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ChrisWhite

Alternative Theory on Corporate Bond Liquidity – ViableMkts (Chris White)

Comments
  • Charlie
    CharlieSeptember 10, 2017"Definitely an interesting discussion and compelling set of facts. As the article states, the concept of liquidity is a difficult one to pin down precisely. But there are some clearly wrong ways to look at it, such as based solely on realized trading activity, another good point made in the report. Opportunities to trade is also a tough one, since it's a bit of a joint test of liquidity and REASONS to want to trade (which requires some volatility, or some other catalys…"
  • Wolfman
    WolfmanSeptember 8, 2017"As usual, another Viable Markets insightful article. I think the lack of liquidity in the corporate bond market is a function of low rates, pressure on capital at risk, the introduction of ETFs and transparency impacting market making opportunities. The fixed income markets are, in general, less prone to reacting severely to market news and geo-political shocks. There have been any number of news items that should have had this markets reeling, and for the most part,…"

Pre-Trade Transparency Targeted in Corporate Bond Markets – Business Times 

Comments
  • Mustang
    MustangAugust 18, 2017"Not a lot of information in this article, however there is a big distinction between collection and dissemination. The NASD collects a lot more information than disseminated. In many respects, I wish the hard data collected was actually disseminated, such as from ATS platforms. That said, what market widely disseminates intentions, as opposed to explicit transaction levels? Seems like an easy way to game the market. Anytime you wanted to buy bonds, submit a sell IoI.…"
  • Wolfman
    WolfmanAugust 18, 2017"Right on Cougar! I love being part of the Friday Newsletter because more often than not, we not only have the 10,000 hours team taking two sides of an argument, but also have two articles in the newsletter taking two sides. Yes, yes, yes, every academic paper points to greater pre-market transparency, but in practice, the results are often counter to the objective. Case in point is the article on Lazy Traders. By the way, there must be some copyright issue with that p…"
  • Cougar
    CougarAugust 18, 2017"Disclosing individual buy-sell side cares shared with a broker is insidious. IOSCO and the national regulators need to reflect on their objectives: is it to ensure every participant is treated the same irrespective of performance or MO, or have a functioning, liquid, deep, bond market to minimize funding costs for public and corporate entities and ensure minimal state aid in a crisis? If every market participant is treated the same way then that detracts from the inve…"

How to Get a Competitive Advantage in Fixed Income – FixtHub

Comments
  • Mustang
    MustangAugust 11, 2017"Unstructured BBG messages are an incredibly inefficient way to communicate axes. The rise of Neptune underscores that. However, BBG does a disservice to itself to silo off its message data from other market axes via messages and IMGR. At the same time as they create a barrier, parsing is an extremely cheap and easy way to circumvent that barrier. Unstructured messages and using parsing to structure them outside of IMGR yields some interesting tidbits. This data has be…"

A Morgan Stanley Trader is Gone and Wall Street Rivals Take Note – Bloomberg

Comments
  • Goose
    GooseAugust 5, 2017"wonder what would happen if MS called Hutchin Hill and asked them if they were involved in a trade. If HH thought the value was wrong, progressive options are out there to put your money where your mouth is. Become a buy side liquidity provider by sticking a bid where you believe value is in "all to all" or matching systems. Wonder what the results would be.…"
  • Jester
    JesterAugust 4, 2017"I found this article a little hard to follow. From what I can gather, here are the facts. 1) A HF got upset because someone traded a bond that they are long 2) After investigating, it looked like a MS trader was involved 3) The MS trader initially denied being involved 4) The HF complained to the trader’s boss 5) MS then admitted to doing the trade and then fired the trader If the above is true, why isn’t this article focused on the real question? Why is Hutchin Hill…"
  • Wolfman
    WolfmanAugust 4, 2017"The impact of recent regulatory changes have created a deeper need for the sell side to cater to the buy side. Lying is unacceptable for BOTH the buy side and sell side. I'm glad to know that the buy side is sinless.…"

