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White Papers

White Papers

In-depth, expert analysis on the changing landscape of investments around the world. Leading asset managers reports uncover trends, highlight changes and consider future strategic impact.

Consultation paper on Term SONIA Reference Rates

The Working Group on Sterling Risk-Free Reference Rates has launched a consultation on term SONIA reference rates (TSRRs). It seeks feedback on specific recommendations and encourages market participants to take forward work on the development of robust TSRRs, which members anticipate could be available in the second half of 2019. Feedback should be provided by 30 September 2018.

Company: Bank of England
Date added: 01-08-2018
Sector: Currency

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Liquidity resilience in the UK gilt futures market: evidence from the order book

We analyse liquidity dynamics in the UK long gilt futures market. We use a novel order book dataset to assess liquidity resilience to sources of pressure such as policy operations or episodes of financial distress. Our results provide evidence in favour of resilience. We further show that this resilience does not come at the expense of a negative liquidity trend. These findings mitigate the potential trade-off faced by policy makers such as regulators in maintaining an adequate level of liquidity in the UK long gilt futures market.

Company: Bank of England
Date added: 27-07-2018
Sector: Currency

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Equity, debt and moral hazard: the optimal structure of banks’ loss absorbing capacity

This paper develops a model to analyse the optimal ex-ante capital and total loss absorbing capacity (TLAC) requirements, and the ex-post resolution policy of banks. 

Company: Bank of England
Date added: 27-07-2018
Sector: Currency

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Bank for International Settlements Triennial Survey of FX and OTC Interest Rate Derivatives Markets - UK Data - Results Summary

In April this year, central banks and monetary authorities in 52 countries, including the United Kingdom, conducted the latest triennial survey of turnover in the markets for foreign exchange (spot, forwards, foreign exchange swaps, currency swaps and options) and over-the-counter (OTC) interest rate derivatives. The survey is co-ordinated on a global basis by the Bank for International Settlements (BIS), with the aim of obtaining comprehensive and internationally consistent information on the size and structure of the corresponding global markets. The Bank of England conducted the UK survey, which covers the business of leading financial institutions located within the United Kingdom in these markets. The results of the UK survey are summarised below.

Company: Bank of England
Date added: 01-09-2016
Sector: Foreign Exchange

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