fixed-income

As we have reported here , UBS's fixed income salespeople and traders have been through some changes. All sorts of people have left the rates team . Others have arrived. Something good seems to have happened.  💥Follow us on WhatsApp for news alerts. 💥 UBS reported today that its fixed income sales and trading revenues rose by 38% year-on-year in the first quarter. This compared to an increase …

I am using python quantlib, according to one of the Quantlib sample code to evaluate the CHT (Canada Housing Trust) Floaters, and the index I am using is CDOR, and somehow the price I got is always higher than the market, so I post my code below, please help me whether I made something wrong. First, the CDOR forward rates I am using in the code was downloaded from this site: https://www.chathamfi…

i have a quick question about conversion factor and his implication in calendar bonds roll trading. I go short on a calendar roll (short front+long back) which has the same cheapest to deliver. The CF is roughly 0.60 for both contracts. The calendar widen +10cts so it negatively impact my position. I realise that the implied repo is pretty much the same than when i enter in the trade 10cts lowe…

I am using the QL-python (v1.14) to price actual traded 3.5y amortized putable bond (with "monthly" PMT (c=23%, 30d period), YTM=24.5%|pv=102 approx & implied g-s= 1000+ bps). Actually (and as assumed) Spot-curve is slightly up-ward (near 14%). Bond was defined as AmortizingFixedRateBond but at both case BondFunctions.cleanPrice() and npv() methods give me misprice (dPV=-5.. -4 % or more vs men…

The data highlights sustained growth in the buy-side adoption of electronic trading tools.

Explore how governments and corporations raise capital, how yields and prices relate, and how to read and interpret yield curves. The post Money and Bond Markets appeared first on Financial Edge .

Torsten Ehlers and Karamfil Todorov discuss impact of LIBOR phase put on markets in this BIS article: Structural and cyclical factors have driven a surge in turnover of interest rate derivatives (IRDs) since 2022 – both in over-the-counter (OTC) and exchange-traded (XTD) markets. The reform of benchmark rates and the shift away from Libor has […]

Spreads on Triple A rated CLO paper withstood what is believed to be the largest CLO 2.0 Triple A auction on record this week. The 62-name, ~$1.5bn Triple A CLO... The post US CLO: Traders say Triple A spreads largely unmoved by largest 2.0 CLO BWIC on record appeared first on CreditSights .

T. Rowe Price: Adapting fixed income strategies and identifying the potential of agentic AI. Dwayne Middleton, global head of fixed income trading at T. Rowe Price, speaks to Trader TV […]

Nina Boyarchenko and Or Shachar in this new JEP aricle discuss evolution of fixed income markets: We review US dealer-intermediated fixed income markets, including Treasuries, agency mortgage-backed securities, corporate bonds, and municipal bonds. Through the lenses of primary dealers’ positions, we show these markets’ evolution over the past decade and the effects of recent episodes…

Supports: Money, Banking, and the Financial System, Chapter 3, Section 3.5 Image generated by ChatGTP-4o The 30-year U.S. Treasury bond has the longest maturity available on a bond issued by the U.S. government. Some other governments have issued century bonds, which are bonds that don’t mature for 100 years. Bonds with maturities longer than 30 years … Continue reading "The Risk of Buying Very L…

Strategic bond allocation is crucial for high-net-worth investors seeking portfolio stability and reliable income. This guide examines key bond types—from ultra-safe government securities to higher-yielding corporate issues—and provides actionable criteria for evaluating bond ETFs. Learn how duration impacts interest rate sensitivity, why credit quality matters for risk management, and how expens…

Is there a way to extract yield volatility from bond option prices or to convert implied bond prices to yield volatility?

I'm trying to replicate Bloomberg's swaption pricer(SWPM -OV) in QauntLib. I'm using the same curve(USD SOFR) for both forward and discount curves. However, the code I wrote in python gave me unreasonable npv - in this example, npv= 8.97 and delta= 235944.37 for a 1MM notional 1Mx10Y swaption, while I was expecting NPV=10359 and delta=-414 as shown Bloomberg (see picture attached). I have searche…

Winnie Cisar says corporate bond portfolios have been doing better than last year. The post CreditSights’ Cisar: Structural bid for duration in fixed income appeared first on CreditSights .

CreditSights’ Global Head of Strategy, Winnie Cisar, speaks on Bloomberg’s Real Yield. The post CreditSights’ Cisar: Prefer fixed over floating rate debt appeared first on CreditSights .

Bank of America, Goldman Sachs and regional lender Huntington Bancshares Inc. brought fresh debt offerings to the U.S. high-grade market Monday. The post Goldman, BofA tap high-grade bond market before summer lull appeared first on CreditSights .

Volatility of the broad fixed-income indices continues to exceed “pre-pandemic levels, making it more expensive for dealers to hedge their inventories, adding to the incentive for them to take a... The post Munis slightly firmer, USTs weaker appeared first on CreditSights .

It’s difficult for investors to resist yields near the highest levels of the past decade according to CreditSights. Zachary Griffiths, a senior fixed-income strategist with CreditSights, said the following on Bloomberg... The post Billions Flooding into Junk Bond ETFs appeared first on CreditSights .

Research Commissioned By Aeon reveals growing optimism for negative bond yields to improve substantially [...]