Liquidity
Regulators should set ‘guidelines’ for CCP margins – Kemp
Citi’s former clearing head says CCPs are still competing on margin
One-third of EU banks used TLTROs to hit supervisory targets
Twenty-three per cent said future TLTROs would improve their ability to fulfil regulatory or supervisory requirements
Deutsche’s cash buffer ballooned in Q3
The bank had borrowed €34 billion through the ECB’s TLTRO III as of September
IFRS 9 product of the year: AxiomSL
Asia Risk Technology Awards 2020
SFC’s Alder looks to shake up liquidity rules post-Covid
Asia Risk 25: HK regulatory head says central banks must “never have to step in again” to bail out investors
‘Stigma’ around some fund liquidity tools must end, say CROs
Fund managers are wary of using redemption gates and fees to manage outflows during crisis periods
CCP liquidity risks varied in Q2
Most clearing services said their estimated largest payment obligations fell quarter-on-quarter
CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
BNY Mellon, State Street reshape liquidity buffers
HQLA falls as share of custody banks’ investment portfolios
Libor Risk – Quarterly report Q3 2020
The transition away from Libor is littered with ‘chicken and egg’ conundrums. Deep cash markets linked to new risk-free rates (RFRs) require a liquid derivatives market for issuers to hedge exposures, yet RFR derivatives liquidity can only blossom where…
Deposits grow share of US G-Sibs’ short-term funding
Unsecured funding from within the financial sector also edged higher
LCRs of big EU banks rebound faster than smaller rivals in Q2
G-Sibs bolster ratios 19 percentage points in three months to end-June
CalSTRS CIO: new derivatives needed to hedge ESG risks
Second-largest US pension fund has also reduced fixed income allocation to 12% as rates have fallen
Solid foundations – Bridging the transition gap
Phil Whitehurst, head of service development, rates, SwapClear at LCH, explores the potential parallels between forward-looking term Sonia rates and term SOFR rates. He presents his thoughts on the recent announcement of increased powers for the…
European banks’ liquidity ratios improved over H1
Average ratio across 23 lenders climbed to 151%
Libor countdown webinar series – US Dollar
In this webinar, a panel of industry professionals discusses outstanding issues associated with transitioning financial products tied to USD Libor and remaining concerns over the SOFR
Fed will calibrate NSFR to avoid hurting repo
Fed’s supervision head says final liquidity rule will be fast-tracked without fresh consultation
Libor countdown webinar series – GBP
Nobody knows what will happen to Libor at the end of 2021, but the market has to be ready for anything – including the benchmark’s demise. The coming months will be crucial in determining how and whether rates markets are able to cope
Bonds go back to the future as electronic volumes grow
Surge in bond ETFs and portfolio trades accompanies investor return to platforms
Don’t blame HFT: plug liquidity gaps for market stability
Dynamic fees could incentivise liquidity when and where it’s most needed, writes quant fund founder Bouchaud
How Shell integrated FX algos into its corporate treasury mix
Interview: oil giant puts up to 50% of spot flows through algos, explains FX head Michael Dawson
Podcast: CFM’s Bouchaud on agent-based models and ESG investing
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets
Target2 ‘fingerprint’ could flag liquidity problems – research
Deviations from regular payment patterns are a sign something might be wrong
Covid-19 tumult prompts rethink of buy-side risk management
Buy-side risk survey: investment firms making changes to their risk reports, stress tests and concentration limits