Barclays saw its liquidity coverage ratio (LCR) surge 10 percentage points over the third quarter, in stark contrast to its UK peers.

The bank’s rolling 12-month average LCR as of end-September climbed to 166% from 156% three months prior.

This was the result of a sharp increase in high-quality liquid assets (HQLA), which form the numerator of the ratio, stocks of which climbed £20.7 billion (+9%) over the quarter. In contrast, net cash outflows – which make up the LCR denominator – increased

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#### Derivatives

###### An approximate solution for options market-making

An algorithm for the market-making of options on different underlyings is proposed