Liquidity
At systemic US banks, HQLA falls $35bn in Q1
LCRs drop at JP Morgan, Citi and BofA Securities
Ice creates daily credit risk monitoring tool
Company muscles into Bloomberg’s fixed income data territory with bond analytics service
At HSBC, LCR deteriorates as HQLA drops $32bn
Total HQLA stood at $535.4 billion, a 6% reduction quarter-on-quarter
No-deal Brexit could force European swaps trading to US venues
Lack of equivalence between UK and EU regimes would create “conflicting obligations” for large dealers
LCR surges at UBS as HQLA billows higher
Ratio of liquid assets to stressed cash outflows hits 154%
Stoplight system could spot imminent meltdowns – study
Proposed traffic light system sifts through transaction data for signs of trouble
Don’t fear the clearer
Wider use of CCPs not systemic threat – but participants do face hard-to-measure risks
Foreign banks eye HQLA savings in US
Liquid asset minimum requirements could drop by $14.9 billion at TD Bank alone
Top CCPs add $79 billion to liquidity pool in 2018
Clearing houses placed more cash with commercial banks than in 2017
LCH discounting switch tipped to help SOFR swap market
Isda AGM: Using SOFR discounting for Libor swaps will help build liquidity, say market participants
Weiss scraps bond strategy amid liquidity qualms
Buy-Side Risk USA: $1.6 billion manager says thinned-out markets make generating alpha hard
Fed reserves $749bn above banks’ ‘comfort levels’
Lenders could shed excess reserves by up to 61% without breaking a sweat
Foreign bank IHCs run more funding risk than US peers
More than 80% of foreign banks' short-term borrowings mature within 30 days
Hong Kong goes slow on swaps trading mandate
Isda AGM: Regulator fears disruption to its position as global hub if it forces trades on venue
Funds ring alarm on EU guidelines for liquidity stress-testing
Managers could be forced to use multiple methods to stress-test large number of funds every quarter
European and US G-Sibs' LCRs diverge in 2018
The average LCR at the 13 European and Swiss G-Sibs stood at 145% at end-December, 42 basis points higher than at end-2017
Portfolio traders turn to tech – A new generation of strategies
Chris Bruner, head of US credit product at Tradeweb, explores the products that can help managers express portfolio views and how they can maximise the benefits they can reap by evaluating and understanding the price, risk and relative value of each…
Eurex member faced jumbo VM call in Q4 2018
Third-largest actual same-day payment obligation is the biggest since 2016
Dealers go quiet on Turkey research
Seven banks have not covered this week’s lira meltdown, following investigation of JP Morgan
Asia ETF Forum 2018 special report
Since the launch of the first exchange-traded fund (ETF) on the Hong Kong Exchanges and Clearing (HKEX) in 1999, exchange-traded products (ETPs) have gained popularity as they become one of the fastest-growing investment products in the world. Hong Kong…
Procyclicality and risk-based access: valuing the embedded credit default swap of employing bilateral credit limits in financial market infrastructures
In light of institutional knowledge, this paper presents the similarities between the survivor-pay component (Tranche 2) of the Canadian large-value transfer system (LVTS) and credit default swap (CDS) contracts.
Use-cases for Mifid II data prove elusive
Banks running market share analysis from trade reports, but data quality hampering other projects
Four Greek banks in breach of LCR
Alpha Bank, Eurobank Ergasias, National Bank of Greece and Piraeus Bank short €22.5 billion of HQLA
Schwab, Northern Trust’s funding risk rivals G-Sibs'
Two non-G-Sibs have high short-term wholesale funding scores under Method 2