Liquidity
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
Complying with climate risk framework standards for streamlined processes
Conscious that climate change affects all sectors of the economy, financial institutions are realising the significant impact this will have on their customers and, ultimately, their own profit margins.
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
Credit risk, data and AI: managing spiralling demands and delivering value
Based on a comprehensive survey of, and conversations with, credit risk professionals globally, this report delves into their challenges they face in trying to source and use forward-looking data.
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
Podcast: Leveraging real‑time data feeds for faster business decisions
The markets have been on a very volatile ride in 2022, which makes low-latency data more crucial to the business
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
Illiquid assets throw UK pensions off balance
Collapse in equity and bond prices leaves some funds with outsized exposure to private holdings
Tapping into liquidity in the high-yield bond market
How can investors access the potential for greater returns from the high-yield bond market while keeping liquidity risk in check?
Credit Suisse’s LCR down 20% in October as depositors flee
Sub-group liquidity requirements breached as chatter around bank’s solvency spurred cash outflows
Tapping into liquidity in the high-yield bond market: derivatives and lending markets
The iBoxx USD Liquid High Yield Index has served as the leading benchmark for the high-yield market since its debut in 2006
Tapping into liquidity in the high-yield bond market: index and pricing
While high-yield bonds have generally been excluded from traditional aggregate-type fixed income benchmarks in the past, they remain a growing asset class that has historically offered yields exceeding those of investment-grade debt