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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.

Schroders - Pound devaluation: how the lessons of 1967 apply today

The UK actively devalued its currency in 1967, but the 20% fall in the pound since the Brexit vote continues a long-term trend of devaluation.

Company: Schroders
Date added: 21-11-2018
Sector: Currency

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Invesco - A Map for the Future of the Euro

Co-authored by Jacek Rostowski, a former Deputy Prime Minister and Finance Minister of Poland, and Arnab Das, a Global Market Strategist and member of Invesco’s Global Thought Leadership team, the series examines Europe’s troubled past, uncertain present and possible future. This is the first in what we plan as a series of five papers, subject to the evolution of European affairs: – A Map for the Future of the Euro: Navigating Political Conflicts – The Survivability of the Euro: Reform, Relevance and Robustness – The Internal Politics of the EU: Protest, Populism and “Peak Europe” – Geopolitics: Economic Giants, Political Pygmies and the Scope for a “Money for Muscle” Deal in the EU – From Brexit to the Balkans: Peripheral Perspectives on the Eurozone.

Company: Invesco
Date added: 22-10-2018
Sector: Currency

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Macquarie - Will hedge costs end the Trump dollar slump?

The US dollar has been under pressure, falling 8% between January 2017 and January 2018 alone. This weakening can be attributed to many factors, some related to President Trump and some less so. We had previously argued that the so-called “Trump slump” in the dollar was highly supportive of asset markets over the past year or more. As of this writing, some caution may be warranted regarding the strength of the US dollar, which had its biggest monthly gain in two years in April 2018.

Company: Macquarie
Date added: 03-09-2018
Sector: Currency

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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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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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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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£SONET (sterling secured overnight executed transactions)

FTSE Russell has been partnering with LCH and Euroclear to demonstrate a prototype secured overnight rate based upon repo transactions submitted for clearing to LCH Repoclear and uncleared DBV transactions settled in CREST. The rate, to be known as £SONET (sterling secured overnight executed transactions), is one of a number of rates being evaluated by the Working Group on Sterling Risk Free Reference Rates set up by the Bank of England. The Working Group was set up in response to the July 2014 Financial Stability Board’s report on reforming major interest rate benchmarks in the light of the LIBOR scandal and is tasked with identifying an alternative nearly risk-free rate which would represent best practice for use in certain new derivative and other contracts.

The presentation made to the 02 November 2016 meeting of the Working Group can be found here. Please note that the rate as described in the presentation was created to demonstrate the properties and characteristics of a rate based on cleared and uncleared repo transactions with a maturity of one business day. Should a rate based on repo transactions be put into production, it is possible that it will differ in certain respects from the prototype. To that extent, FTSE Russell potential users of such a rate are encouraged tocontact us with any feedback.

Company: FTSE Russell
Date added: 02-11-2016
Sector: Currency

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Deutsche AM - Chinese yuan enters IMF reserve basket

SDR inclusion could boost the Chinese yuan’s attractiveness as a reserve currency: Although the IMF decision to add the CNY to the SDR basket does not trigger compulsory CNY purchase for IMF members, we believe this marks a first step towards the world’s central banks restructuring their reserve currencies to holding more CNY, depending on the availability and liquidity of China’s currency.

Company: Deutsche AM
Date added: 01-12-2015
Sector: Currency

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