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Monday, 11 December 2017

David Wigan' s stories

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  • Currency signs

    Widening cross-currency basis threatens US bond returns

    Top News | 23 September 2016

    US bond yields could rise in coming weeks, amid signs that currency hedging costs near five-year highs may be undermining overseas demand for US fixed income securities.

  • Logo of the International Capital Markets Association

    Weak bank balance sheets cause dislocations

    Derivatives | 19 February 2016

    Dislocations in US and European credit and rates markets in recent weeks were probably the result of shrinking bank balance sheets, as securities financing markets continue to contract, a survey last week showed.

  • A Wall Street sign is pictured outside the New York Stock Exchange

    Wall Street in US$1.87bn CDS price fixing settlement

    Capital City | 14 September 2015

    Twelve major banks have reached a US$1.87bn settlement to resolve investor claims that they conspired to fix prices and limit competition in the market for credit default swaps.

  • CDS spread performance

    VW and Airbus CDS hit by swap hedging

    Derivatives | 17 April 2015

    The cost of shorter-dated credit protection on European exporters including Volkswagen and Airbus has risen sharply, after the companies’ currency hedges left banks with large counterparty credit exposures.

  • US dollar 10-year Treasury swap spread

    US swap spreads normalise on Fed cut view

    Derivatives | 08 July 2016

    The phenomenon of negative US swap spreads may be set to end in the coming months, amid speculation that the next move in US benchmark interest rates may be a cut, pushing government bonds yields below their synthetic counterparts.

  • US repo chaos as GC rates soar

    Derivatives | 18 September 2015

    US financing markets were in disarray late last week as the cost of secured funding rose above the unsecured rate, prompting head-scratching among bankers as to the implications.

  • US Treasury 2Y/10Y curve

    US rates skew points to dovish outcome

    Derivatives | 04 March 2016

    US rates volatility markets inverted across the curve in recent days, as investors speculated that interest rates in the world’s largest economy will trend lower in the coming months, despite already depressed yields.

  • US money funds make moves into repo

    People & Markets | 30 September 2016

    US money funds are taking first steps into repo markets in a bid to grab a slice of business that has become unviable for many banks due to rising regulatory capital costs.

  • US 30-year swaps spreads hit records

    Derivatives | 22 May 2015

    The spread between the US 30-year swap rate and Treasuries widened last week to the most in nearly three years, amid imbalances in US interest rate markets that are unlikely to end any time soon, according to analysts.

  • Uncleared OTC rules raise concerns

    Derivatives | 14 August 2015

    Market participants are lobbying European and US regulators for changes to proposed rules for margining of uncleared swaps, amid concern about a range of issues from model parameters to settlement times and concentration risk, according to sources close to the discussions.

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