Post-crisis bank regulations and financial market liquidity
|
|
- April Pearson
- 5 years ago
- Views:
Transcription
1 Post-crisis bank regulations and financial market liquidity Darrell Duffie GSB Stanford 2018 RiskLab Bank of Finland ESRB Conference on Systemic Risk Analytics Helsinki, May 28-30, 2018 Based in part on research with Leif Andersen, Antje Berndt, Yang Song, and Yichao Zhu Duffie Post-crisis bank regulations and financial market liquidity 1
2 A bank-intermediated over-the-counter market c 1 c 2 d 1 c 5 c 3 d 2 d 3 c 6 c 7 c 4 Duffie Post-crisis bank regulations and financial market liquidity 2
3 Implications of post-crisis regulations for market efficiency 1 More financial stability from higher bank capitalization and bail-in failure resolution. 2 Increased cost of access to bank balance sheets. The leverage-ratio rule has reduced incentives to intermediate safe assets. Bail-in failure resolution has significantly increased bank funding costs. 3 Market infrastructure and new competition rules lower the need for balance-sheet space. Duffie Post-crisis bank regulations and financial market liquidity 3
4 Dealer balance sheet assets debt equity Duffie Post-crisis bank regulations and financial market liquidity 4
5 More equity to fund more assets assets debt old assets debt equity equity new assets new equity Duffie Post-crisis bank regulations and financial market liquidity 5
6 Legacy shareholders have subsidized creditors assets debt old assets debt equity equity new assets new equity Higher capitalization implies a value transfer from legacy shareholders to creditors. Duffie Post-crisis bank regulations and financial market liquidity 6
7 Debt overhang assets debt old assets debt equity equity new assets new equity For shareholders to break even, the new assets must be purchased at a profit that exceeds the value transfer to creditors. (Myers, 1977) Duffie Post-crisis bank regulations and financial market liquidity 7
8 Leverage ratio rule is more binding than risk-based capital rules Results of the Fed s 2017 stress tests for the largest US dealer banks Excess capital ratio (%) CET1 (CCAR) CET1 (DFAST, adj.) SLR (CCAR) SLR (DFAST, adj.) JPM CITI BAML GS MS CCAR: stressed CET1 after assumed payouts, less 4.5%; stressed SLR less 3.0%. DFAST, adjusted: stressed CET1 (no payouts) less (4.5% + G-SIB surcharge); stressed SLR less the G-SIB minimum of 5%. Duffie Data source: Board of Governors of the Post-crisis Federal bank regulations Reserve, and financial market liquidity 8
9 European banks reduce their balance sheets at quarter ends Daily collateral outstanding in the tri-party repo market and the Federal Reserve s overnight reverse repo (ON RRP) facility Billions of dollars 600 U.S. banks European banks Other banks Fed (ON RRP) /2016 4/2016 7/ /2016 1/2017 4/2017 Figure Source: Egelhov, Martin, Zinsmeister, Federal Reserve Bank of New York, August, Notes: Banks headquartered in the euro area and Switzerland report leverage ratios as a snapshot of their value on the last day of each quarter, while their U.S. counterparts report quarterly averages. Totals only include trades backed by Fedwire-eligible securities that is, U.S. Treasury and agency securities. Duffie Post-crisis bank regulations and financial market liquidity 9
10 Impact of the leverage-ratio regulation on repo intermediation costs to legacy shareholders repo asset repo claim repo asset repo claim old assets old debt old assets old debt equity equity safe assets new equity Duffie Post-crisis bank regulations and financial market liquidity 10
11 Impact of SLR on UST repo market efficiency Decline in GCF net lending volume 25 GCF triparty rate spread (basis points) Q1 13 Q3 14 Q1 14 Q3 15 Q1 15 Q3 16 Q1 16 Q3 17 Q1 17 Q3 18 Q1 (a) bid-ask spreads up (b) inter-dealer positions down Figure: (a) Average within-quarter difference between overnight GCF and Tri-party repo rates. Data sources: Bloomberg and BNY-Mellon. (b) Figure source: Antoine Martin, FRBNY (2016). Duffie Post-crisis bank regulations and financial market liquidity 11
12 Cross-currency basis and bank funding costs Funding value adjustments now leave wider arbitrage bounds on the basis Five-Year Cross-Currency Basis: G10 Currencies Basis Points CDS rate US banks European banks AUD CAD CHF DKK EUR GBP JPY NOK NZD SEK (a) 5-year USD cross-currency basis. Source: Du, Tepper, and Verdelhan (2017) year (b) 5-year dealer credit spreads Duffie Post-crisis bank regulations and financial market liquidity 12
13 CIP arbitrage can be costly to dealer shareholders Debt overhang cost for funding synthetic dollar deposits EUR USD USD debt assets debt old assets old debt equity equity To benefit shareholders, the trade profit must exceed the funding value adjustment (FVA), a debt-overhang cost. Duffie Post-crisis bank regulations and financial market liquidity 13
