Liquidity
ECB official leaves door open to liquidity aid for non-banks
Risk Live: Deputy director doesn’t rule out copying UK plan to extend repo facility to pension funds and life insurers, but no imminent plans
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
Ruled out: can regulators settle the pre-hedging debate?
Market participants are at odds over the practice and whether regulation or principles can settle the score
EU banks fear loss of NSFR repo relief
European Commission must decide by next June; other jurisdictions adopted softer calibration
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
Dealer relief at delays to Refinitiv Matching’s tech migration
First phase of replatforming for Swiss spot pairs set to be pushed to mid-2025
US Bancorp ever more reliant on LCR relief
HQLAs would only cover 91.4% of bank’s net cash outflows without Fed’s cap
Jane Street ups its game in FX market-making
High-frequency trading firm now streaming bilateral spot FX liquidity to clients
Cashflow volatility lowest in four years at big US banks
Maturity mismatch add-ons ease up, but BNY Mellon, Goldman, Morgan Stanley and State Street buck trend in Q2
The market liquidity of interest rate swaps
The authors investigate dynamics and drivers of market liquidity in Euribor interest rate swaps, constructing seven liquidity swaps using data from centrally cleared trades.
FX algo users change tack to navigate market doldrums
BestX data finds traders ditching TWAP in favour of more opportunistic execution styles
Top US dealers shun least liquid assets for HQLAs
Charles Schwab bucks trend with move toward Level 2
US regional banks: challenges and opportunities
The authors investigate the 2023 run on US regional banks, comparing the solvency and regulation of these banks with European counterparts.
Honey, I shrunk the Fed. (Not a sci-fi fantasy)
Promoting the discount window may be the Fed’s key to shrinking its $7trn balance sheet, says Bill Nelson
LCR drops to multi-year lows at OCBC, UOB
Higher wholesale funding outflows partly responsible for reduction in liquidity ratios
Traders flipped long yen vol ahead of market rout
Hedge funds and real money bought long yen volatility in the run-up to Monday’s turmoil
For the Fed discount window, destigmatisation starts at home
US supervisors must change tack to encourage central bank liquidity utilisation, writes Bill Nelson
CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
Four US MMF managers return to Fed repos in May
Fidelity and American Funds among managers opting to increase investments in RRP
Axpo outperforms in the Commodity Rankings 2024
Energy market participants give recognition to the Swiss utility as it brings competitive pricing and liquidity to embattled gas and power markets
Ice Europe’s liquid resources up 27% under new model
More comprehensive stress-testing model pushes highly marketable collateral to record high in Q1