Risk.net
US banks benefit from Treasury repo exemption, while EU banks report only end-quarter ratios Print this page
The US and the European Union are on track this year to implement the last piece of the Basel III liquidity framework, the Net Stable Funding Ratio (NSFR).
In the seven years that have passed since the standard was approved by the Basel Committee for Banking Supervision (BCBS), concerns about its implications for repo liquidity have escalated, and the final rules in both jurisdictions make fewer demands of big banks than previous versions.
The NSFR requires banks to hold a minimum amount of
Risk.net
Volatility products could see more wild swings as dearth of vol sellers exacerbates spikes Print this page
After last month’s bizarre rally in GameStop, analysts are fretting about a highly unusual move in the volatility markets that could foreshadow further market shocks.
On January 27, when GameStop shares more than doubled to close at nearly $348, the Vix index of S&P 500 options volatility jumped nearly 75% after opening at 23.02 points to end at 37.21.
According to analysts at Bank of America, this was the sixth-largest Vix move in points terms since 1990 and was historically outsized
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Risk.net
Technical clarification allows subsidiary capital to be assigned as funding for consolidated group Print this page
A seemingly minor clarification in the final US net stable funding ratio (NSFR) could represent a major change to how bankers interpret the rule, by effectively allowing large banks to assign funding more easily across the group in order to comply with the ratio at a consolidated level.
“Everybody was so happy about it,” says one senior regulation official at a global systemically important bank (G-Sib). “It’s a big, big, big benefit.”
Two other liquidity managers from G-Sibs confirm this
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