Liquidity
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
Risk contagion and bank stability: the role of credit risk and liquidity risk
The authors put forward a systemic risk measurement model and measure systemic risk in China's banking sector for the period 2013-18.
Pension funds face intraday margin calls from anxious clearers
Some banks stick with T+1 margin posting, but others balk at funding cost and counterparty risk
Pensions regulator plays down LDI risk to EU
Eiopa doubts UK gilt market chaos could occur to same degree in Europe
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
Pensions eye collateral facilities to buffer market turmoil
Arrangements would allow funds to exchange riskier assets like corporate bonds for cash or gilts
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
How requests for quotes could amount to ‘insider information’
Lawyers say Esma’s incoming pre-hedging guidance could make firms liable for multimillion-euro fines
European banks’ aggregate LCR dips as outflows rise
Net cash outflows outpaced HQLAs, but liquidity reserves remain plump
Euro banks’ funding plans lag TLTRO repayments – EBA
Survey on funding plans shows banks don’t plan to replace ECB lines just yet
Pension funds foresaw margin meltdown (a decade ago)
Years of warnings went largely unheeded. Questions may now spread to post-crisis clearing and margining project
Talking Heads 2022: Rates market ruckus
Inaugural interview series looks at how sell-side traders are adapting to a world of surging inflation and rates
Ice to accept EUAs as collateral
Emissions certificates accepted to offset short EUA futures positions, subject to 14-day comment period
Duffie: SEC plan heralds all-to-all Treasuries trading
Former Fed adviser welcomes long-advocated Treasuries clearing mandate
House of the year, Malaysia: CIMB
Asia Risk Awards 2022
Liquidity risk solution of the year: Oracle Financial Services
Asia Risk Awards 2022
Shifting rates throw bond investors off balance
Dearth of bond liquidity forces some traders to offload positions – but, as ever, others are waiting to pounce
Eurex liquidity pool jumps 39% as required IM rises
Members of the IRS clearing unit saw the largest increase of required margin in Q2
BNY Mellon, Schwab would benefit most from SLR relief
A repeat of the pandemic carve-out would boost average ratio across US banks by 45bp
Risk applications and the cloud: boosting collaborations to strengthen risk management infrastructure
More of today's financial services organisations are choosing to move their financial risk management applications to the cloud.
IM at three LCH clearing units rose in Q2
Increase in clearing volumes pushed collateral up at EquityClear, RepoClear and SwapClear
Top Fed watchdog supports non-bank Sifi designation
Vice-chair Barr complains regulators lack “even basic data” on some areas of shadow banking