Liquidity
Republic First’s securities portfolio lost over $400m in 2024
Fair-value losses on non-agency RMBS holdings accelerated as rate cut expectations dimmed
End of BTFP curtails Comerica’s contingent funding pool
Decision not to take avail of facility’s paper-loss amnesty showcases US regional banks’ conundrum
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis
Just solve it: a simple method to improve the design and performance of liquidity-saving mechanisms
The authors put forward a novel LSM algorithm and compare its performance with two of the best known offsetting algorithms.
Industry urges focus on initial margin instead of intraday VM
CPMI-Iosco says scheduled variation margin is better than ad hoc calls by clearing houses
State Street loads up on short-term borrowing as rates spike
Funding rejig comes amid surge in deposits
FCA presses UK non-banks to put their affairs in order
Greater scrutiny of wind-down plans by regulator could alter capital and liquidity requirements
Buy side would welcome more guidance on managing margin calls
FSB report calls for regulators to review existing standards for non-bank liquidity management
Ice Europe’s liquidity risk at record high in Q4
Estimated largest payment obligation in euros more than double previous quarter’s figure
UK investment firms feeling the heat on prudential rules
Signs firms are falling behind FCA’s expectations on wind-down and liquidity risk management
US banks’ non-core funding dependence ratio jumped in 2023
BHCs’ aggregate figure almost doubled to post-pandemic high last year
LCH issued highest cash call in more than five years
Largest same-day payment obligation triples in Q4 2023
Filling gaps in market data with optimal transport
Julius Baer quant proposes novel way to generate accurate prices for illiquid maturities
US systemic banks increase reliance on short-term funding in 2023
Contentious STWF metric weighs heavily on Morgan Stanley and Goldman G-Sib scores
As US MMF assets hit new records, so does manager concentration
Fidelity, JP Morgan and Vanguard commanded 40% of holdings as of February
US banks’ IRRBB transparency: one step forward, two steps back
A year on from the 2023 crisis, more lenders monitor EVE sensitivity, but full Basel-like disclosures remain the exception
Banks will not be frowned upon for discount window borrowing – Fed official
Risk Live: more banks have completed paperwork to access Fed lending facility than a year ago
Top 10 operational risks for 2024
The biggest op risks for the year ahead, as chosen by senior industry practitioners
BTFP shutters with loans at near-record high
Program saw last-minute $3bn dash for loans in final three days of operation
Brazil readies long-dated FX hedging scheme for green projects
Development bank IDB will lend its credit rating to unlock cheaper USD/BRL hedges out to 25 years
Nasdaq liquidity risk jumps 15% on increased settlement flows
Maximum amount owed to CCP by single member in stress scenario rises in Q4
Deutsche Börse building equities dark pool
Move comes hot on heels of Euronext launching its own dark pool
Japan’s interest rate derivatives trading and clearing on the rise
Japan Exchange Group and OpenGamma chart Japan’s journey towards a flourishing derivatives trading and clearing ecosystem
NSCC issued record $45bn cash call in Q4
Worst-case scenario estimate up 22% from previous quarter