable if they fail to recognise the importance of central bank asset purchases and market dynamics, general manager says
New high for reserves a sign of 'growing confidence' in Argentina – Sturzenegger
Reserves breach $40 billion mark after treasury bond sale and climbing export levels; contribution from overseas investment starting to be felt, government says
Leaked document sparks action from Sri Lankan central bank
Report leaked on controversial bond trader Perpetual Treasuries causes stir; internal control mechanisms will be strengthened while investigation takes place
Paper examines effects of financial crisis on European long-term debt issuance
Bank of Spain paper uses large database on most frequent issuers of long-term debt
European commercial bond market may suffer from lack of liquidity, ESRB says
Banks complain of effect of European regulations on liquidity; reporting on European fixed income markets still has “significant information gap”
Cœuré mulls advantages and problems of GDP-linked bonds
ECB board member Benoît Cœuré says GDP-linked bonds could protect taxpayers but pricing might be difficult; says international financial institutions could play “catalytic” role
RBI launches bond market shake-up
Host of measures aim to develop markets, increase participation and improve liquidity in Indian capital markets, following review by former deputy governor Harun Khan
More work needed to make case for GDP-linked bonds – BoE paper
The design of GDP-linked bonds needs to align macroeconomic need with investor demand, according to a paper authored for the G20 summit; clearer guidelines and principles could aid adoption
BoE bond purchases run into difficulties
Central bank fails to meet quota of long-dated government bond purchases despite offering a high price, pointing to an unusual failure of its bond-buying mechanism
Sri Lanka releases trading stats as it seeks to develop market
First set of data shows 3.42 billion rupees traded, with transactions over 50 million rupees to be reported within 30-minute window
ECB paper compares ability of indicators to predict bond risk premia
Researchers assemble 132 macroeconomic indicators and compare their performance against financial measures as predictors of eurozone countries’ bond risk premia
Bank of Tokyo abandons JGB primary dealer role
Bank of Tokyo-Mitsubishi UFJ steps back from role citing “business optimisation”, in the latest sign the Bank of Japan’s policy is putting the squeeze on bank profits
Argentine central bank holds rate on its bonds with eye on inflation
Reference rate held at 30.25% ahead of second inflation figure release; second monthly statistic from Indec due today, no official annual figure yet
ECB restores ‘waiver’ to let Greek banks access cheaper finance
ECB restores waiver to Greek government bonds, lowering the cost of finance for Greece's central bank; demands further adherence to conditionality, but holds out possibility of buying government bonds