Liquidity
FX swap users hope to avoid month-end crunch
Blowout in spreads prompted SSGA and other managers to limit need for hedges today
FX vol revived by Covid-19 – but for how long?
Traders split on whether virus impact, or central bank responses, will prove most powerful
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
Equivalence failure threatens European share trading
UK and EU investors may be forced to trade dozens of shares on less liquid exchanges, analysis shows
Bankers say discount window is imperfect fix for UST woes
Further changes advocated to ensure Treasuries are used in US bank liquidity buffers
In choppy forex markets, algos buck expectations
Goldman, Nomura and others report increased volumes, although some clients revert to principal quotes
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist
Banks rush to tap new dollar liquidity facilities
ECB saw strongest demand: $75.8 billion out of the new 12-week programme
US G-Sibs urged to release surplus liquidity to fight virus sell-off
Top banks have about $378 billion of extra HQLA that could be released
US Treasury market holds its breath after high drama
Intermediation broke down after off-the-run bonds were dumped on banks
Swaps liquidity slumps as Treasury stress spreads
Big buy-side participants report “worst day” for market depth in 10 years, as spreads widen and prices gap
Aggregate LCR of systemic US banks edged lower in 2019
Net cash outflows increased at a faster pace than HQLA last year
Bonds and swaps struggled in virus volatility
Low liquidity and wider spreads amplified by remote working, traders claim
India exchange to debut rupee derivatives settled in US dollar
Launch of onshore futures and options unlikely to dent offshore volumes, though
LCRs of UK banks diverged in 2019
StanChart’s dropped 14 percentage points last year
ECB mulls wider clearing house access to account facilities
Including CCPs in the Eurosystem may remove the need for them to seek a banking licence
Cross-border trading could suffer under IM rules
Conflicting US and EU cash reinvestment rules may force buy side to post bonds
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…
Eurozone real estate funds build equity holdings
Net purchases of equity hit €18.2 billion
False start for foreign banks under Fed’s tailoring rule
Delayed reporting form means requirements for Barclays and Credit Suisse could change twice in 2020
‘Fallen angels’ pose little threat to EU funds
Passive fund outflows in a credit crisis would put pressure on high-yield bond prices
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
Morgan Stanley FX loss leaves ill-feeling, questions in wake
Options traders saw odd quotes by US bank months before losses were publicised