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240607 ||| eng |
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|a 9798400267239
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1 |
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|a Jukonis, Audrius
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| 245 |
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|a The Impact of Derivatives Collateralization on Liquidity Risk: Evidence from the Investment Fund Sector
|c Audrius Jukonis, Elisa Letizia, Linda Rousova
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2024
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| 300 |
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|a 35 pages
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| 653 |
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|a Economics
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| 653 |
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|a Liquidity risk
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| 653 |
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|a Banks
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| 653 |
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|a Finance
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| 653 |
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|a Option pricing
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| 653 |
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|a Industries: Financial Services
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| 653 |
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|a Banks and banking
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| 653 |
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|a Financial Forecasting and Simulation
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| 653 |
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|a Mortgages
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| 653 |
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|a Collateral
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| 653 |
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|a Economics of specific sectors
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| 653 |
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|a Futures Pricing
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| 653 |
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|a Currency crises
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| 653 |
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|a Financial risk management
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| 653 |
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|a Capital and Ownership Structure
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| 653 |
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|a Goodwill
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| 653 |
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|a Macroeconomics
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| 653 |
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|a Financial Risk and Risk Management
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| 653 |
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|a Mutual funds
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| 653 |
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|a Financing Policy
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| 653 |
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|a Investment Decisions
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| 653 |
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|a Depository Institutions
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| 653 |
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|a Economic & financial crises & disasters
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| 653 |
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|a State supervision
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| 653 |
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|a Institutional Investors
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| 653 |
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|a Pension Funds
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| 653 |
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|a Financial institutions
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| 653 |
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|a Contingent Pricing
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| 653 |
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|a Mathematical Methods and Programming: General
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| 653 |
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|a Value of Firms
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| 653 |
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|a Financial Instruments
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| 653 |
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|a Economics: General
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| 653 |
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|a Micro Finance Institutions
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| 653 |
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|a Informal sector
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| 653 |
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|a Financial Institutions and Services: Government Policy and Regulation
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| 653 |
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|a Asset and liability management
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| 653 |
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|a Liquidity
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| 653 |
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|a Non-bank Financial Institutions
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| 653 |
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|a Loans
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| 653 |
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|a Banks and Banking
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| 653 |
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|a Financial regulation and supervision
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| 653 |
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|a Portfolio Choice
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| 653 |
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|a Finance: General
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| 653 |
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|a Financial services law & regulation
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| 653 |
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|a Liquidity requirements
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| 700 |
1 |
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|a Letizia, Elisa
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| 700 |
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|a Rousova, Linda
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| 041 |
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7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
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|a IMF Working Papers
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| 028 |
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|a 10.5089/9798400267239.001
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| 856 |
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|u https://elibrary.imf.org/view/journals/001/2024/026/001.2024.issue-026-en.xml?cid=544453-com-dsp-marc
|x Verlag
|3 Volltext
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| 082 |
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|a 330
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| 520 |
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|a 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 indicate that between 13 percent and 33 percent of euro area funds with sizeable derivatives exposures may not have sufficient liquidity buffers to meet the calls under adverse market shocks. As a result, they are likely to redeem money market fund (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 nonbanks, particularly regarding liquidity risk in funds
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