Liquidity
Drax, Brevan and the rise of the agency broker
JB Drax has become a key broker for at least 15 buy-side firms, including Brevan Howard. But what is driving the success of the secretive agency broker and its peers?
Quadruple witching triggers $1.5bn VM call at CME Clearing
Peak VM call was 56% bigger than the one in Q4 2018
Pre-2019 ABS ‘very unlikely’ to stay in EU liquidity buffers
Issuers will struggle to adapt old deals to new STS rules, forcing banks to reshuffle HQLAs
One size does not fit all – Adapting to meet investment goals
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
Greenwich Associates Publishes New TCA Study
FX Options in the Age of Uncleared Margin Rules
BoE to step up scrutiny of daily liquidity risks
Regulator wants more data on cashflow mismatches, but no plans for Pillar 2 charge yet
Eurex made €525m VM call in Q1
Margin call equivalent to 2% of CCP’s own liquidity resources
Eurex boosts liquidity buffers by 8%
Central bank deposits continue to make up bulk of CCP's liquidity resources
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Systemic US banks’ overseas loans top $3trn
Citi leads large US dealers with almost $1trn of foreign claims
Non-systemic US banks shy away from short-term funding
Mid-sized non-G-Sibs have average STWF score of just 17.1%
US banks’ liquidity buffers thinnest among G-Sibs
Mean LCR of US banks hits 122.5% in Q1
Overseas loans to US crept up in Q4
But rate of loan growth to US borrowers fell throughout 2018
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
US banks demand high rates for overnight loans
Most banks demand 25bp-plus spread over IOER to lend unsecured
US G-Sibs curb reliance on unsecured debt
Citi cuts outflows related to issued securities 68% year-on-year
Lack of buy-side repo backstop a concern – Citi repo head
Growth of client repo books could create liquidity crunch, says Grigorios Markouizos
How leading firms are preparing for the shift from Libor
Driven by declining liquidity in the unsecured interbank lending market, firms face a significant amount of planning in the lead up to 2021. Engrained in the very fabric of financial service providers, there is a warranted degree of uncertainty and…
At systemic US banks, HQLA falls $35bn in Q1
LCRs drop at JP Morgan, Citi and BofA Securities
Ice creates daily credit risk monitoring tool
Company muscles into Bloomberg’s fixed income data territory with bond analytics service
At HSBC, LCR deteriorates as HQLA drops $32bn
Total HQLA stood at $535.4 billion, a 6% reduction quarter-on-quarter