The Morning After--The Impact on Collateral Supply After a Major Default

Released on by Dermot Turing
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  • The Morning After--The Impact on Collateral Supply After a Major Default Book Detail

  • Author : Dermot Turing
  • Release Date : 2018-10-31
  • Publisher : International Monetary Fund
  • Genre : Business & Economics
  • Pages : 26
  • ISBN 13 : 1484381920
  • File Size : 47,47 MB
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The Morning After--The Impact on Collateral Supply After a Major Default by Dermot Turing PDF Summary

Book Description: Changes to the regulatory system introduced after the financial crisis include not only mandatory clearing of OTC derivatives at central counterparties and margining of uncleared derivatives, but also prudential measures, including notably a “Liquidity Coverage Ratio” which obliges firms to set aside high-quality liquid assets (HQLA) as a stopgap against anticipated cash outflows. We examine factors which may affect the demand for HQLA in a severely stressed market following a hypothetical default of a major clearing member. Immediately following a major default, the amount of HQLA demanded by the whole market would spike. We estimate the size of the spike and draw conclusions as to whether the depth of the market is adequate to absorb it.

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