Liquidity
Managers see danger in rise of mega funds
Institutionalisation of hedge funds could be adding to liquidity risk, managers say
Basel set to reopen NSFR derivatives debate
Contentious 20% add-on for derivatives liabilities to be reviewed this October
Banks fear uneven playing field on NSFR
Asian jurisdictions likely to implement key liquidity metric before US and Europe
P2P repo platforms in bid to solve US liquidity crunch
New peer-to-peer services claim buy side is failing to reap benefits of higher volumes
Insurers say capital rule threatens long-duration products
Implied credit charges could triple under one approach being field-tested by regulators
Haircutting non-cash collateral
Wujiang Lou develops a parametric haircut model to conduct sensitivity tests and capture market liquidity risk
Firms race to apply machine learning to liquidity risk models
As key regulatory deadline looms, US mutual funds are waiting to see if machine learning can enhance liquidity risk models
Bank-loan funds in the dark over liquidity rules
Haziness in SEC requirement on ‘highly liquid’ assets could leave funds open to litigation
Ferc urged to prop up illiquid natural gas indexes
A lack of willing price reporters is eroding confidence in key benchmarks
FRTB to create winners and losers on the buy side
Wider spreads could hit returns, but some funds eye opening in exotic and securitised markets
BNY Mellon’s Neal on funding, liquidity and collateral
Markets head Michelle Neal says firm has “big responsibility” after JP Morgan’s tri-party repo exit
Funds call for delay to SEC’s ‘nebulous’ liquidity rule
Industry groups say monitoring tools are six months from ready
Bailout obsession holds back US CCP resolution regime
Dodd-Frank leaves legal uncertainty, but proposed alternatives could be even worse
BlackRock to use machine learning to gauge liquidity risk
Firm close to rolling out new models for redemption risk and market liquidity
UK proposes gold plating of liquidity risk rules
Cashflow mismatch risk framework aims to plug holes in Basel Committee's liquidity coverage ratio
Overcrowded aggregators harm everyone, DB research finds
Paper finds increasing number of liquidity providers in aggregated environment can harm execution quality
Investment funds would magnify a liquidity crisis – BoE
Bank of England’s first stress simulation suggests corporate spreads would gap 41bp on 1% redemptions
Trust key to interbank lending, study finds
'Social collateral' collapsed during 2008 crisis, finds Swiss National Bank paper
Managing market liquidity risk in central counterparties
This paper discusses the different approaches to incorporating market liquidity risk within a CCP’s default waterfall and the challenges that these approaches pose.
Trading lightly: cross-impact and optimal portfolio execution
A liquidity model for basket of correlated securities is presented
Asian privacy laws obstruct FRTB data pooling efforts
Bank scepticism and regulatory hurdles likely to inhibit cross-border information sharing
US dealers wade into European CCP relocation debate
CFTC hearing warns of increased margining costs and a pre-Brexit client onboarding crunch
SEC liquidity rules may trigger forced sales, funds warn
Investors may be forced to sell illiquid assets in a crisis to avoid compliance breaches
DTCC’s $74 billion liquidity charge riles members
Some firms may stop clearing US Treasury trades if the CCLF is implemented