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  1. The impact of derivatives collateralisation on liquidity risk
    evidence from the investment fund sector
    Author: Jukonis, Audrius; Letizia, Elisa; Rousová, Linda
    Published: [2022]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    Stricter derivative margin requirements have increased the demand for liquid collateral but euro area investment funds which use derivatives extensively have been reducing their liquid asset holdings. Using transaction-by-transaction derivatives... more

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    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534
    Inter-library loan:
    No inter-library loan

     

    Stricter derivative margin requirements have increased the demand for liquid collateral but euro area investment funds which use derivatives extensively have been reducing their liquid asset holdings. Using transaction-by-transaction derivatives data, we assess whether the current levels of funds' holdings of cash and other highly liquid assets would be adequate to meet funds' liquidity needs to cover variation margin calls on derivatives under a range of stress scenarios. The estimates suggest that between 13% and 33% of euro area funds with sizeable derivatives exposures may not have sufficient liquidity buffers to meet the calls. As a result, they are likely to redeem MMF shares, procyclically sell assets and draw on credit lines, thus amplifying the market dynamics under such stress scenarios. Our findings highlight the importance of further work to assess the potential role of macroprudential policies for non-banks, particularly regarding liquidity risk in funds.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289954686
    Other identifier:
    hdl: 10419/278281
    Series: Working paper series / European Central Bank ; no 2756 (December 2022)
    Subjects: variation margin; EMIR data; market stress; big data; non-bank financial intermediaries
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  2. Cross-border credit derivatives linkages
    Author: Bianch, Benedetta
    Published: [2021]
    Publisher:  European Systemic Risk Board, Frankfurt am Main, Germany

    This paper is a first attempt to include credit derivatives in international macrofinancial analysis. We document that gross credit derivatives holdings map to bilateral portfolio investment linkages. On a net basis, our results suggest an asymmetry... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 611
    Inter-library loan:
    No inter-library loan

     

    This paper is a first attempt to include credit derivatives in international macrofinancial analysis. We document that gross credit derivatives holdings map to bilateral portfolio investment linkages. On a net basis, our results suggest an asymmetry between sectors and between net buyers and net sellers of CDSs. When a banking system is a net buyer of protection, the protection purchased is proportional to the debt securities held. Conversely, when a banking system is a net seller, the protection sold is proportional to the securities held. For investment funds, we find no aggregate relation between net CDSs and the debt securities held.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289946186
    Other identifier:
    hdl: 10419/244267
    Series: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 115 (March 2021)
    Subjects: Cross-border positions; Risk transfer; CDS; EMIR data
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  3. Funds and single-name CDS: hedging or trading?
    Author: Mazzacurati, Julien; Guagliano, Claudia; Spolaore, Alessandro
    Published: January 2021
    Publisher:  European Securities and Markets Authority, Paris

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 19
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: ESMA working paper ; no. 2021, 1
    Subjects: Investment funds; credit default swaps; EMIR data
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen