Liquidity
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EC: regulators could adapt rules to protect bond liquidity
Official recognises regulatory hit to corporate bond and repo markets, but rejects Mifid delay
EC to miss Mifir equivalence deadline
Draft timetable would leave some jurisdictions inaccessible to European Union firms from January 2018
Debt–liquidity shock risk: intertemporal effects and probability measures
This paper analyzes how the yield of government securities may be managed in order to save costs in the face of the risk of a liquidity shock.
Fund admin providers see strong demand for illiquid strategies
Three-quarters of survey respondents administering $4.4 trillion collectively get weekly illiquids enquiries from managers
Why liquidity risk is the silent clearing killer
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
Systemic risks in CCP networks
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Why the leverage ratio distorts market-making
Darrell Duffie argues the rule hurts market efficiency for very safe assets
Now in 3D: buy side turning to new liquidity risk metrics
Industry moving away from outdated ways to visualise key risk
Bond ETFs ‘a source of liquidity’ in stress events
ETF volumes jumped after US election, while bond volumes remained constant
‘Wrong type of liquidity’ spells trouble for energy hedges
Cyclical lull conceals structural shift as liquidity becomes shorter-dated and more flighty
US banks fear margin rules could hit emerging Asia liquidity
Unequal margining requirements may be a turn-off for local counterparties
SEC’s White ‘deeply concerned’ about bond market illiquidity
Agency to publish report on regulation and market liquidity in May 2017
Webinar: Stress testing
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SEC liquidity rules could punish larger funds
Risk USA: funds that have grown too big for their strategies could be exposed
Mifid II impact on energy liquidity sparks fiery debate
Regulators and industry clash over interpretation of Mifid II market-making rules at industry event
SEC liquidity rule flawed, warn funds
Industry says revised measures could be gamed
A map of collateral uses and flows
This paper provides insights into the increased demand for collateral, the reduced capacity for banks to act as collateral intermediaries and examples of risks and vulnerabilities in collateral flows.
A referendum on clearing
Brexit margin calls show swaps CCPs are relying on funding strength of a handful of banks
Huge Brexit margin calls stoke intra-day funding fears
Calls on June 24 may have topped $40 billion; critics urge regulators to review episode
Why did the crisis cause such large op risk losses?
Huge losses from the 2008 crisis can be seen as a short option position
Financial networks and bank liquidity
This papers is the first to link bank liquidity performance and core–periphery network structures.
New hedge fund plans on grabbing flash-crash profits
Manager says systemic risk has reduced, creating opportunity in sell-offs
EU trading obligation threatens US equivalence
Rigid criteria and poor data could make EU regime too narrow to achieve US recognition