Liquidity
To liquidity and beyond: new funding strategies for UK pensions and insurance
Prompted by policy shifts and macro events, pension funds and insurance firms are seeking alternative solutions around funding and liquidity
On par: a money view of stablecoins
The authors apply a money view analysis to stablecoins, revealing the character if existing on-chain liquidity mechanisms that support the premise of par settlement and finding liquidity rather than solvency to be the factor confronted by par settlement.
Intraday FX swaps could signal new dawn for liquidity management
Seedling market could help banks pre-fund payments in near-real time and reduce HQLA requirements
Mizuho Americas has highest non-core funding ratio of any US bank
High-level measure of duration mismatch is three times that of next bank, BNP Paribas USA
ECB official leaves door open to liquidity aid for non-banks
Risk Live: Deputy director doesn’t rule out copying UK plan to extend repo facility to pension funds and life insurers, but no imminent plans
As Fed eyes rule change, over 50% of US banks’ securities held as HTM
PNC, BofA and Schwab report highest share among banks subject to LCR amid move to limit their role in liquidity buffers
Fed’s new liquidity rule spells more pain for regional banks
Limit on HTM assets follows move to deduct unrealised losses from capital buffers
India’s index inclusion could herald future flow shifts
Limited boost to FX flows after Indian govvies debut on JPM index may change as others follow suit
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
Ruled out: can regulators settle the pre-hedging debate?
Market participants are at odds over the practice and whether regulation or principles can settle the score
EU banks fear loss of NSFR repo relief
European Commission must decide by next June; other jurisdictions adopted softer calibration
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
Dealer relief at delays to Refinitiv Matching’s tech migration
First phase of replatforming for Swiss spot pairs set to be pushed to mid-2025
US Bancorp ever more reliant on LCR relief
HQLAs would only cover 91.4% of bank’s net cash outflows without Fed’s cap
Jane Street ups its game in FX market-making
High-frequency trading firm now streaming bilateral spot FX liquidity to clients
Cashflow volatility lowest in four years at big US banks
Maturity mismatch add-ons ease up, but BNY Mellon, Goldman, Morgan Stanley and State Street buck trend in Q2
The market liquidity of interest rate swaps
The authors investigate dynamics and drivers of market liquidity in Euribor interest rate swaps, constructing seven liquidity swaps using data from centrally cleared trades.
FX algo users change tack to navigate market doldrums
BestX data finds traders ditching TWAP in favour of more opportunistic execution styles
Top US dealers shun least liquid assets for HQLAs
Charles Schwab bucks trend with move toward Level 2
US regional banks: challenges and opportunities
The authors investigate the 2023 run on US regional banks, comparing the solvency and regulation of these banks with European counterparts.
Honey, I shrunk the Fed. (Not a sci-fi fantasy)
Promoting the discount window may be the Fed’s key to shrinking its $7trn balance sheet, says Bill Nelson