Liquidity
Top US banks saw liquid assets grow over $500bn in 2020
JP Morgan saw HQLAs increase 28% year on year
Optimal foreign exchange hedge tenor with liquidity risk
The authors develop an optimal currency hedging strategy that allows fund managers who own foreign assets to choose the hedge tenors that will maximize their foreign exchange carry returns within a liquidity risk constraint.
SOFR adoption stalls after US Libor delay
Stay of execution, RFR illiquidity and fallback reliance slow SOFR adoption
Barclays cut liquidity buffer in Q4
High-quality liquid assets fall 19% quarter on quarter
Softer US NSFR could skew global repo pricing
US banks benefit from Treasury repo exemption, while EU banks report only end-quarter ratios
BlackRock: fix commercial paper before MMF meddling
Iosco official agrees that CP market needs to be considered alongside MMF reform
Investment house of the year: Amundi
Risk Awards 2021: when the pandemic hit, Amundi moved quickly to cut risk and raise liquidity
Innovation in execution: Credit Suisse
Risk Awards 2021: Swiss bank’s AES platform excelled in US Treasury market during March turmoil
Final NSFR rule unlocks subsidiary funding for US banks
Technical clarification allows subsidiary capital to be assigned as funding for consolidated group
BofA doubled held-to-maturity book in 2020
The bank moved mortgage bonds into HTM throughout the year
French regulator questions need for share trading equivalence
Esma’s reinterpretation ahead of Brexit reduces need for equivalence system, says AMF official
LCH Ltd sent record €6bn VM call to one clearing member in Q3
Largest estimated payment obligation in the event of a member default also climbs quarter on quarter
Don’t blame CCPs’ models for Covid margin spikes – WFE
Lobby group counters popular view that tools could ease procyclicality; puts focus on liquidity management
How much liquidity would a liquidity-saving mechanism save if a liquidity-saving mechanism could save liquidity? A simulation approach for Canada’s large-value payment system
This paper investigates how much liquidity requirements can be reduced with the implementation of different LSMs in the Financial Network Analytics simulation engine using LVTS transaction data from 2018.
EU banks’ reliance on ECB loans has grown in Covid’s wake
Central bank funding accounted for 14.5% of Greek banks’ liabilities in September
Asia moves: HSBC appoints Apac CIO, Crédit Agricole names regional transaction banking head, and more
Latest job news across the industry
Review of 2020: chaos on a roll
Vanishing liquidity, the Ronin collapse, XVAs – the pandemic wreaked havoc in risk transfer markets
Banks worldwide have built up liquidity buffers post-Covid
Lenders in Japan have the highest LCRs of global banks surveyed
Post-Covid crisis, EU banks have thin dollar liquidity buffers
Dollar LCRs declined between March and June
MMFs lengthen portfolio maturity post-Covid – BIS
Average holdings had maturity of 41 days in November
Why central banks aren’t worried about FX algos – for now
Disclosure failings feed into FX code; other issues are worrying, but distant, says SNB’s Maechler