Liquidity
US lawmakers divided over Volcker rule’s impact on bond liquidity
Both sides cite Fed data to support their interpretations of prop trading ban
Audio webinar: The state of intraday power trading in Europe
Sponsored webinar: FIS
A network model for central counterparty liquidity risk stress testing under incomplete information
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
Brexit preparations block Mifid third-country guidance
EU authorities see keeping rules vague as a way to maximise leverage in negotiations with UK
CCP resolution plans ‘on the wrong path’, says Fed adviser
Bank framework has “contaminated” policy for CCPs, says Chicago Fed’s Steigerwald
Virtu’s bid for KCG stokes liquidity fears
Deal could result in less trading and lower exchange revenues
CFTC set to flex its muscles in FSOC meetings
FSOC must study the impact of capital rules on trading liquidity, Giancarlo says
Dollar deposit mystery highlights non-US bank funding risks
Liquidity resilience is uncertain as offshore deposit financing replaces prime money funds
Risk Chartis Market Report: Buy-side risk management technology
Sponsored by OpenLink and Tradeweb
EC: regulators could adapt rules to protect bond liquidity
Official recognises regulatory hit to corporate bond and repo markets, but rejects Mifid delay
EC to miss Mifir equivalence deadline
Draft timetable would leave some jurisdictions inaccessible to European Union firms from January 2018
Debt–liquidity shock risk: intertemporal effects and probability measures
This paper analyzes how the yield of government securities may be managed in order to save costs in the face of the risk of a liquidity shock.
Fund admin providers see strong demand for illiquid strategies
Three-quarters of survey respondents administering $4.4 trillion collectively get weekly illiquids enquiries from managers
Why liquidity risk is the silent clearing killer
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
Systemic risks in CCP networks
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Why the leverage ratio distorts market-making
Darrell Duffie argues the rule hurts market efficiency for very safe assets
Now in 3D: buy side turning to new liquidity risk metrics
Industry moving away from outdated ways to visualise key risk
Bond ETFs ‘a source of liquidity’ in stress events
ETF volumes jumped after US election, while bond volumes remained constant
‘Wrong type of liquidity’ spells trouble for energy hedges
Cyclical lull conceals structural shift as liquidity becomes shorter-dated and more flighty
US banks fear margin rules could hit emerging Asia liquidity
Unequal margining requirements may be a turn-off for local counterparties
SEC’s White ‘deeply concerned’ about bond market illiquidity
Agency to publish report on regulation and market liquidity in May 2017
Webinar: Stress testing
Sponsored by Wolters Kluwer
SEC liquidity rules could punish larger funds
Risk USA: funds that have grown too big for their strategies could be exposed
Mifid II impact on energy liquidity sparks fiery debate
Regulators and industry clash over interpretation of Mifid II market-making rules at industry event