Liquidity
Fed finds more risk failings at FBOs than at US firms
FBOs attract hundreds more matters requiring attention than domestic banks
BlackRock shelves unexplainable AI liquidity models
Risk USA: Neural nets beat other models in tests, but results could not be explained
LCR rollback puts onus on liquidity stress tests
Risk USA: Stress tests may attract more scrutiny if LCR and NSFR are scaled back
Societe Generale gobbles up liquid assets
French bank increases HQLA by €12 billion in third quarter
Jump: inside the secretive e-trading giant
Execs at the Chicago prop firm wish the whole world was a Clob, but as bilateral volumes rise, they’ve decided to go with the flow
HQLA savings may hit $52bn for big three US regionals
US Bancorp could slash HQLAs by $24 billion if ratio is set at 70% for Category IIIs
Credit Suisse drains HQLA as business migration risk ebbs
Total HQLA fell Sfr13.5 billion to Sfr188 billion in Q3
US regionals may get $8bn capital break in Fed proposal
Under tailored framework, mid- and small banks would also get $77bn liquidity relief
Trading costs versus arrival price – An intuitive and comprehensive methodology
Craig Niven, managing director, cash equity execution at Societe Generale Prime Services explores how a five‑month study allowed the organisation to develop a market impact model using historical data, and why it is key for clients in the long term to…
Driverless insurance: regulating Prudential without the Fed
Scrutiny on largest US insurer should not be laxer than on second-tier US banks, experts warn
BlackRock, risk models and regulatory relief
The week on Risk.net, October 20–26, 2018
Cross-border loans to the US dip in Q2
Coss-border borrowings expressed as a percentage of the region’s GDP fell from 15.3% to 14.3%
US ‘transfer restrictions’ take a bite out of UBS’s LCR
Overseas subsidiaries are holding more HQLA to meet local liquidity requirements
FRTB could ‘kill’ local markets – South African banks
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs
Top 10 CCPs plump liquidity buffers by $20 billion
Increase driven by higher secured deposits at commercial banks and expansion of credit lines
NSFR pricing Singapore banks out of swaps market, dealers say
Market share in long-dated trades has halved since metric was imposed at start of year
Compliance preparations amid uncertain rules
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics
State Street HQLA shift dampens investment yields
Allocations to agency mortgage-backed securities increase to 38.4% of portfolio total
Embracing the sea change to come with FRTB
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
European funds wary of stress-test ‘straitjacket’
As Esma finalises guidance, some fear a one-size-fits-all approach
Hong Kong ETFs spotlighted amid growing A-share interest
Hong Kong’s exchange-traded fund market takes centre stage in international investors’ foray into Chinese markets, experts say. By Hong Kong Exchanges and Clearing (HKEX)
Bank of America posts lowest LCR to date
The firm's LCR fell to 120% from 122% in third quarter
LCH units bolster liquidity buffers
Cash at central banks and with commercial banks higher in the second quarter