Liquidity
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
Freeriding on liquidity in the Colombian large-value payment system
The functioning of a large-value payment system (LVPS) can be affected when some of its participants intentionally decide to delay their payments until they can fund them with payments received from other participants. This payment strategy, known as the…
Asian NDF fixings threat signals yet another deadline drama
Extraterritorial reach is not new to region, but EU Benchmarks Regulation poses real risks
Mark Yallop on conflicts in fixed income
Banks and their clients need protocol on information sharing, says FMSB chair
Japanese banks load up on HQLA
Aggregate liquid assets increase ¥22.3 trillion year-on-year
China A-shares: traders want access to onshore funding
Inclusion in MSCI will drive CNH squeeze unless CNY market is opened or settlement extended
EU close to granting swaps-trading equivalence to Singapore
Planned MAS trading obligation would otherwise seal off local traders from global liquidity
CCPs must step up cyber risk efforts, says EU legislator
Policymakers want more focus on non-default loss resources; Eurex Clearing’s Mueller flags investment risk
EBA and ECB hit out at capital hurdles to banking union
Top regulators frustrated by push to ring-fence capital and liquidity in EU subsidiaries of EU banks
ALM and liquidity risk reporting greatly enhanced by big data applications
Sponsored video: Luis Mataias, IBM Watson Financial Services
Liquidity resources vary across CCPs
Eurex, Ice Clear Credit, LCH SA most dependent on cash deposited at central banks
JP Morgan, Wells Fargo excess reserves dwindle faster than Fed average
Total banking sector excess reserves have dropped 5.8% since Fed "normalisation" began
Softer repo treatment seen as up for grabs in final US NSFR
Funding rules for Treasury repo on shortlist of changes; lower swaps add-on viewed as done deal