Liquidity
Japan debuts swaptions linked to risk-free rate
Sparse liquidity in Tonar swaps may put premium on swaption pricing, dealers warn
US stumbles in pursuit of term SOFR
Flaky swaps liquidity sees June 2021 target slip; CME claims indicative settings already meet international standards
Dealers warn of trouble ahead as Treasury issuance swells
Repeat of February’s ‘Black Thursday’ likely if Fed ends leverage ratio exemptions, banks say
Deposits boosted top US banks’ short-term funds in 2020
Unsecured funding from outside the financial sector increased 22% to $934.6 billion
Foreign branches in US fear extension of liquidity rules
Democrat administration could revive plans to impose LCR, NSFR on branches and agencies
Too much of a good thing? Banks mull over excess deposits
Surge in non-operating deposits leaves banks with a severe hangover
NSFR may clear up questions about Nomura’s balance sheet
The risks of off-balance sheet financing remain largely hidden from view
Top US banks saw liquid assets grow over $500bn in 2020
JP Morgan saw HQLAs increase 28% year on year
Optimal foreign exchange hedge tenor with liquidity risk
The authors develop an optimal currency hedging strategy that allows fund managers who own foreign assets to choose the hedge tenors that will maximize their foreign exchange carry returns within a liquidity risk constraint.
SOFR adoption stalls after US Libor delay
Stay of execution, RFR illiquidity and fallback reliance slow SOFR adoption
Barclays cut liquidity buffer in Q4
High-quality liquid assets fall 19% quarter on quarter
Softer US NSFR could skew global repo pricing
US banks benefit from Treasury repo exemption, while EU banks report only end-quarter ratios
BlackRock: fix commercial paper before MMF meddling
Iosco official agrees that CP market needs to be considered alongside MMF reform
Investment house of the year: Amundi
Risk Awards 2021: when the pandemic hit, Amundi moved quickly to cut risk and raise liquidity
Innovation in execution: Credit Suisse
Risk Awards 2021: Swiss bank’s AES platform excelled in US Treasury market during March turmoil
The outlook for 2021 – Libor
Steffan Tsilimos, head of interest rate derivatives products at Bloomberg, discusses the outlook for Libor derivatives, including how firms can best understand their exposure, the different approaches required for legacy transactions and the challenges…
Final NSFR rule unlocks subsidiary funding for US banks
Technical clarification allows subsidiary capital to be assigned as funding for consolidated group
Reaping the benefits of competition
There are a number of macro reasons to be optimistic in 2021 and CurveGlobal Market’s growing Sonia volumes and best-in-market pricing, and the rollout of ‘cash settled’ Gilt futures later in the first half of this year are just some of the reasons you…
BofA doubled held-to-maturity book in 2020
The bank moved mortgage bonds into HTM throughout the year
French regulator questions need for share trading equivalence
Esma’s reinterpretation ahead of Brexit reduces need for equivalence system, says AMF official
LCH Ltd sent record €6bn VM call to one clearing member in Q3
Largest estimated payment obligation in the event of a member default also climbs quarter on quarter
Don’t blame CCPs’ models for Covid margin spikes – WFE
Lobby group counters popular view that tools could ease procyclicality; puts focus on liquidity management
How much liquidity would a liquidity-saving mechanism save if a liquidity-saving mechanism could save liquidity? A simulation approach for Canada’s large-value payment system
This paper investigates how much liquidity requirements can be reduced with the implementation of different LSMs in the Financial Network Analytics simulation engine using LVTS transaction data from 2018.
EU banks’ reliance on ECB loans has grown in Covid’s wake
Central bank funding accounted for 14.5% of Greek banks’ liabilities in September