Liquidity
Networks of common asset holdings: aggregation and measures of vulnerability
This paper quantifies the interrelations induced among financial institutions by common asset holdings.
LCR gap between EU and US banks widens further in H1
State Street had the lowest LCR, at 108%, and UniCredit the head of the pack with an LCR of 179%
Liquidity risk of non-systemic US banks differs from G-Sibs
PNC, US Bancorp, Capital One cannot rely on cash inflows in a market panic
Funds take action to avoid fire sales under new SEC liquidity rule
Asset managers want more time to get illiquid assets within regulatory limits during market upheaval
US banks cut surplus deposits caught by LCR
Eight US banks show aggregate $6.5 billion decline in non-operational deposit outflows under liquidity measure
US LCR cash inflows dominated by secured loans
Median US systemically important bank counts secured loans as 73% of total cash inflows
Cashflow turbulence up at Citi, JP Morgan
Maturity mismatch add-ons have grown since June 2017
Poor Mifid data could condemn OTC market to the dark
Many derivatives likely to fail first full liquidity test and escape EU transparency obligations
OCC swells liquidity after reinforcing clearing fund
Further changes expected following September clearing fund revamp
Tri-party repo switch prompts Credit Suisse liquidity boost
Swiss bank LCR surges to 226%
US foreign bank rules sap UBS liquidity buffer
HQLA fell Sfr2 billion in the second quarter, down 17% since US IHC formed
Short-term funding weighs heavily in systemic risk scores
Indicator accounts for 30% of Fed's average aggregate systemic risk scores for eight US G-Sibs
BV–VPIN: Measuring the impact of order flow toxicity and liquidity on international equity markets
The authors analyze the impact of different values of the VBS and sample size applied as inputs in a BV–VPIN model based on the US market in order to ascertain the optimal criteria for application across all other countries in our data set.
CCPs build their liquidity buffers
$26 billion increase in deposits entrusted to commercial banks
Eurex rejigs liquidity portfolio
Half a billion euros placed with commercial banks at end-March
EU trading venues warn over looming end of LEI relief
Expelling issuers with no legal entity identifiers could hurt liquidity and investor strategies
FICC liquidity facility swells to $36 billion
Capped contingent liquidity facility adjusts in response to heightened liquidity risk
Large non-systemic US banks call for tailored liquidity rules
Two banks urge lawmakers to provide LCR relief because they do not fall into G-Sib category
MSCI proposes ‘fairer’ alternative to swing pricing
Exiting investors should only pay the cost of net redemptions, says Acerbi