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.
Three-quarters of survey respondents administering $4.4 trillion collectively get weekly illiquids enquiries from managers
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Darrell Duffie argues the rule hurts market efficiency for very safe assets
Industry moving away from outdated ways to visualise key risk
ETF volumes jumped after US election, while bond volumes remained constant
Cyclical lull conceals structural shift as liquidity becomes shorter-dated and more flighty
Unequal margining requirements may be a turn-off for local counterparties
Agency to publish report on regulation and market liquidity in May 2017
Sponsored by Wolters Kluwer
Risk USA: funds that have grown too big for their strategies could be exposed
Regulators and industry clash over interpretation of Mifid II market-making rules at industry event
Industry says revised measures could be gamed
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.
Brexit margin calls show swaps CCPs are relying on funding strength of a handful of banks
Calls on June 24 may have topped $40 billion; critics urge regulators to review episode
Huge losses from the 2008 crisis can be seen as a short option position
This papers is the first to link bank liquidity performance and core–periphery network structures.
Manager says systemic risk has reduced, creating opportunity in sell-offs
Rigid criteria and poor data could make EU regime too narrow to achieve US recognition
Bank funding desks tapped standalone accounts and offshore investors for cash as prime funds slumped
BoE and EC concerned about repo liquidity, but Basel Committee unlikely to budge
Repo, collateral and legal entities pose obstacles to liquidity reporting, say panellists at event