Liquidity
Basel liquidity rules block Fed’s QE exit
LCR and NSFR could produce $1 trillion shortfall in plans for balance-sheet ‘normalisation’
Deutsche joins Goldman in change of FX terms
German bank offers to share price-move gains with clients
European legislators to exempt CCPs from new bank rules
Support in Council and Parliament suggests leverage ratio, NSFR exemptions will be in final text
When do central counterparties enhance market stability?
This paper examines the impact of market structure and payment assumptions on the fragility of various networks.
Deloitte valuation boosts legal hopes of Popular bondholders
Experts point to quick and unreliable valuation, and lack of independence on liquidity assessment
LCH, CME or OTC? Forex traders weigh their options
Bilateral trading costs bite but dealers lukewarm on both firms’ plans for forex options clearing
BAML hires new US head, Ice names model risk head, and more
Latest job changes across the industry
How energy players are reaching the limits of hedging
Commodities firms face lasting changes in 2018
The impact of de-tiering in the United Kingdom’s large-value payment system
The authors conduct a head-to-head comparison of central and bilateral clearing to evaluate the impact of market structure on market stability.
Clearing conundrum – Forging a solution for the bilateral market
Central clearing has had a beneficial effect on the over‑the‑counter derivatives market, but for some products the road to a cleared model has not been smooth. Capital, operational and margin costs of the non-cleared market have increased, while…
Buy-side firms ice repo clearing plans as spreads tighten
Resurgent bilateral market a headwind for services at Eurex and LCH
Trade surveillance shouldn’t deter traders
Monitoring costs are forcing commodity players away from market participation, say consultants
Bitcoin futures pricing kindles manipulation fears
CME and CBOE insist pricing methodology is robust; critics say contracts are ripe for manipulation
Customisation and risk mitigation strategies are the trends to watch in 2018
With the swing towards customisation expected to gather momentum in 2018, flexiblity and responsiveness to clients’ needs are increasingly important. Deutsche Bank is well positioned to assist its clients, improving their agility and flexibility with the…
China oil future approved, March start targeted, says source
International banks see healthy interest from overseas clients
Buy-side firms doubt SEC initiative will fix bond markets
Despite increased electronic trading, liquidity worsening in some corporate bonds
Icap European Sef faces axe as US, EU reach equivalence deal
Dual-registered venue no longer necessary under US-EU substituted compliance regime, say lawyers
European split on NSFR worries dealers
Squabble over derivatives liabilities factor sparks fears of unlevel playing field
A model for the valuation of assets with liquidity risk
This paper describes a model for the valuation of assets on a bank balance sheet with liquidity risk. It applies the model to single cashflows, loans, bonds and derivatives. In addition, the calibration to London Interbank Offered Rate basis spreads is…
Eonia jump forces rethink of euro swap pricing
Traders say volatility of discount rate should be taken into account after "unprecedented" 12bp move
State Street uncovers a bond liquidity mystery
Bigger trades are cheaper, research finds – and investor analytics head, Mark McKeon, knows why
Basel concession strengthens US opposition to NSFR
Lobbyists say change to gross derivatives liabilities measure shows the whole ratio is flawed
Forex forward users delay VM plans amid uncertainty
Firms postpone plans to start margining before January 3 in case EU regulators scrap new requirement