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Bank (of England) Underground Blog

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Get the secret 'underground' views of Bank of England staff

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Are remaining G-SIB shortfalls of Basel III capital more problematic than it seems?

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At an eight month lag to the base reported data it is based on, BCBS's half yearly Basel III monitoring report was published recently looking at banks' progress towards meeting Basel III capital and liquidity rules.  On the surface the report seems to have a pretty positive message. Reading between the lines and combining with other information there is a more interesting story behind the numbers on what it will take to meet the minimum ratios.  

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Procyclicality of Risk Based Initial Margin Models | Bank of England Research

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The Bank of England have published a study into the way IM models work when reacting to stressed market conditions, comparing models such as VaR, Historic Simular VaR and HSVaR with an Exponentially Weighted Moving Average (EWMA) filter.

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How Does the Bank of England Supervise UK Financial Market Infrastructure Firms?

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Key organisations within the UK provide components of the Financial Market Infrastructure, which the Bank of England must supervise.

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Does Basel III create buy side liquidity risk? | IFR Article

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IFR produced another article bemoaning the liquidity problems in the secondary credit bond market.  An illustrative statistic is bank inventory: 2007 US$235bn; now "a mere" US$37bn.  Aside from the day-to-day market liquidity challenge, have regulatory capital rules indirectly created a significant increase in buy side liquidity risk?

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Weekly Roundup | Clearing & Collateral Management | 3 December 2013

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Clearing

Survey of CCP Progress Since the US Clearing Mandate Kicked In

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Weekly Roundup | Collateral Management | 4 November 2013

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The Bank of England May Have Gotten into the Collateral Transformation Business…Will the Fed Follow?

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Temporary Swap Lines Made Permanent | Central Banks

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It was announced today that a temporary network of bilateral liquidity swap lines between six central banks will be made into a standing arrangement "until further notice". The six central banks are listed below, with links to the press releases on their websites:

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