Liquidity
OCC on the hook for $4bn if member defaults
Clearing house’s liquidity resources hit $7.9 billion in Q1
UK banks shun short-term funding
Flighty sources of cash make up less than 4% of UK bank balance sheets
The BoE leverage ratio: welcome relief or regulatory arbitrage?
UK banks are reaping higher capital savings through the BoE's leverage measure
BoE is going to curb Libor collateral. But how much?
Harshest of three ideas to shift market to Sonia would largely ban Libor collateral from its market ops
How AI could tear up risk modelling canon
BlackRock, MSCI, La Française among firms looking to replace traditional, linear risk models
Risk and finance – Better together
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. SAS explores why, to successfully meet these new requirements, organisations need to rethink the way they operate
Top CCPs’ liquidity pools hardly grow in Q1
LCH SA the only outlier as most clearing houses see cash, collateral and credit on hand shrink
Euro repo shift doubles LCH SA liquidity pool
Total liquidity resources jumped to €65.9 billion at end-March
Drax, Brevan and the rise of the agency broker
JB Drax has become a key broker for at least 15 buy-side firms, including Brevan Howard. But what is driving the success of the secretive agency broker and its peers?
Quadruple witching triggers $1.5bn VM call at CME Clearing
Peak VM call was 56% bigger than the one in Q4 2018
Pre-2019 ABS ‘very unlikely’ to stay in EU liquidity buffers
Issuers will struggle to adapt old deals to new STS rules, forcing banks to reshuffle HQLAs
One size does not fit all – Adapting to meet investment goals
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
Greenwich Associates Publishes New TCA Study
FX Options in the Age of Uncleared Margin Rules
BoE to step up scrutiny of daily liquidity risks
Regulator wants more data on cashflow mismatches, but no plans for Pillar 2 charge yet
Eurex made €525m VM call in Q1
Margin call equivalent to 2% of CCP’s own liquidity resources
Eurex boosts liquidity buffers by 8%
Central bank deposits continue to make up bulk of CCP's liquidity resources
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
Systemic US banks’ overseas loans top $3trn
Citi leads large US dealers with almost $1trn of foreign claims
Non-systemic US banks shy away from short-term funding
Mid-sized non-G-Sibs have average STWF score of just 17.1%
US banks’ liquidity buffers thinnest among G-Sibs
Mean LCR of US banks hits 122.5% in Q1
Overseas loans to US crept up in Q4
But rate of loan growth to US borrowers fell throughout 2018
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments