Fundamentals of Shadow Banking. Perry Mehrling International Banking Conference Chicago, IL November 7, 2013
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1 Fundamentals of Shadow Banking Perry Mehrling International Banking Conference Chicago, IL November 7, 2013
2 Discipline and Elasticity, Prices
3 Discipline and Elasticity, Quantities
4 Financial Globalization Financial Post WWII, rise of private capital markets Post Bretton Woods, private money markets Globalization Extension across globe Integration across globe Shadow Banking From loan-based credit to market-based credit From funding liquidity to market liquidity Quintessential institutional form for modern day
5 Inherent Instability of Credit Money will not manage itself, and Lombard Street has a great deal of money to manage. Bagehot (1873) --irrational exuberance? --flawed lending, flawed regulation? --Wall Street wizardry, regulatory arbitrage? --excess leverage ratio, insufficient capital? --run on repo, insufficient liquidity? --stress test of shadow banking, and financial globalization
6 What is shadow banking? Money market funding of Capital market lending Global (dollar) funding of local lending Market pricing, both money and capital Key role of market-making institutions Key role of central bank as backstop
7 Shadow Banking as Global Finance Shadow Bank Asset Manager Assets Liabilities Assets Liabilities FX Risky Asset Credit Default Swap Interest Rate Swap FX Swap $ Repo $ Repo Capital Credit Default Swap Interest Rate Swap FX Swap Note: Treat insurance as contingent asset and liability; alternatively, treat risk exposure as contingent asset and liability
8 Making Markets, Money and Risk Capital Funding Bank Global Money Dealer Asset Manager Assets Liabilities Assets Liabilities Assets Liabilities RMBS CDS IRS FXS MM funding MM funding deposits deposits Capital CDS IRS FXS Derivative Dealer Assets Credit Default Swaps Interest Rate Swaps FX Swaps Liabilities Credit Default Swaps Interest Rate Swaps FX Swaps
9 Backstopping Market Making, First Resort Capital Funding Bank Global Money Dealer Asset Manager Assets Liabilities Assets Liabilities Assets Liabilities RMBS CDS IRS FXS MM funding MM funding Reserves deposits Capital Derivative Dealer deposits Capital CDS IRS FXS Assets CDS IRS FXS Reserves Liabilities CDS IRS FXS Capital
10 Backstopping Market-making, Global Money Dealer Derivative Dealer Central Bank (or C5) Last Resort Assets MM funding Reserves Liquidity put (funding) Assets CDS IRS FXS Reserves Liquidity put (market) Assets Liabilities deposits Liabilities CDS IRS FXS Liabilities Reserves Liquidity put (funding) Liquidity put (market)
11 Economics of the Dealer Function Treynor, 1987
12 Funding Liquidity and Market Liquidity
13 Shadow Banking Boom Absorbing net order flow from Asset Manager distorts funding cost, risk premium BOOM
14 Shadow Banking Bust Absorbing new order flow from Shadow Bank distorts funding cost, risk premium CRISIS
15 Central Bank as Market Backstop Dec 15, 2011 Dec 15, 2011 (restated) Assets Liabilities Assets Liabilities Treasuries $1.7 MBS/GSE.9 Other.3 Currency $1.0 Reserves 1.6 Other.3 [TBill $2.6 [Tbond 2.6 [Risky Secs.9 Other.3 Curr./Res. $2.6] Tbill 2.6] Tbond.9] Other.3 TOTAL 2.9 TOTAL 2.9 TOTAL 6.4? TOTAL 6.4? Fed as Dealer of Last Resort Global Money Dealer (OIS) [and FX swap] Global Derivative Dealer (IRS, CDS)
16 Central Bank as Market Backstop Dec 15, 2011 Dec 15, 2011 (restated) Assets Liabilities Assets Liabilities Treasuries $1.7 MBS/GSE.9 Other.3 Currency $1.0 Reserves 1.6 Other.3 Other.3 OIS $2.6 IRS 2.6 CDS.9 Other.3 TOTAL 2.9 TOTAL 2.9 TOTAL 6.4? TOTAL 6.4 Fed as Dealer of Last Resort Global Money Dealer (OIS) [and FX swap] Global Derivative Dealer (IRS, CDS)
17 Unfinished business International last resort cooperation (C5) Markets, not banks (TBTF) Robust first resort infrastructure Outside spread, not inside spread Risk spreads, as well as money spreads Prudential regulation, micro and macro Beyond Capital Adequacy Monetary policy Beyond QE
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