Funding
Stanford’s Duffie shakes up SOFR credit race with AXI index
Academics propose new credit index that ditches Libor tenors for a single funding spread
Asia debt market suffers SOFR inertia
Issuers of floating rate notes stick with Libor in absence of term version of risk-free rate
JP Morgan posts $510m XVA gain
Benefit reverses some of the previous quarter’s record loss
Clearing banks show they’ve learned lessons of the past
CCP members were able to meet massive margin calls in March. But could they do it again?
Investors at the gates: MMF reforms fail the Covid test
After MMF rescues return, regulators urged to rethink rules on gates and sponsor support
Appetite for renewed Fed dollar swap lines in doubt
With up to $300bn of positions nearing expiry, some say FX swap market can meet banks’ funding needs
EU banks’ liquidity buffers weathered Covid turmoil
Central bank cash reserves edge up across EU lenders
At height of Covid crisis, eurozone MMFs scrambled for cash
MMFs hold the bulk of eurozone banks’ commercial paper
Non-operational deposits flooded US G-Sibs in Q1
JP Morgan also sees a big jump in its maturity mismatch add-on
US bank liquidity ratios eroded in Q1
Net cash outflows and HQLA spike to record levels
Deutsche Bank liquidity buffer shrinks €17bn
Clients’ clamour for cash forces bank to monetise liquidity pool
FVA losses back in spotlight after coronavirus stress
Three US banks suffer combined loss of almost $2bn after rates and funding double whammy
El-Erian on Covid-19 policy risks and central bank capture
Former Pimco chief says Fed has gone too far, market function rules needed and chance opens for shared policy load
JP Morgan takes $951m XVA hit
Funding spread widening blamed for majority of Q1 hit
CCPs built up liquidity buffers heading into 2020
LCH SA grew qualifying liquid resources 49% year on year
Fed action fails to dampen spreads for riskier credits
Borrowing costs for some issuers are still two to three times the historical average
Dollar funding squeeze eases after March madness
Fed action helps restore equilibrium, leaving fears of quarter-end crunch unfounded
FX swap users hope to avoid month-end crunch
Blowout in spreads prompted SSGA and other managers to limit need for hedges today
Deutsche Bank cut liquidity buffer in 2019
Cash balance dropped €49 billion last year
Japan banks seize on US dollar funding
Daily facilities drawn upon extensively this week
Banks rush to tap new dollar liquidity facilities
ECB saw strongest demand: $75.8 billion out of the new 12-week programme
Oil price shock triggers big margin calls
Banks and exchanges worked through weekend in anticipation of oil collapse
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…