Съдържанието не е налично на български език.
Annalaura Ianiro
- 15 January 2025
- MACROPRUDENTIAL BULLETIN - ARTICLE - No. 26Details
- Abstract
- Synthetic leverage is a key source of vulnerability for the non-bank financial intermediation (NBFI) sector. Yet there is lack of consensus on how to measure it. In this article, we propose a novel methodological framework to measure synthetic leverage and apply it to interest rate swaps using data gathered under the European Market Infrastructure Regulation (EMIR). Our contribution is threefold. First, compared with notional-based measures of synthetic leverage, our formula is sensitive to changes in the underlying risk factor and thus reflects different degrees of resilience to interest rate shocks. Second, thanks to its duration-based approach, our methodology is particularly suitable as a policy tool for scenario analysis. Finally, by providing an estimate of the leverage risk that an institution faces through its derivatives positions, our framework makes it possible to investigate the potential implications for an NBFI entity’s overall exposure to liquidity and solvency risk.
- JEL Code
- G10 : Financial Economics→General Financial Markets→General
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
G28. : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
- 16 May 2024
- FINANCIAL STABILITY REVIEW - BOXAssessing the liquidity preparedness of investment funds to meet margin calls in derivatives marketsFinancial Stability Review Issue 1, 2024Details
- Abstract
- Recent episodes of liquidity stress highlight the need to monitor funds’ liquidity preparedness to meet margin calls on derivatives. This box proposes four indicators of fund-level liquidity preparedness to meet margin calls to identify potential vulnerabilities that may require higher cash buffers and/or more diversified high-quality liquid assets (HQLA). Both the stock of initial margin posted and the flow of initial and variation margin are examined, offering complementary insights. The first set of indicators considers the ratios between the volumes of margin stock or flow over cash holdings, while the second set replaces cash with HQLA. The results highlight how cash alone may not be enough to cover margin calls, thus emphasising the importance of funds relying on diverse and reliable sources of liquidity and collateral. Moreover, existing vulnerabilities in the fund sector can lead to procyclical behaviours, amplifying market-wide stress and spreading to other market participants.
- JEL Code
- G01 : Financial Economics→General→Financial Crises
G10 : Financial Economics→General Financial Markets→General
G15 : Financial Economics→General Financial Markets→International Financial Markets
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
- 16 November 2022
- FINANCIAL STABILITY REVIEW - ARTICLEFinancial Stability Review Issue 2, 2022Details
- Abstract
- Energy sector firms use energy derivatives under different strategies depending on their main area of activity, business model and exposure to risk in physical markets. The significant volatility and skyrocketing prices seen in energy markets since March 2022 have resulted in large margin calls, generating liquidity risks for derivatives users. Strategies employed by companies to alleviate liquidity stress may lead to an accumulation of credit risk for their lenders or their counterparties in less collateralised segments of the derivatives market. Further price increases would accentuate nascent vulnerabilities, creating additional stress in a concentrated market. These issues underline the need to review margining practices and enhance the liquidity preparedness of all market participants to deal with large margin calls.
- JEL Code
- Q02 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→General→Global Commodity Markets
G13 : Financial Economics→General Financial Markets→Contingent Pricing, Futures Pricing
G20 : Financial Economics→Financial Institutions and Services→General
- 25 May 2022
- FINANCIAL STABILITY REVIEW - BOXFinancial Stability Review Issue 1, 2022Details
- Abstract
- Synthetic leverage has become an important feature of the financial system. In our analysis, we propose two complementary measures that explore the link between synthetic leverage and margining in equity derivative portfolios of non-banks. We show that leverage risk can materialise through margin calls and uncovered counterparty exposure during periods of high market volatility.
- JEL Code
- G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
G32 : Financial Economics→Corporate Finance and Governance→Financing Policy, Financial Risk and Risk Management, Capital and Ownership Structure, Value of Firms, Goodwill
- 24 May 2022
- FINANCIAL STABILITY REVIEW - ARTICLEFinancial Stability Review Issue 1, 2022Details
- Abstract
- The stellar growth, volatility and financial innovation currently seen in the crypto-asset ecosystem, as well as the rising involvement of institutional investors, show how important it is to gain a better understanding of the potential risks crypto-assets could pose to financial stability if trends continue on this trajectory. This special feature provides an update on crypto-asset market developments and a general overview of risks stemming from unbacked crypto-assets and decentralised finance, given the way in which they have evolved and their specific characteristics and risks. Systemic risk increases in line with the level of interconnectedness between crypto-assets and the traditional financial sector, the use of leverage and lending activity. It is important to close regulatory and data gaps in the crypto-assets ecosystem to mitigate such systemic risks.
- JEL Code
- G18 : Financial Economics→General Financial Markets→Government Policy and Regulation
G19 : Financial Economics→General Financial Markets→Other
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
G51 : Financial Economics