Repo
Market blocked in by volume caps on European DLT regime
Limited scope of pilot project risks holding back issuer and depository participation
SVB opens floodgates on liquidity buffers debate
European regulator says HQLAs should be booked at fair value, but not everyone agrees
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
RBC, JP Morgan become top MMF repo dealers
BNP Paribas slips to third place after 10 months in top spot
Grim repo warning spotlights BNP Paribas booking model
Federal regulators may be targeting French bank’s Paris-based book of US Treasuries
MMFs’ reverse repos with Fed surged 35% last year
Fidelity-run funds drove 29% of the $601 billion in new trades
US retail funds further slash repo borrowing
Counterparty Radar: Manager activity in Q3 2022 lowest in nearly three years; BofA surpasses JP Morgan as top dealer
Repo clearing: trends, developments and outlook
Recent volatility in the UK gilt market has highlighted the repo market’s need for CCP stability, predictability and resilience. LCH RepoClear unpacks the trends and key developments of 2022, and shares an outlook for 2023
Shadow banks grew net repo claims to record $2.1trn in 2021 – FSB
Non-bank intermediaries, led by money market funds, tapped Fed’s reverse repo window as rates began their ascent
Japan banks’ LCRs pull back for 4th quarter in a row
Rise in net cash outflows remains sustained as HQLAs hit plateau
Aussie banks slash quasi-HQLAs by 27%
Lenders told to cut reliance on central bank repos for liquidity coverage amid a glut of government debt
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
No clear gain: banks question SEC’s Treasuries clearing plan
US Treasuries dealers say clearing won’t help post-Covid illiquidity – and could harm it
Pension funds face intraday margin calls from anxious clearers
Some banks stick with T+1 margin posting, but others balk at funding cost and counterparty risk
Pensions eye collateral facilities to buffer market turmoil
Arrangements would allow funds to exchange riskier assets like corporate bonds for cash or gilts
US mutual funds pulled back from repo market in Q2
Counterparty Radar: Cash borrowing fell to lowest level since 2020; JP Morgan remains top dealer
UK pensions hit with £100m margin calls as gilts and sterling slide
At least three LDI managers request emergency capital as others consider unwinds to avoid default
IM at three LCH clearing units rose in Q2
Increase in clearing volumes pushed collateral up at EquityClear, RepoClear and SwapClear
Netting uncertainty inflates Citi’s Russia exposure
Russia made up 1.2% of the bank’s top 25 exposures by country, up from 0.8% in Q1
‘Very little support’ for a US Treasury clearing mandate – Isda
Dealers and clients prefer carrot to stick in efforts to improve Treasury market liquidity
‘Repo by the minute’ could reshape lending – but not quite yet
Blockchain-based platforms from JP Morgan and Broadridge offer smart contracts that enable intraday repo
Repo haircuts and economic capital: a theory of repo pricing
The author proposes a repo haircut model that will identify capital for repo default risk as the main driver of repo spreads and allow investors to settle at an optimal combination of the haircut and repo rate.
JP Morgan extends run as top repo dealer to US funds
Counterparty Radar: New data shows wide variation in haircuts, with biggest clients – like BlackRock and Pimco – getting best terms
How to stop stablecoins from hoarding precious collateral
Repo markets expert and crypto bank chief exec think Fed reserves are the right answer