Quantitative easing (QE)
Left out of Fed action, lower-rated CMBS overheat
BBB yield-to-worst spirals as highly-rated bonds recover after central bank and government intervention
Eurozone banks' excess liquidity highly concentrated – ECB
German and French banks hoarding cash
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
When bonds struggle, so does alt premia – research
Ties between alternative risk premia and fixed income closer than appreciated
EBA warns on funding stresses from QE exit
‘Mediterranean’ banks’ reliance on repo funding could be tested by withdrawal of stimulus
Benchmark bother: Europe frets over new risk-free rate
Unsecured fixing from ECB faces off against two repo-based rates, as 2020 benchmark deadline looms large
JP Morgan, Wells Fargo excess reserves dwindle faster than Fed average
Total banking sector excess reserves have dropped 5.8% since Fed "normalisation" began
Goldman: bank liquidity needs will stall QE unwind
Economists at US bank expect Fed balance sheet to drop less than $1 trillion from 2017 peak
The case for draining excess reserves
The financial system can operate efficiently with $500 billion or less in reserves after normalisation
The Fed’s heavy hand on economic equality
Monetary policy and bank regulations contribute to widening US wealth gap
Fed vs Fed: central bank faces traps of its own making
Fed’s balance sheet normalisation goal set to collide with its banking system resilience aims
Basel liquidity rules block Fed’s QE exit
LCR and NSFR could produce $1 trillion shortfall in plans for balance-sheet ‘normalisation’
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Ex-Fed trader Coffey on macro risks and VAR
Myopic models are creating feedback loops, warns founder of new macro firm Avoca
Draghi’s euro-exit redenomination hedge
Marcello Minenna says new ECB policy effectively hedges QE bond purchases
Deutsches Risk Rankings 2016
Derivatives dealers offer simplicity as regulatory change continues apace
Dependence on collateral raises vital research questions
Areas of focus should include collateral supply, reuse and circulation
Central banks eye advantages of digital currencies
BoE economist says digital currencies might improve real policy rates, tax rates and bank competition
Impact of monetary policy on collateral reuse
The authors provide theoretical microfoundations to understand the impact of monetary policy on markets characterized by collateral reuse.
Dodgy discounts: DVA claims fly in cross-currency market
Derided pricing adjustment is being used to undercut competition, traders claim
Deutsches Risk Rankings 2015
Commerzbank tops Deutsches Risk rankings for second year in a row
Q&A: BoJ's Nakaso on QE, JGB liquidity and Basel III
Coherence of new Basel rules needs study, says BoJ deputy governor
BoJ’s Nakaso: ‘No serious problems’ with JGB liquidity
New data shows drop in market depth, but QE is not threatened, says deputy governor