14 Funding cost to shareholders EUR USD USD debt old assets old debt equity funding value adjustment (FVA) A debt-funded safe arbitrage is not valuable to bank shareholders unless it s excess yield is above the bank s credit spread. Source: Andersen, Duffie, Song (2018) Duffie Post-crisis bank regulations and financial market liquidity 14
15 Increased dealer credit spreads imply larger funding-cost wedges one year IBOR OIS spread (basis points) EURIBOR OIS (Eonia) USD LIBOR OIS (Fed funds) year Spreads between one-year IBOR and OIS rates. Data source: Bloomberg. Duffie Post-crisis bank regulations and financial market liquidity 15
16 Solvency ratio Solvency ratio: tangible equity divided by an estimate of the standard deviation of the annual change in asset value. Source: Berndt, Duffie, and Zhu (2018). Duffie Post-crisis bank regulations and financial market liquidity 16 But big dealer-banks now have much bigger capital buffers GS-MS-ML-LB-BS JPM-BOA-CITI-WF Year
17 G-SIB credit ratings no longer include sovereign uplifts Refined rating Ba Baa A Aa Aaa Other firms GSIBs year Median refined credit ratings. Data source: Moody s Investors Service. Duffie Post-crisis bank regulations and financial market liquidity 17
18 G-SIB 5-year credit spreads at annual default probability of 0.5% CDS rate (basis points) Big banks year From a preliminary panel regression of log 5-year CDS rates on distance to default, for 1.6 million observations, 855 firms, , with interacted time and G-SIB fixed effects. Source: Berndt-Duffie-Zhu (2018). Duffie Post-crisis bank regulations and financial market liquidity 18
19 Central counterparties reduce need for balance-sheet space c 1 c 2 d 1 CCP c 5 c 3 d 2 d 3 c 6 c 7 c 4 Duffie Post-crisis bank regulations and financial market liquidity 19
20 Compression eliminates space used for redundant swaps 40 d 5 40 d 5 10 d d 2 10 d 1 60 d 4 d 1 20 d d 3 d 3 Figure: Counterparty exposures and initial margin are reduced without changing market exposures. Providers include TriOptima, which has eliminated over $1 quadrillion notional of swaps. Duffie Post-crisis bank regulations and financial market liquidity 20
21 A bank-intermediated bilateral OTC market c 1 c 2 d 1 c 5 c 3 d 2 d 3 c 6 c 7 c 4 Duffie Post-crisis bank regulations and financial market liquidity 21
22 Improving trade competition Objective: Migration of actively traded products to all-to-all trade platforms c 1 c 2 d 2 d 1 CLOB c 3 c 4 c 6 c 5 Duffie Post-crisis bank regulations and financial market liquidity 22
23 OTC competition after Dodd-Frank and MiFID Buy-side firms request quotes at multilateral trading platforms c 1 MTP d 1 d 2 Duffie Post-crisis bank regulations and financial market liquidity 23
24 Excessive fragmentation across platforms d 1 d 2 MTP 1 c 1 MTP 2 d 2 d 3 Duffie Post-crisis bank regulations and financial market liquidity 24
25 Reducing fragmentation improves competition c 1 MTP d 1 d 2 d 3 Duffie Post-crisis bank regulations and financial market liquidity 25
26 Source: Source: Hendershoc Hendershott and Madhavan (2014) and Madhavan (2016) Duffie Post-crisis bank regulations and financial market liquidity 26 At corporate bond platforms Dealer competition lowers buy-side trade costs 60 Investment Grade High Yield Cost in Basis Points Number of dealers responding
27 Now typical fragmented two-tiered OTC markets c 1 c 2 d 1 c 5 MTP 1 CLOB MTP 3 c 3 d 2 d 3 c 6 c 7 MTP 2 Duffie Post-crisis bank regulations and financial market liquidity 27
28 Appendix: How CIP arbitrage costs dealer shareholders Suppose the one-year USD risk-free rate is zero. Our bank has a one-year credit spread of 35 basis points. We borrow $100 with one-year USD commercial paper, promising $ We invest $100 in one-year EUR CP, swapped to USD, with the same all-in credit quality as that of our bank s CP, and uncorrelated. Suppose the EUR CP, swapped to dollars, promises $100.60, for a basis of 25bps. We have a new liability worth $100 and a new asset worth $100.65/ $100.25, for a trade profit of approximately $0.25. However, the marginal value of the trade to our shareholders is negative, because, conditional on dealer survival, the expected incremental payoff to equity is $ $ = $0.10. Conditional on default, equity gets nothing. Duffie Post-crisis bank regulations and financial market liquidity 28
29 Appendix: Funding Costs to Dealer Shareholders From work with Andersen and Song (Journal of Finance, 2018): The marginal increase in the value of the dealer s equity per dollar of a debt-funded asset purchase is where p π δ COV FVA, p is the dealer s risk-neutral probability of survival to term. π is the trade profit (P&L). δ is the risk-free discount. COV is the risk-neutral covariance of the asset payoff and dealer default event. FVA is the funding value adjustment p δst, where S is the dealer s credit spread and T is the term. The extra marginal cost to dealer shareholders when a fraction α of the funding must be equity is α(1 p FVA), which annualizes to roughly αs (assuming a loss given default of 0.5). For safe assets, the shareholder breakeven arbitrage yield is thus the total annualized funding cost to shareholders of roughly (1 + α)s. Duffie Post-crisis bank regulations and financial market liquidity 29
Post-crisis bank regulations and financial market liquidity
Post-crisis bank regulations and financial market liquidity Darrell Duffie GSB Stanford Belgian Research Financial Form National Bank of Belgium Brussels, June, 2018 Based in part on research with Leif
More informationNew banking regulations and the liquidity of financial markets
New banking regulations and the liquidity of financial markets Darrell Duffie Stanford University Are We Ready for the Next Financial Crisis? Lessons Yet To Be Learned Rotman School, University of Toronto,
More informationDealer Pricing Distortions and the Leverage Ratio Rule
Dealer Pricing Distortions and the Leverage Ratio Rule Darrell Duffie GSB Stanford Based on research with Leif Andersen and Yang Song CIP Symposium Bank for International Settlements May, 2017 Duffie Dealer
More informationThe Decline of Too Big to Fail
The Decline of Too Big to Fail Antje Berndt Darrell Duffie Yichao Zhu ANU Stanford ANU 2019 Dolomites Winter Finance Conference Big-bank credit spreads much higher after the crisis 300 1.6 Fitted big bank
More informationThe U.S. Treasury Premium, by Wenxin Du, Joanne Im and Jesse Schreger Discussant: Annette Vissing-Jorgensen, UC Berkeley and NBER
The U.S. Treasury Premium, by Wenxin Du, Joanne Im and Jesse Schreger Discussant: Annette Vissing-Jorgensen, UC Berkeley and NBER Question: Over the 2000-2016 period, how special are U.S. Treasuries relative
More informationThe Dollar, Bank Leverage and Deviations from Covered Interest Rate Parity
The Dollar, Bank Leverage and Deviations from Covered Interest Rate Parity Stefan Avdjiev*, Wenxin Du**, Catherine Koch* and Hyun Song Shin* *Bank for International Settlements, ** Federal Reserve Board
More informationLiquidity, Capital and Financial Outlook Todd Gibbons Chief Financial Officer
Liquidity, Capital and Financial Outlook Todd Gibbons Chief Financial Officer BNY Mellon s business model, generating recurring fees and significant capital with low credit risk. 91 Financial priorities
More informationTransparency in the U.S. Repo Market
Transparency in the U.S. Repo Market Antoine Martin Federal Reserve Bank of New York October 11, 2013 The views expressed in this presentation are my own and may not represent the views of the Federal
More informationIntroduction. Interim Report and Consultation The Alternative Reference Rates Committee
Introduction Interim Report and Consultation The Alternative Reference Rates Committee 1 Alternative Rates Interim Report and Consultation The Alternative Reference Rates Committee 2 Alternative Rates
More informationShortcomings of Leverage Ratio Requirements
Shortcomings of Leverage Ratio Requirements August 2016 Shortcomings of Leverage Ratio Requirements For large U.S. banks, the leverage ratio requirement is now so high relative to risk-based capital requirements
More informationCovered Interest Parity - RIP. David Lando Copenhagen Business School. BIS May 22, 2017
Covered Interest Parity - RIP David Lando Copenhagen Business School BIS May 22, 2017 David Lando (CBS) Covered Interest Parity May 22, 2017 1 / 12 Three main points VERY interesting and well-written papers
More informationSecond Quarter 2017 Fixed Income Investor Review
Citi Fixed Income Investor Relations Second Quarter 2017 Fixed Income Investor Review July 20, 2017 John Gerspach Chief Financial Officer Agenda 1H 17 Results $8B of net income, up 6% year-over-year Efficiency
More informationFirst Quarter 2017 Fixed Income Investor Review
Citi Fixed Income Investor Relations First Quarter 2017 Fixed Income Investor Review April 20, 2017 John Gerspach Chief Financial Officer James von Moltke Treasurer Agenda 1Q 17 Results $4.1B of net income,
More informationMarket Impact of TLAC Requirements. FIG DCM Bank Capital Solutions
Market Impact of TLAC Requirements FIG DCM Bank Capital Solutions December 1, 15 RWA vs. SLR Driven TLAC Requirements Fed's SLR driven TLAC requirement is more stringent than FSB TLAC framework 5%.5% The
More informationThe Changing Landscape for Derivatives. John Hull Joseph L. Rotman School of Management University of Toronto.
The Changing Landscape for Derivatives John Hull Joseph L. Rotman School of Management University of Toronto hull@rotman.utoronto.ca April 2014 ABSTRACT This paper describes the changes taking place in
More informationThird Quarter 2016 Fixed Income Investor Review
Citi Fixed Income Investor Relations Third Quarter 2016 Fixed Income Investor Review October 26, 2016 John Gerspach Chief Financial Officer James von Moltke Treasurer Agenda 3Q 16 Results Earned $3.8B
More informationThird Quarter 2017 Fixed Income Investor Review
Citi Fixed Income Investor Relations Third Quarter 2017 Fixed Income Investor Review October 26, 2017 John Gerspach Chief Financial Officer Michael Verdeschi Treasurer Agenda YTD 17 Results $12.1B of net
More information1.2 Product nature of credit derivatives
1.2 Product nature of credit derivatives Payoff depends on the occurrence of a credit event: default: any non-compliance with the exact specification of a contract price or yield change of a bond credit
More informationFirst Quarter 2018 Fixed Income Investor Review
Citi Fixed Income Investor Relations First Quarter 2018 Fixed Income Investor Review April 20, 2018 John Gerspach Chief Financial Officer Michael Verdeschi Treasurer Agenda 1Q 18 Results Net income of
More informationFixed Income Investor Presentation. August 4, 2015
Fixed Income Investor Presentation August 4, 2015 Cautionary Note on Forward-Looking Statements Today s presentation may include forward-looking statements. These statements are not historical facts, but
More informationNotes on LIBOR Conversion
Notes on LIBOR Conversion Darrell Duffie Graduate School of Business, Stanford University January 20, 2018 This technical note discusses how to arrange for the conversion to new reference rates of legacy
More informationTrading Relationships in the Over-the-Counter Market for Secured Claims: Evidence from Triparty Repos 1
Trading Relationships in the Over-the-Counter Market for Secured Claims: Evidence from Triparty Repos 1 Song Han and Kleopatra Nikolaou The Federal Reserve Board The Annual Central Bank Workshop. Banque
More informationGlitnir banki hf. Statement of Assets and Liabilities. 6 February 2009
Glitnir banki hf Statement of Assets and Liabilities Incorporating an estimate of the value of assets and a computation of liabilities 6 February 2009 Disclaimer This document includes a Statement of Assets
More informationc) Notice of ESMA s Product Intervention Decisions in relation to contracts for differences and binary options
Leverage Policy Introduction TFI Markets Ltd has established a leverage policy which applies to all its retail customers. The purpose of the policy is to set out the leverage practices of the Company in
More informationFixed Income Panel Discussion
4 th Annual CASLA Securities Lending Conference Fixed Income Panel Discussion Thursday May 8 th, 2014 Toronto, Ontario Moderator: Panelists: Nick Chan, BMO Capital Markets Jeff Benner, Northern Trust Charles
More informationChanges in US OTC markets since the crisis
Changes in US OTC markets since the crisis Nina Boyarchenko Federal Reserve Bank of New York The views expressed herein are the author s and are not representative of the views of the Federal Reserve Bank
More informationCompressing over-the-counter markets
Compressing over-the-counter markets Marco D Errico 1 Tarik Roukny 2 1 University of Zurich marco.derrico @ uzh.ch 2 Massachusetts Institute of Technology roukny @ mit.edu Second ESRB Annual Conference
More informationBenchmark reform: transition from IBORs to risk-free rates in the Euro area
Association for Financial Markets in Europe Benchmark reform: transition from IBORs to risk-free rates in the Euro area Richard Hopkin Managing Director and Head of Fixed Income ECB Bond Market Contact
More informationCopyright by Michael David Nahas 2017
Copyright by Michael David Nahas 217 The Thesis Committee for Michael David Nahas certifies that this is the approved version of the following thesis: Covered Interest Parity and Long-Term Bonds APPROVED
More informationFourth Quarter 2017 Fixed Income Investor Review
Citi Fixed Income Investor Relations On February 23, 2018, Citi announced that it was adjusting downward its fourth quarter and full year 2017 financial results, from those reported on January 16, 2018,
More informationOverview of Goldman Sachs. February 2019
Overview of Goldman Sachs February 209 Cautionary Note on Forward-Looking Statements This presentation includes forward-looking statements. These statements are not historical facts, but instead represent
More informationStability-Liquidity Tradeoffs in Post-Crisis Bond Markets
Stability-Liquidity Tradeoffs in Post-Crisis Bond Markets PRE- SET TEMPLATES & USAGE TIPS Darrell Duffie Graduate School of Business, Stanford University Brookings, November 17, 215 A stability- liquidity
More informationResearch Note. Actual Cleared Volumes vs. Mandated Cleared Volumes: Analyzing the US Derivatives Market. July 2018
July 2018 Research Note Actual Cleared Volumes vs. Mandated Cleared Volumes: Encouraging the clearing of standardized derivatives has been a major priority for policy-makers. This has primarily been pursued
More informationCentral Bank Swap Lines
Central Bank Swap Lines Saleem Bahaj Bank of England Ricardo Reis LSE Credit. Banking and Monetary Policy ECB Frankfurt, October 23, 2017 The views expressed are those of the presenters and not necessarily
More informationEuro area financial regulation: where do we stand?
