Liquidity
Citi sees sevenfold spike in derivs exposure cash outflows amid data upgrade
FX data enhancement triggers record-breaking projected cashflows, but net position remains largely unchanged
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
Tariff news ‘ping pong’ gives FX options desks a headache
Dealers say Trump’s shifting deadlines sparked weekend trading rush and made it hard to monetise flows
US MMFs retrenched to Fed repos as 2024 wrapped up
Allocation needs trump yields, boosting RRP exposure by 125% in December
EU bond funds’ debt securities see largest increase since pandemic
Holdings up €102 billion in November, driven by funds in Luxembourg, Ireland and France
Diversification of LDI liquidity buffers sparks debate
Funds using credit assets to top up collateral waterfall, but some risk managers are sceptical
The path to operational resilience begins with reliability and risk management
The challenges Apac financial services firms face enhancing operational resilience and leveraging data and hybrid cloud
Profit and pain as macro turmoil engulfs Brazil
FX options trades pay off, while sharp jump in rates caught traders by surprise
Fed stress-testing operational readiness of discount window
Experts say consultation on improved ops should be accompanied by focus on willingness to borrow
Quants mine gold for new market-making model
Novel approach to modelling cointegrated assets could be applied to FX and potentially even corporate bond pricing
Options expiry triggers $4bn liquidity shortfall at NSCC
Second-largest simulated shortfall on record mitigated by extra liquidity deposit and OCC commitment
Bilateral streaming relationships set to grow, say LPs
FX Markets Europe: More clients are embracing APIs to access bank liquidity directly
Market-making in spot precious metals
A market-making framework is extended to account for metal markets’ liquidity constraints
SocGen makes Americas FX push with string of new hires
French bank eyes US and Latin American real money clients
BNPP ups efforts to weed out skew sniffers
French bank deploys skew sensitivity algo to help identify predatory behaviour
To liquidity and beyond: new funding strategies for UK pensions and insurance
Prompted by policy shifts and macro events, pension funds and insurance firms are seeking alternative solutions around funding and liquidity
Banks take aim at Gruenberg’s brokered deposit rule
Regulatory lawyers question need to reverse 2020 rulemaking just four years later
US MMF investments near $7trn amid short-term yield chasing
Surging inflows led some managers to turn to Fed’s RRP facility for risk-free cash allocation
Citizens’ growth won’t bow to regulatory thresholds, CRO says
Risk Live: Bank faces stricter capital and liquidity requirements if it crosses $250 billion in assets
On par: a money view of stablecoins
The authors apply a money view analysis to stablecoins, revealing the character if existing on-chain liquidity mechanisms that support the premise of par settlement and finding liquidity rather than solvency to be the factor confronted by par settlement.
Intraday FX swaps could signal new dawn for liquidity management
Seedling market could help banks pre-fund payments in near-real time and reduce HQLA requirements