Liquidity
Banks rush to tap new dollar liquidity facilities
ECB saw strongest demand: $75.8 billion out of the new 12-week programme
US G-Sibs urged to release surplus liquidity to fight virus sell-off
Top banks have about $378 billion of extra HQLA that could be released
US Treasury market holds its breath after high drama
Intermediation broke down after off-the-run bonds were dumped on banks
Swaps liquidity slumps as Treasury stress spreads
Big buy-side participants report “worst day” for market depth in 10 years, as spreads widen and prices gap
Aggregate LCR of systemic US banks edged lower in 2019
Net cash outflows increased at a faster pace than HQLA last year
Bonds and swaps struggled in virus volatility
Low liquidity and wider spreads amplified by remote working, traders claim
India exchange to debut rupee derivatives settled in US dollar
Launch of onshore futures and options unlikely to dent offshore volumes, though
LCRs of UK banks diverged in 2019
StanChart’s dropped 14 percentage points last year
ECB mulls wider clearing house access to account facilities
Including CCPs in the Eurosystem may remove the need for them to seek a banking licence
Cross-border trading could suffer under IM rules
Conflicting US and EU cash reinvestment rules may force buy side to post bonds
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Eurozone real estate funds build equity holdings
Net purchases of equity hit €18.2 billion
False start for foreign banks under Fed’s tailoring rule
Delayed reporting form means requirements for Barclays and Credit Suisse could change twice in 2020
‘Fallen angels’ pose little threat to EU funds
Passive fund outflows in a credit crisis would put pressure on high-yield bond prices
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
Morgan Stanley FX loss leaves ill-feeling, questions in wake
Options traders saw odd quotes by US bank months before losses were publicised
Fast-track SOFR term rate, says JP Morgan’s Pluta
Traders divided on whether liquidity in SOFR futures is sufficient to support a forward rate
Luxembourg regulator probes loan investments by Ucits
Lawyers say CSSF has already told a number of funds to prepare to sell their holdings
US banks anticipate fresh guidance on resolution liquidity
Consultation in first half of 2020 expected to clarify intra-group and forecasting requirements
Eurex members divided over liquidity risk charges
Banks say proposed charge too conservative, debate whether add-on should be charged directly to clients
ICAAP/ILAAP – How can banks improve the process?
Regulators consider banks’ internal capital and liquidity adequacy assessment processes (ICAAP/ILAAP) – important tools in managing risk
Cross-border loans to shadow banks top $7trn
Overseas lending to non-bank financial institutions expands 17% in Q3
Cyber attack could freeze US liquidity – NY Fed paper
Attack on one bank could affect more than a third of banking system’s assets, researchers warn
Haitong taps NLP to inform collateral coverage
Hong Kong broker scours news and blogs in bid for better corporate signals in China’s opaque markets