Derivative Margin Calls: A New Driver of MMF Flows

Derivative Margin Calls: A New Driver of MMF Flows
READ MORE...
Volume/Issue: Volume 2023 Issue 061
Publication date: March 2023
ISBN: 9798400233937
$20.00
Add to Cart by clicking price of the language and format you'd like to purchase
Available Languages and Formats
English
Prices in red indicate formats that are not yet available but are forthcoming.
Topics covered in this book

This title contains information about the following subjects. Click on a subject if you would like to see other titles with the same subjects.

Banks and Banking , Finance , Economics- Macroeconomics , Public Finance , Economics / General , liquidity risk , money market funds , big data , interconnectedness , non-bank financial intermediaries , , EUR-denominated MMFs , derivative margin calls , MMF flow , variation margin payment , VM flow , Stocks , Liquidity , Mutual funds , Nonbank financial institutions , Pension spending , Global

Also of interest
Measuring Soft Power: A New Global Index
WORKING PAPERS PUBLISHED IN MARCH 2005
WORKING PAPERS PUBLISHED IN MARCH 2004
WORKING PAPERS PUBLISHED IN MARCH 2003
Summary

During the March 2020 market turmoil, euro area money-market funds (MMFs) experienced significant outflows, reaching almost 8% of assets under management. This paper investigates whether the volatility in MMF flows was driven by investors’ liquidity needs related to derivative margin payments. We combine three highly granular unique data sources (EMIR data for derivatives, SHSS data for investor holdings of MMFs and Refinitiv Lipper data for daily MMF flows) to construct a daily fund-level panel dataset spanning from February to April 2020. We estimate the effects of variation margin paid and received by the largest holders of EURdenominated MMFs on flows of these MMFs. The main findings suggest that variation margin payments faced by some investors holding MMFs were an important driver of the flows of EUR-denominated MMFs domiciled in euro area.

Powered by: AIDC