Euro area financial regulation: where do we stand? Benoît Cœuré Member of the Executive Board European Central Bank Paris, 18 January 2013 1 Euro area banking sector - What has been done? 2 Large amounts
More informationORGANISED TRADING FACILITY RATE CARD
ORGANISED TRADING FACILITY RATE CARD EFFECTIVE DATE: 1 MAY 2018 Head office : 130 Wood Street - London EC2V 6DL - ed Kingdom Louis Capital Markets UK LLP: Authorised and regulated in the ed Kingdom by
More informationDeutsche Bank Credit Overview
Credit Overview As of 30 September 2017 Summary Progress: Wind-down of the non-core unit and resolved a significant number of large litigation items today Successful execution of the strategic measures
More informationSupplementary Regulatory Capital Disclosure
Supplementary Regulatory Capital Disclosure For the period ended January 31, 2017 For further information, please contact: John Ferren, Senior Vice-President, Corporate CFO and Investor Relations (416)
More informationFinancial Sector Evolution In the New Regulatory Environment. Darrell Duffie Stanford University June 6, 2014
Financial Sector Evolution In the New Regulatory Environment Narrative for the FRBNY Financial Advisory Roundtable Darrell Duffie Stanford University June 6, 2014 I will attempt to interpret some of the
More informationDeutsche Bank Client & Creditor Presentation
Client & Creditor Presentation December 2018 (including reported financials as of 30 September 2018) Summary Strategic adjustments to the franchise now complete Strategic measures Near-term targets of
More informationFixed Income Investor Review
Citi Fixed Income Investor Relations Fixed Income Investor Review April 23, 2015 John Gerspach Chief Financial Officer Agenda 1Q 15 Milestones $4.8B of net income (1) $1.2B of DTA utilization Progress
More informationThe Goldman Sachs Group, Inc. and Goldman Sachs Bank USA Annual Dodd-Frank Act Stress Test Disclosure
The Goldman Sachs Group, Inc. and Goldman Sachs Bank USA 2018 Annual Dodd-Frank Act Stress Test Disclosure June 2018 1 Overview and Requirements For the U.S. Dodd-Frank Wall Street Reform and Consumer
More informationDeutsche Bank Credit Overview
Credit Overview October 2018 (including reported financials as of 30 September 2018) Summary Strategic adjustments to the franchise now complete Strategic measures Near-term targets of return on tangible
More informationDollar Funding of Global banks and Regulatory Reforms: Evidence from the Impact of Monetary Policy Divergence
Dollar Funding of Global banks and Regulatory Reforms: Evidence from the Impact of Monetary Policy Divergence Nao Sudo Monetary Affairs Department Bank of Japan Prepared for Symposium: CIP-RIP? at Bank
More informationFrom LIBOR to SOFR: An Unexpected Journey
From LIBOR to SOFR: An Unexpected Journey An update on the transition from LIBOR to the Secured Overnight Financing Rate Garret Sloan, CFA Head of Short-term Fixed Income Market Strategy Wells Fargo Securities
More informationDear Security Holder. 9 June 2017
Dear Holder Re: ETFS Foreign Exchange Limited (the Company ) Accounting period ended 31 December 2016 UK Information to Holders 9 June 2017 The of the Company set out below have been approved as s by HM
More informationSupplementary Regulatory Capital Disclosure
Supplementary Regulatory Capital Disclosure For the period ended January 31, 2015 For further information, please contact: Geoff Weiss, Senior Vice-President, Corporate CFO and Investor Relations (416)
More informationThe 4 Rs of U.S. Banking: Rates, Regulation, Resolution, and Relevance
The 4 Rs of U.S. Banking: Rates, Regulation, Resolution, and Relevance The Four Rs of U.S. Banking Rates: How Will Rising Rates and Economic Growth Affect U.S. Banks? Regulation: Are We There Yet? Resolution:
More informationDollar Funding and the Lending Behavior of Global Banks
Dollar Funding and the Lending Behavior of Global Banks Victoria Ivashina (with David Scharfstein and Jeremy Stein) Facts US dollar assets of foreign banks are very large - Foreign banks play a major role
More informationLimits to Arbitrage: Empirical Evidence from Euro Area Sovereign Bond Markets
Limits to Arbitrage: Empirical Evidence from Euro Area Sovereign Bond Markets Stefano Corradin (ECB) Maria Rodriguez (University of Navarra) Non-standard monetary policy measures, ECB workshop Frankfurt
More informationOverview of Goldman Sachs. November 2017
Overview of Goldman Sachs November 207 Cautionary Note on Forward-Looking Statements This presentation may include forward-looking statements. These statements are not historical facts, but instead represent
More information05 April Government bond yields, curve slopes and spreads Swaps and Forwards Credit & money market spreads... 4
Strategy Euro Rates Update Nordea Research, April 1 US Treasury Yields Y Y 1Y 3Y.7 1.3 1.79.3 1D -. -. -1. -1. 1W -9. -. -11. -. German Benchmark Yields Y Y 1Y 3Y -. -.3.1.77 1D...1 -.1 1W.3 -. -7.1-1.
