Спикер: Dilyara Salakhova (European Central Bank)
Название: Derivative margin calls: a new driver of MMF flows?
Область исследования
"Finance, macroprudential policy, derivatives"
Каков был вопрос исследования?
"What are the interconnections in the financial system? How the need to pay margins to make derivative transactions more secure affects liquidity in the market?"
Что обнаружило ваше исследование?
"We document relationships between margin calls in the derivative market and flows into money market funds which have not been known previosly. This finding is important for financial stability of the system."
Абстракт: This paper investigates whether the significant volatility in MMF flows in the March 2020 market turmoil was driven by investors' liquidity needs related to derivative margin payments. We combine three highly granular unique data sets (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 data spanning from February to April 2020. We estimate the effects of variation margin paid and received by the largest holders of EUR-denominated 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. Margins posted have a stronger effect on MMF outflows that margins received on MMFs inflows.
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