Article
Addressing the confidence challenge of peer analytics in post trade TCA
Peer benchmarks are emerging as an important requirement for contextualizing trading performance in fixed income markets.
Research
Bond-market selloff suddenly puts focus on rates volatility
The bond market selloff brings interest rates volatility into focus, particularly near-dated options, aka gamma.
Market Analysis
Social bonds boom as European Union pays to protect against the pandemic
The European Union will become one of the largest issuers of green and sustainable bonds and is selling debt for the first time in 2021 in the wake of record-breaking global demand last year.
Market Analysis
What could slow the global house price boom?
In many countries, house prices are rising at the fastest rate in years thanks to record-low mortgage costs and demand for more space to ride out the pandemic.
Market Analysis
LIBOR’s delayed sunset shines light on opportunities
Regulators’ potential plans to delay the U.S.-dollar LIBOR phase-out to mid-2023 show that they are accepting the reality that if you go too fast, the market won’t be ready.
Research
Long-end bear-steepening signaled from Treasury yield scorecard
The BI Rates duration scorecard suggests a modest caution for the Treasury index, as our fundamental yield model suggests the 10-year yield is 20 bps higher than fair value.
Article
Bringing the dealer-to-client repo market to the digital age
One part of the fixed income market still eludes widespread electronification: the dealer-to-client repo market.
Article
Navigating prepayment risk with the new BAM model
Successfully navigating the highly sophisticated Agency MBS market requires advanced models and analytics.
Article
How the pandemic will affect Credit Risk Transfers in 2021
We explore where the CRT market goes from here.
Article
Fixed income funds for FRTB: The final frontier
We catalog the main issues with modeling fixed income funds for FRTB capital, so that banks can better understand the specific challenges they face.