More informationFX Swaps and Forwards
Dollar Funding of Second-to-Last Resort September 218 Zach Pandl Goldman, Sachs & Co. +1 212-92-5699 zach.pandl@gs.com Co-Head of Global FX, Rates and EM Strategy Goldman Sachs does and seeks to do business
More informationDeutsche Bank Credit Overview
Credit Overview August 2018 (including reported financials as of 30 June 2018) Summary Right-sizing of our Corporate & Investment Bank to focus on more stable revenue sources New strategic measures Near-term
More informationA Primer on the GCF Repo Service: Introduction
Adam Copeland A Primer on the GCF Repo Service: Introduction 1. Background Repurchase agreements, or repos, are widely used by financial entities to access money markets. Primary dealers, for example,
More informationThird Quarter 2018 Fixed Income Investor Review
Citi Fixed Income Investor Relations Third Quarter 2018 Fixed Income Investor Review October 25, 2018 John Gerspach Chief Financial Officer Michael Verdeschi Treasurer Agenda YTD 18 Results Net income
More informationFixed Income Investor Presentation. August 2, 2016
Fixed Income Investor Presentation August 2, 206 Cautionary Note on Forward-Looking Statements This presentation may include forward-looking statements. These statements are not historical facts, but instead
More informationPASS4TEST. IT Certification Guaranteed, The Easy Way! We offer free update service for one year
PASS4TEST \ http://www.pass4test.com We offer free update service for one year Exam : 3I0-012 Title : ACI Dealing Certificate Vendor : ACI Version : DEMO 1 / 7 Get Latest & Valid 3I0-012 Exam's Question
More informationMonetary Policy Divergence and Global Financial Stability: From the Perspective of Demand and Supply of Safe Assets
Monetary Policy Divergence and Global Financial Stability: From the Perspective of Demand and Supply of Safe Assets January, 7 Speech at a Meeting Hosted by the International Bankers Association of Japan
More informationFinancial Market Infrastructure: Too Important to Fail. Darrell Duffie
Financial Market Infrastructure: Too Important to Fail Darrell Duffie A major focus of this book is the development of failure resolution methods, including bankruptcy and administrative forms of insolvency
More informationFixed Income Investor Review
Citi Fixed Income Investor Relations Fixed Income Investor Review July 21, 2015 John Gerspach Chief Financial Officer Agenda Execution Priorities Balance Sheet Funding $4.7B of net income (1) in 2Q 15
More informationSupplementary Regulatory Capital Disclosure
Supplementary Regulatory Capital Disclosure For the period ended January 31, 2018 For further information, please contact: Amy South, Senior Vice-President, Investor Relations (416) 594-7386 Jason Patchett,
More informationTo Clear or not to Clear? Challenges in Derivative Business Processes in Presence of EMIR and MiFIDII/MiFIR Regulation. Limassol, January 27 th, 2017
To Clear or not to Clear? Challenges in Derivative Business Processes in Presence of EMIR and MiFIDII/MiFIR Regulation Limassol, January 27 th, 2017 Contents 1 2 3 4 5 Introduction Selected Aspects of
More informationBGC Brokers L.P. OTF Rate Cards Effective Oct 2nd 2018
Inflation; Inflation Swaps - EUR/GBP & Inflation Bonds - EUR Execution Type Instrument Annual Rev Thresholds Rate Rate Type Notes Volume Match or Electronic GBP - ZC/Spread/Fly EUR - ZC/Spread/Fly GBP
More informationCCP WORKSHOP: THE FUTURE OF SECURITIES FINANCE TRANSACTIONS
CCP WORKSHOP: THE FUTURE OF SECURITIES FINANCE TRANSACTIONS TUESDAY, OCTOBER 14, 2014 Participants: Matthias Graulich, Chief Client Officer, Eurex Glenn Horner, Managing Director, State Street Christopher
More informationCross Currency Swaps. Savill Consulting 1
Cross Currency Swaps Savill Consulting 1 A forward FX rate is calculated using a no-arbitrage pricing model Assume a US-based investor has US$10.50 million to invest and a 12-mo time horizon. The current
More informationFinancial Stability Retrospective
Financial Stability Retrospective PRE- SET TEMPLATES & USAGE TIPS Darrell Duffie Graduate School of Business, Stanford University Financial Advisory Roundtable Meeting Federal Reserve Bank of New York,
More informationGLOBAL INTEREST RATES: DISLOCATIONS AND OPPORTUNITIES
GLOBAL INTEREST RATES: DISLOCATIONS AND OPPORTUNITIES Lin Yang, Dell Francesco Tonin, Bloomberg APRIL // 3 // 2017 JAPANIFICATION OF TREASURIES 2 Dislocations in the relation between US rates and Japanese
More informationClasses of OTC derivatives that LCH Limited has been authorised to clear as notified to ESMA under Regulation 648/2012
Classes of OTC derivatives that LCH Limited has been authorised to clear as notified to ESMA under Regulation 648/2012 In accordance with Article 6 of Regulation (EU) No 648/2012 of the European Parliament
More informationRecent developments in Money Markets Johan Evenepoel