MarketAxess defends its corporate bond trading status

Comments
  • Merlin
    MerlinJuly 28, 2017"Classic MarketAxess. Many would likely conclude that they could teach the course 'How to lie with statistics' and now they are complaining about TradeWeb 'confusing the reader rather than clarifying...'. This coming from a firm that wouldn't break out 'other' for years to help investors get clarity on how their 'other' businesses were doing, anyone care to guess why? Even sol, TradeWebs' 'indiscretions' are fair game for attack but doesn't the CEO of MarketAxess have…"
  • Goose
    GooseJuly 28, 2017"Well said Jester. As our market loves to rightfully tell the regulators, "Fixed income isn't equities!".....but not when it comes to Reg ATS, more than happy to lean all over that rule to not qualify as an ATS for trade reporting or reg. Fair enough, so let's address our nuances by adding information in like "RFQ trade." Its absurd that the largest electronic trading platforms out there don't have to report their trades. The ATS qualifier is useless without it. Then w…"
  • Cougar
    CougarJuly 28, 2017"Perception is reality for anyone or organization in the short and medium term. In the long term the substance usually has to match but a lot can happen to other parties in that changed perception period. More's the question what's triggered this? Perception is business by other means - to synonym von Clausewitz.…"
  • Jester
    JesterJuly 28, 2017"It is a truly rare occasion when the focus article image and the focus article content come into perfect alignment…. This, ladies and gentlemen is one of those rare occasions. Please allow your humble Jester to explain... Even though the corporate bond electronic trading turf war may sometimes sound like a place where CEO’s “come out swinging”, it’s quite the opposite. Just look at what passes for a fight? An accusation that “readers” were “confused” by Tradeweb’s cla…"

Do Buy-Side Institutions Supply Liquidity in Bond Markets? Evidence From Mutual Funds – Syracuse University/SMU 

Comments
  • Charlie
    CharlieJuly 21, 2017"Ultimately, it's the buy side that takes views and invests according to those views. When one fund sells something, another fund has to take the ther side. And the more a fund tends to take the other side, the better its performance. Investors doing that trade benefit from lower t-costs with dealers, helping the latter clean up their balance sheet, and may even get securities at a discount to "fair value". This is all well and good, economically sound stuff. And in a…"

BoE Warns of Threat to Financial Markets From Potential Corporate Bond Sell Off – Investment Week 

Comments
  • Charlie
    CharlieJuly 15, 2017"Believe it or not, there's a valid question under all these Armageddon-style articles about pending doom in corporate bond funds. And the question is: Are corporate bonds still appropriate for an open-end fund structure that offers daily liquidity? The less liquid the benchmark, the bigger the risk that a corporate fund enters the Third Avenue downward spiral: get redemptions, sell your most liquid stuff to meet redemptions (negatively impacting performance), get more…"
  • Goose
    GooseJuly 14, 2017"Here is the cliff notes to the paper. The corporate bond market will get seriously hammered if an event takes place that creates large redemptions. A few more thoughts though before you go. As Merlin points out, what market doesn’t get scorched in this scenario? It seems the BOE is saying that given changing market market dynamics with the same market structure, the beating for credit today will be of a larger proportion. Market doubles in size, top buy size firms are…"
  • Mustang
    MustangJuly 14, 2017"“Suspending Redemptions”. Now here is an interestingly bad solution. If some investment vehicles suspend redemptions and other market participants don’t have redemptions to suspend, what do you think the latter will do in times of volatility? Sit by idly and wait for the market to return to “normalcy”? Nah, hit every bid that those portfolios own. Ultimately, these vehicles and the bonds that they own will also have “redemption suspension risk”. What will mom and pop…"
  • Merlin
    MerlinJuly 14, 2017"Interesting article about BoE analysis but not sure what value this brings other than knowing that the BoE (and hopefully others) understand that yes, spreads widen when there are more sellers than buyers and spreads tighten when more buyers than sellers. Am I being too simplistic? This is the same for all markets so why be surprised that their analysis shows this for the corporate bond markets? Perhaps it is their effort to try and model events to put some meat behin…"

Towards a Fully Automated Stock Exchange (Part 1) – Fischer Black (1971) 

Comments
  • Wolfman
    WolfmanJuly 7, 2017"So for the bond geeks who read FN, the obvious parallel is specialist is to equities as dealer is to bonds. I don't think it's that simple or that direct. Small average trade size with a large number of participants are ingredients for a continuous market. BTW, I like the idea of participating orders to help specialists! We don't have that today, but we do have market orders which, in a continuous market, are the equivalent to what Dr. Black proposed. The automation o…"