Liquidity
Is Libor going away?
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
The short-term Danish interbank market before, during and after the financial crisis
This paper studies the microstructure of the short-term uncollateralized Danish interbank market before, during and after the financial crisis, and into an era of negative interest rates.
Cross-border loans to eurozone show signs of life
The increase seen in Q1 2018 interrupted a downward trend that began at the start of 2016
EBA warns on funding stresses from QE exit
‘Mediterranean’ banks’ reliance on repo funding could be tested by withdrawal of stimulus
Banks will not use NSFR to judge funding risk
Calibration of ratio looks “somewhat insane” when applied to real world, conference hears
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
Extra tools needed for bank resolution funding – EU official
Current €55bn fund may not be enough, says senior manager at Single Resolution Board
Networks of common asset holdings: aggregation and measures of vulnerability
This paper quantifies the interrelations induced among financial institutions by common asset holdings.
LCR gap between EU and US banks widens further in H1
State Street had the lowest LCR, at 108%, and UniCredit the head of the pack with an LCR of 179%
Liquidity risk of non-systemic US banks differs from G-Sibs
PNC, US Bancorp, Capital One cannot rely on cash inflows in a market panic
Funds take action to avoid fire sales under new SEC liquidity rule
Asset managers want more time to get illiquid assets within regulatory limits during market upheaval
US banks cut surplus deposits caught by LCR
Eight US banks show aggregate $6.5 billion decline in non-operational deposit outflows under liquidity measure
US LCR cash inflows dominated by secured loans
Median US systemically important bank counts secured loans as 73% of total cash inflows
Cashflow turbulence up at Citi, JP Morgan
Maturity mismatch add-ons have grown since June 2017
Poor Mifid data could condemn OTC market to the dark
Many derivatives likely to fail first full liquidity test and escape EU transparency obligations
OCC swells liquidity after reinforcing clearing fund
Further changes expected following September clearing fund revamp
Tri-party repo switch prompts Credit Suisse liquidity boost
Swiss bank LCR surges to 226%
US foreign bank rules sap UBS liquidity buffer
HQLA fell Sfr2 billion in the second quarter, down 17% since US IHC formed
Short-term funding weighs heavily in systemic risk scores
Indicator accounts for 30% of Fed's average aggregate systemic risk scores for eight US G-Sibs
BV–VPIN: Measuring the impact of order flow toxicity and liquidity on international equity markets
The authors analyze the impact of different values of the VBS and sample size applied as inputs in a BV–VPIN model based on the US market in order to ascertain the optimal criteria for application across all other countries in our data set.
CCPs build their liquidity buffers
$26 billion increase in deposits entrusted to commercial banks
Paper calls for action on payment ‘free-riding’ in Colombia
Country’s financial corporations most likely to prefer to rely on others’ liquidity to fund payments