Recent developments in Money Markets Johan Evenepoel November 6th, 2017 1 Main drivers of Money Markets today (1/3) Monetary policy developments (1/2) Global reflation trade making a comeback in the main
More informationPERIODIC INFORMATION CONCERNING LIQUIDITY RISK IN ACCORDANCE WITH FFFS 2010:7
2016-09-30 2017-03-31 2017-09-30 2018-03-31 2018-09-30 2019-03-31 2019-09-30 2020-03-31 2020-09-30 2021-03-31 2021-09-30 2022-03-31 2022-09-30 2023-03-31 2023-09-30 2024-03-31 2024-09-30 2025-03-31 2025-09-30
More informationDeutsche Bank Yankee Bank Bond Conference
Yankee Bank Bond Conference Jonathan Blake, Global Head of Debt Issuance Friedrich Karl Stroedter, Head of Debt IR & Rating Agency Relations New York / Boston / Chicago, 16-18 September 2013 at a glance
More informationNetworks of counterparties in the centrally cleared EU-wide interest rate derivatives market 1
Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market 1 Pawe l Fiedor Sarah Lapschies Lucia Országhová,, European Systemic Risk Board Secretariat Národná banka Slovenska
More informationDealer Funding Costs: Implications for the Term Structure of Dividend Risk Premia
Dealer Funding Costs: Implications for the Term Structure of Dividend Risk Premia Yang Song June, 2016 Abstract I show how debt-overhang funding costs to derivatives dealers shareholders for carrying and
More informationOfficial Journal of the European Union L 83/71
22.3.2013 Official Journal of the European Union L 83/71 ANNEX IV Reporting Templates: AIFM (Articles 3(3)(d) and 24 of Directive 2011/61/EU) AIFM-specific information to be reported (Articles 3(3)(d)
More informationOverview of ISDA Standard Credit Support Annex (SCSA)
Overview of ISDA Standard Credit Support Annex (SCSA) November 3, 2011 2011 International Swaps and Derivatives Association, Inc. ISDA is a registered trademark of the International Swaps and Derivatives
More informationSecond Quarter 2018 Fixed Income Investor Review
Citi Fixed Income Investor Relations Second Quarter 2018 Fixed Income Investor Review July 26, 2018 John Gerspach Chief Financial Officer Michael Verdeschi Treasurer Agenda 1H 18 Results Net income of
More informationMBF1243 Derivatives Prepared by Dr Khairul Anuar. Lecture 2 Mechanics of Futures Markets
MBF1243 Derivatives Prepared by Dr Khairul Anuar Lecture 2 Mechanics of Futures Markets Specification of Futures Contracts Available on a wide range of assets Exchange traded Specifications need to be
More informationInterest Rate Swaps: Risk Model CME Group. All rights reserved.
Interest Rate Swaps: Risk Model 2017 Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a
More informationABGSC Swedish Banks Treasury lunches
ABGSC Swedish Banks Treasury lunches Nov 11, 211 Anders Kvist Head of Group Treasury Balance Sheet, Liquidity & Funding A strong balance sheet structure Sep 21 Balance sheet structure Liquid assets Cash
More informationMPG End-2014 G-SIB template
Size Indicator Section 2 - Total Exposures GSIB Amount in thousand EUR a. Counterparty exposure of derivatives contracts 1012 2.324.745 2.a. b. Gross value of securities financing transactions (SFTs) 1013
More informationNew challenges in interest rate derivatives valuation Simple is not just simple anymore. Guillaume Ledure Manager Advisory & Consulting Deloitte
New challenges in interest rate derivatives valuation Simple is not just simple anymore Guillaume Ledure Manager Advisory & Consulting Deloitte In the past, the valuation of plain vanilla swaps has been
More informationDiscussion of Replumbing Our Financial System: Uneven Progress
Discussion of Replumbing Our Financial System: Uneven Progress Stephen G. Cecchetti Bank for International Settlements 1. Introduction Professor Duffie has written a wide-ranging and thoughtful paper on
More informationFixed Income Investor Review
Citi Fixed Income Investor Relations Fixed Income Investor Review January 23, 2015 John Gerspach Chief Financial Officer Eric Aboaf Treasurer Agenda 2014 Milestones $11.5B of net income including significant
More informationBasis point. GBP per million GBP or EUR per million EUR
Inflation; Inflation Swaps - EUR/GBP & Inflation Bonds - EUR Execution Type Instrument Annual Rev Thresholds Rate Rate Type Notes Volume Match or Electronic GBP - ZC/Spread/Fly EUR - ZC/Spread/Fly GBP
More informationXVA S, CSA S & OTC CLEARING
XVA S, CSA S & OTC CLEARING Plus the impact of regulation on OTC Derivatives Date November 2016 Author Darren Hooton, Business and Corporate Sales - FICC DEMYSTIFYING SOME OF THE DERIVATIVE MARKET TLA
More informationINDEX RULES ECPI GLOBAL BOND INDEX FAMILY
INDEX RULES ECPI GLOBAL BOND INDEX FAMILY NOVEMBER 2017 2 TABLE OF CONTENTS INTRODUCTION... 3 SELECTION CRITERIA... 5 PERIODIC REVIEW... 8 INDEX CALCULATION... 9 HEDGED INDICES... 11 INTRA MONTH EVENTS...
