The Interconnectivity of Central and Commercial Bank Money in the Clearing and Settlement of the European Repo Market
Payments in the wholesale financial markets can be made in central or commercial bank money. The co-existence of these two settlement assets basically reflects a trade-off between the objectives of containing systemic risk and enhancing the efficiency and (in particular) … Continue reading →
Rating Distribution of Sovereign Issuers on Selected Dates
Source: Moody’s Sovereign Default and Recovery Rates,1983-2010
Scenario Analysis for Italy’s Sovereign Debt
While the debt ratio in the optimistic scenario noticeably declines to about 90% of GDP by 2020, it falls only slightly in our baseline scenario to just over 110% of GDP. In our low-growth scenario it would in fact remain … Continue reading →
An Analytical Performance Comparison of Exchanged Traded Funds with Index Funds: 2002-2010
Paper by Mohammad Sharifzadeh, Simin Hojat Exchange bdf Traded Funds (ETFs) have been gaining increasing popularity in the investment community as is evidenced by the high growth both in the number of ETFs and their net assets since 2000. As … Continue reading →
Italian Repo Fails Due to “Plumbing” Problems
Long-standing concerns over obstacles to interconnectivity between the Italian CSD and the ICSDs were accentuated by a dramatic increase in delivery failures on transactions (mainly repos) cleared through the international CCP, LCH.Clearnet, during 2009-10, but not those cleared through the … Continue reading →
“Google Matrix of the World Trade Network” (Ermann-Shepelyansky)
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My discussion of “Google matrix of the world trade network” (Ermann-Shepelyansky) http://t.co/RYyBiBAi ...
ECB Sterilization Capacity: Unlimited
When the ECB purchases bonds, it creates new reserves, increasing its balance sheet, and then sterilizes the reserves by auctioning fixed-term deposits. There is no limit to that process. People pretending otherwise are relying on ancient macroeconomics manuals where the … Continue reading →
CDS on the EFSF
Made a few comments on that post: Pricing CDS on the EFSF
I should add that in case of multiple joint defaults, the remaining guarantors can discharge their obligation by simply buying back EFSF bonds instead of paying par.
MMT Is Bullshit
When the government “spends,” the Treasury disburses the funds by crediting bank accounts. Settlement involves transferring reserves from the Treasury’s account at the Fed to the recipient’s bank. The resulting increase in the recipient’s deposit account has no corresponding liability … Continue reading →
ISDA Standard CSA
ISDA outlines key provisions to the Standard Credit Support Annex (SCSA) proposal as part of its continuing efforts to increase efficiency and improve standardization in the over-the-counter (OTC) derivatives markets. The SCSA proposal addresses three primary objectives. The SCSA seeks … Continue reading →
