A. Bryan, Rafael Plata, Max Chan, Hardy Wenge, Teo Floor, Owen Thorpe, Karla Klasen, F. Cerezetti
{"title":"Climate risk and central counterparty risk management","authors":"A. Bryan, Rafael Plata, Max Chan, Hardy Wenge, Teo Floor, Owen Thorpe, Karla Klasen, F. Cerezetti","doi":"10.21314/jfmi.2021.016","DOIUrl":"https://doi.org/10.21314/jfmi.2021.016","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67705008","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Do DEXs work? Using Uniswap V2 to explore the effectiveness of decentralized exchanges","authors":"Yuen C Lo, F. Medda","doi":"10.21314/jfmi.2022.004","DOIUrl":"https://doi.org/10.21314/jfmi.2022.004","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90219764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Des demarches sont en cours pour remplacer les deux systemes de paiement de base du Canada par trois nouveaux systemes. Nous utilisons un modele de choix discrets pour predire quels systemes les utilisateurs finaux et institutions financieres choisiront d’utiliser apres la transition, puis analysons les implications pour le cadre reglementaire.
{"title":"Predicting payment migration in Canada","authors":"A. Kosse, Zhentong Lu, Gabriel Xerri","doi":"10.34989/SWP-2020-37","DOIUrl":"https://doi.org/10.34989/SWP-2020-37","url":null,"abstract":"Des demarches sont en cours pour remplacer les deux systemes de paiement de base du Canada par trois nouveaux systemes. Nous utilisons un modele de choix discrets pour predire quels systemes les utilisateurs finaux et institutions financieres choisiront d’utiliser apres la transition, puis analysons les implications pour le cadre reglementaire.","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2021-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43753998","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Monitoring intraday liquidity risks in a real-time gross settlement system","authors":"Neville Arjani, Fuchun Li, L. Sabetti","doi":"10.21314/jfmi.2021.012","DOIUrl":"https://doi.org/10.21314/jfmi.2021.012","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67704863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Central counterparty capital and nondefault losses","authors":"Dennis McLaughlin","doi":"10.21314/jfmi.2021.010","DOIUrl":"https://doi.org/10.21314/jfmi.2021.010","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67705162","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Measure twice before you cut: differences in Furfine-type algorithm implementations","authors":"A. Müller, Jan Paulick","doi":"10.21314/jfmi.2021.005","DOIUrl":"https://doi.org/10.21314/jfmi.2021.005","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67705041","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The policy of clearing standardized over-the-counter (OTC) derivatives contracts through central counterparties (CCPs) was introduced after the 2008 crisis, and it has had a major impact. It has been implemented in major jurisdictions via “clearing mandates” that apply to the clearing members of CCPs and their clients. Since the policy was implemented, OTC derivatives markets have changed in ways that reduce the benefit of central clearing for clients. As policy makers are currently reviewing clearing mandates, considering how to improve them is apposite. Against this background, we present new evidence of the distribution of risk in client portfolios and use this to motivate clearing policy improvements. We recommend that the mandate to clear should be phrased in terms of initial margin. We present evidence of the concentration in client clearing service provision and suggest that regulatory barriers to increased competition should be lifted. Finally, we discuss two innovations that would increase the likelihood of clients moving between clearing members. This process, known as porting, is an important potential benefit of clearing. These innovations are the creation of a special-purpose clearing member for porting, and the development of access models for larger clients that will reduce their dependence on clearing members.
