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When deciding to refinance an AT1 bond, the pertinent question is whether the fixed rate payable on a new issue is more or less than the floating rate payable on the existing security.
Blog Posts
May 17, 2021

In our Fixed Income Chart of the Week for 8 June 2020, we noted that the CDS basis for names in the Markit iTraxx Europe index had gone significantly negative in March, which struck us as very unusual.
Blog Posts
June 17, 2020

LIBOR is going. The FCA will no longer have, and is not seeking, commitment from the banks on the LIBOR panels to make submissions past the end of 2021.
Whitepapers
May 1, 2020

Constructing fixed income factor models has long been an elusive endeavor owing to a number of challenges, not least of which includes cleansing and organizing the underlying fixed income data, or lack thereof.
Blog Posts
June 20, 2019