More informationBGC Brokers L.P. OTF Rate Cards Effective Apr 1st 2018
Inflation; Inflation Swaps - EUR/GBP & Inflation Bonds - EUR Execution Type Instrument Annual Rev Thresholds Rate Rate Type Notes Volume Match or Electronic GBP - ZC/Spread/Fly EUR - ZC/Spread/Fly GBP
More informationSolvency Capital Requirement
Solvency Capital Requirement Market Risk Report Pyrford Pyrford Global Total Return (Sterling) Fund Class B Stg Accumulating Page 1 Market Risk - SCR Contribution Sub Module SCR (GBP) % AUM Interest rate
More informationHoldings Limited Biannual Public Disclosures in terms of the Banks Act, Regulation 43
Capitec Bank Holdings Limited Biannual Public Disclosures in terms of the Banks Act, Regulation 43 1. Basis of compilation The following information is compiled in terms of Regulation 43 of the Regulations
More informationA Nonsupervisory Framework to Monitor Financial Stability
A Nonsupervisory Framework to Monitor Financial Stability Tobias Adrian, Daniel Covitz, Nellie Liang Federal Reserve Bank of New York and Federal Reserve Board June 11, 2012 The views in this presentation
More informationSegmented Money Markets and CIP Arbitrage
250 200 150 100 50 0 Segmented Money Markets and CIP Arbitrage Dagfinn Rime Andreas Schrimpf Olav Syrstad BI BIS & CEPR Norges Bank ECB Money Market Workshop Disclaimer: Any views presented here are those
More informationFixed Income Investor Review July 23, 2008
Fixed Income Investor Review July 23, 2008 Gary Crittenden, CFO Zion Shohet, Treasurer Agenda Citi Overview Balance Sheet Management Capital Markets & Funding Q & A 1 Citi Overview Gary Crittenden, CFO
More informationDiscounting. Jeroen Kerkhof. 22 September c Copyright VAR Strategies BVBA 1 / 53
Discounting Jeroen Kerkhof 22 September 2010 c Copyright VAR Strategies BVBA 1 / 53 Overview c Copyright VAR Strategies BVBA 2 / 53 Time Value of Money c Copyright VAR Strategies BVBA 3 / 53 Time Value
More informationThe dollar, bank leverage and the deviation from covered interest parity
The dollar, bank leverage and the deviation from covered interest parity Stefan Avdjiev, Wenxin Du, Cathérine Koch, and Hyun Song Shin Discussion by Richard M. Levich NYU Stern Prepared for The Future
More informationRabobank Group Investor Presentation 2012-I
Rabobank Group Investor Presentation 2012-I Disclaimer This presentation is prepared by Coöperatieve Centrale Raiffeisen-Boerenleenbank B.A. incorporated in the Netherlands, trading as Rabobank Nederland
More informationThe dollar, bank leverage and the deviation from covered interest parity
The dollar, bank leverage and the deviation from covered interest parity Stefan Avdjiev*, Wenxin Du**, Catherine Koch* and Hyun Shin* *Bank for International Settlements; **Federal Reserve Board of Governors
More informationThe Term Structure of Interbank Risk
The Term Structure of Interbank Risk Anders B. Trolle (joint work with Damir Filipović) Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute CREDIT 2011, September 30 Objective The recent
More informationFinancial Markets Quiz 1
Financial Markets Quiz 1 1. Which of the following are key functions of financial markets? a. Raise capital for companies b. Allocate capital efficiently c. Transfer risk from risk averse to risk seeking
More informationSYSTEMIC RISK IN CLEARING HOUSES: EVIDENCE FROM THE EUROPEAN REPO MARKET
SYSTEMIC RISK IN CLEARING HOUSES: EVIDENCE FROM THE EUROPEAN REPO MARKET SECURITIES MARKETS TRENDS, RISKS AND POLICIES MILAN, FEB. 2016 BOISSEL, DERRIEN, ORS, THESMAR (HEC Paris) Motivation 2 We ask: Are
More information