{"title":"Too Much, Too Young: Improving the Client Clearing Mandate","authors":"David Murphy","doi":"10.21314/jfmi.2019.121","DOIUrl":"https://doi.org/10.21314/jfmi.2019.121","url":null,"abstract":"The policy of clearing standardized over-the-counter (OTC) derivatives contracts through central counterparties (CCPs) was introduced after the 2008 crisis, and it has had a major impact. It has been implemented in major jurisdictions via “clearing mandates” that apply to the clearing members of CCPs and their clients. Since the policy was implemented, OTC derivatives markets have changed in ways that reduce the benefit of central clearing for clients. As policy makers are currently reviewing clearing mandates, considering how to improve them is apposite. Against this background, we present new evidence of the distribution of risk in client portfolios and use this to motivate clearing policy improvements. We recommend that the mandate to clear should be phrased in terms of initial margin. We present evidence of the concentration in client clearing service provision and suggest that regulatory barriers to increased competition should be lifted. Finally, we discuss two innovations that would increase the likelihood of clients moving between clearing members. This process, known as porting, is an important potential benefit of clearing. These innovations are the creation of a special-purpose clearing member for porting, and the development of access models for larger clients that will reduce their dependence on clearing members.","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2020-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72527628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Canada’s Large Value Transfer System (LVTS) is in the process of being replaced by a real-time gross settlement (RTGS) system. A pure RTGS system typically requires participants to hold substantial amounts of intraday liquidity in order to settle their payment obligations. Implementing one or more liquidity-saving mechanisms (LSMs) can reduce the amount of liquidity that participants need to hold. This paper investigates how much liquidity requirements can be reduced with the implementation of different LSMs in the Financial Network Analytics simulation engine using LVTS transaction data from 2018. These LSMs include (1) bilateral offsetting, (2) FIFO–bypass, (3) multilateral offsetting and (4) a combination of all LSMs. We simulate two different scenarios at varying levels of the upper bound of liquidity. In the first scenario, all payments from Tranche 1, which are considered time critical, are settled in a pure RTGS payment stream, while less time-critical Tranche 2 payments are settled in a payment stream with LSMs. In the second scenario, we settle all payments (Tranches 1 and 2) in the LSM stream. Our results show that when there is ample liquidity available in the system, there is minimal benefit from LSMs, as payments are settled without much delay: the effectiveness of LSMs increases as the amount of intraday liquidity decreases. A combination of LSMs shows a reduction in liquidity requirements that is larger than any one individual LSM.
{"title":"How Much Liquidity Would a Liquidity-saving Mechanism save If a Liquidity-saving Mechanism Could save Liquidity? A Simulation Approach for Canada’s Large-value Payment System","authors":"Shaun Byck, Ronald Heijmans","doi":"10.2139/ssrn.3581600","DOIUrl":"https://doi.org/10.2139/ssrn.3581600","url":null,"abstract":"Canada’s Large Value Transfer System (LVTS) is in the process of being replaced by a real-time gross settlement (RTGS) system. A pure RTGS system typically requires participants to hold substantial amounts of intraday liquidity in order to settle their payment obligations. Implementing one or more liquidity-saving mechanisms (LSMs) can reduce the amount of liquidity that participants need to hold. This paper investigates how much liquidity requirements can be reduced with the implementation of different LSMs in the Financial Network Analytics simulation engine using LVTS transaction data from 2018. These LSMs include (1) bilateral offsetting, (2) FIFO–bypass, (3) multilateral offsetting and (4) a combination of all LSMs. We simulate two different scenarios at varying levels of the upper bound of liquidity. In the first scenario, all payments from Tranche 1, which are considered time critical, are settled in a pure RTGS payment stream, while less time-critical Tranche 2 payments are settled in a payment stream with LSMs. In the second scenario, we settle all payments (Tranches 1 and 2) in the LSM stream. Our results show that when there is ample liquidity available in the system, there is minimal benefit from LSMs, as payments are settled without much delay: the effectiveness of LSMs increases as the amount of intraday liquidity decreases. A combination of LSMs shows a reduction in liquidity requirements that is larger than any one individual LSM.<br><br>","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2020-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90155727","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper develops a method to identify operational outages of participants in the Canadian Large Value Transfer System (LVTS). We define an operational outage as either no activity or unusually low activity. We test our algorithm against a database of outages reported by participants in order to reduce false negatives. The false positives can be reduced by excluding “outages” found by the algorithm if a participant historically has no payment in a given five-minute time interval. In addition, we can test whether participants do indeed report all their operational outages. The results show that our algorithm works best for the largest participants, as they send in payments continuously. Our method can be used by LVTS operators and overseers to identify sources of operational risks.
{"title":"Is There Anybody Out There? Detecting Operational Outages from Large Value Transfer System Transaction Data","authors":"Neville Arjania, Ronald Heijmans","doi":"10.21314/JFMI.2019.118","DOIUrl":"https://doi.org/10.21314/JFMI.2019.118","url":null,"abstract":"This paper develops a method to identify operational outages of participants in the Canadian Large Value Transfer System (LVTS). We define an operational outage as either no activity or unusually low activity. We test our algorithm against a database of outages reported by participants in order to reduce false negatives. The false positives can be reduced by excluding “outages” found by the algorithm if a participant historically has no payment in a given five-minute time interval. In addition, we can test whether participants do indeed report all their operational outages. The results show that our algorithm works best for the largest participants, as they send in payments continuously. Our method can be used by LVTS operators and overseers to identify sources of operational risks.<br>","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2020-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83497460","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Identification of interbank loans and interest rates from interbank payments: a reliability assessment","authors":"M. Fevolden, Lyndsie Smith, Q. Akram","doi":"10.21314/jfmi.2019.116","DOIUrl":"https://doi.org/10.21314/jfmi.2019.116","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43501960","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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