Liquidity
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
CCPs’ largest members account for almost half IM
Analysis of 30 clearing services shows wide dispersion in concentration risk – with LCH and JSCC leading the pack
Podcast: Zetocha on mini-futures (not those) and illiquid options
Julius Baer equity quant revels in solving problems for the trading desk
Finra head recognises ‘challenges’ for bond transparency drive
Cook says regulators thinking about industry’s operational and liquidity concerns
Bucking wider trend, Citi’s cash trove ends 2022 up 31%
Liquid balances surged 14% in the last quarter of the year alone
UK’s plans to ditch share trading rules threaten liquidity
Asset managers say London’s decision to relax EU equity regime will fragment liquidity – with unpredictable consequences
Shadow banks grew net repo claims to record $2.1trn in 2021 – FSB
Non-bank intermediaries, led by money market funds, tapped Fed’s reverse repo window as rates began their ascent
CME revises estimated worst-case payment obligation
IRS and F&O clearing unit both subject to revision in Q3
How UBS AM is stress-testing for liquidity risk
Policy shifts in Japan, China among scenarios under review at Swiss asset manager
Liquidity risk at OCC up 34% in Q3
Internal stress-testing of a clearing member’s portfolio triggered upward revision
IM at Eurex Clearing’s IRS unit rose again in Q3
Heightened market volatility behind latest increase to record high €50.7bn
Liquidity pool at FICC’s government securities unit shrank 49%
Clearing unit did not disclose any highly marketable collateral and repo values of underlying securities as part of available liquidity buffer in Q3
Japan banks’ LCRs pull back for 4th quarter in a row
Rise in net cash outflows remains sustained as HQLAs hit plateau
FX primary venues seek reversal of fortunes
EBS and Refinitiv fight to restore market share – but bilateral trading may be too entrenched, dealers say
Aussie banks slash quasi-HQLAs by 27%
Lenders told to cut reliance on central bank repos for liquidity coverage amid a glut of government debt
How risk managers can stop the FTX infection from spreading
Segregation and transparency can save investors from imploding crypto trading venues
PTFs call for reform before Treasuries clearing mandate
Non-banks warn all-to-all trading relies on requiring dealers to accept ‘done away’ trades
UK pension funds hand over more assets to LDI managers
Transfer of assets is a pre-emptive move to avoid repeat of September’s collateral crunch, trustees say
Who blew up gas prices? (It wasn’t just Russia)
Government buying, climate risk and short squeezes may have led to ‘horrendous’ gas market margin calls
BoE official signals tough stance on CCP skin in the game
Default waterfalls must include a second tranche of CCP capital, says Cunliffe
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
A new approach to marking volatility of illiquid options
Julius Baer quant’s arbitrage-free solution overcomes challenge of sparse data
No clear gain: banks question SEC’s Treasuries clearing plan
US Treasuries dealers say clearing won’t help post-Covid illiquidity – and could harm it
UBS cuts liquidity valuation adjustments to record low
Bank lowered bid-offer fair value discount to reflect current levels of market liquidity