Liquidity
Diversification of LDI liquidity buffers sparks debate
Funds using credit assets to top up collateral waterfall, but some risk managers are sceptical
Fed stress-testing operational readiness of discount window
Experts say consultation on improved ops should be accompanied by focus on willingness to borrow
Quants mine gold for new market-making model
Novel approach to modelling cointegrated assets could be applied to FX and potentially even corporate bond pricing
Options expiry triggers $4bn liquidity shortfall at NSCC
Second-largest simulated shortfall on record mitigated by extra liquidity deposit and OCC commitment
Bilateral streaming relationships set to grow, say LPs
FX Markets Europe: More clients are embracing APIs to access bank liquidity directly
Market-making in spot precious metals
A market-making framework is extended to account for metal markets’ liquidity constraints
SocGen makes Americas FX push with string of new hires
French bank eyes US and Latin American real money clients
BNPP ups efforts to weed out skew sniffers
French bank deploys skew sensitivity algo to help identify predatory behaviour
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
Banks take aim at Gruenberg’s brokered deposit rule
Regulatory lawyers question need to reverse 2020 rulemaking just four years later
US MMF investments near $7trn amid short-term yield chasing
Surging inflows led some managers to turn to Fed’s RRP facility for risk-free cash allocation
Citizens’ growth won’t bow to regulatory thresholds, CRO says
Risk Live: Bank faces stricter capital and liquidity requirements if it crosses $250 billion in assets
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