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Keywords:derivatives 

Speech
Opening Remarks: Public Policy Symposium on OTC Derviatives Clearing

A speech delivered by Charles Evans before the Public Policy Symposium on OTC Derivative Clearing on September 3, 2010, in Chicago, IL.
Speech , Paper 45

Working Paper
A Tale of Four Tails: Inflation, the Policy Rate, Longer-Term Rates, and Stock Prices

We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail risks' co-movements are accounted for in quantifying the magnitude and persistence of their responses to key shocks. We find that: (i) in the medium-term, all four tail risks respond significantly and contemporaneously to domestic and foreign monetary-policy announcements, except for the equity tail risk to ...
Working Paper Series , Paper WP-2017-26

Working Paper
The Concentration of Cleared Derivatives: Can Access to Direct CCP Clearing for End-Users Address the Challenge?

Cleared derivatives contracts are now concentrated among a small and dwindling number of institutions. Many policymakers and regulators have argued that this concentration has adverse consequences, some of which may have systemic risk implications. The authors explore the benefits and challenges of encouraging major end-users of derivatives to become direct clearing members of central counterparties (CCPs). If done prudently, increasing and diversifying the pool of clearing members and redistributing outstanding derivatives contracts across them may help CCPs become more resilient.
Working Paper Series , Paper WP-2019-6

Speech
901 Days

Remarks at Securities Industry and Financial Markets Association (SIFMA), New York City.
Speech , Paper 326

Speech
SOFR and the transition from LIBOR: remarks at the SIFMA C&L Society February Luncheon, New York City

Remarks at the SIFMA C&L Society February Luncheon, New York City.
Speech , Paper 307

Journal Article
The failure resolution of Lehman Brothers

This study examines the resolution of Lehman Brothers Holdings Inc. in the U.S. Bankruptcy Court in order to clarify the sources of complexity in its resolution and to inform the debate on appropriate resolution mechanisms for financial institutions. The authors focus on the settlement of Lehman?s creditor and counterparty claims, especially those relating to over-the-counter (OTC) derivatives, where much of the complexity of Lehman?s bankruptcy resolution was rooted. They find that creditors? recovery rate was 28 percent, below historical averages for firms comparable to Lehman. Losses were ...
Economic Policy Review , Issue Dec , Pages 175-206

Newsletter
Taking a Deep Dive into Margins for Cleared Derivatives

Central counterparties (CCPs) are institutions that become the buyer to every seller and seller to every buyer in cleared markets. By design, CCPs have a matched book of positions. As a result, their liabilities to clearing members with winning positions are exactly matched by incoming payments from those on the losing side of positions.
Chicago Fed Letter

Journal Article
Derivatives and Collateral at U.S. Life Insurers

Although insurers represent a relatively small part of the derivatives markets, they are an interesting case study, in part because they report very detailed information about their derivatives positions and associated collateral in quarterly regulatory filings. The authors exploit these data to study how derivatives are used by insurers and analyze the likely impact of regulatory reforms on their business models.
Economic Perspectives , Issue Q I , Pages 21-37

Journal Article
Can Broader Access to Direct CCP Clearing Reduce the Concentration of Cleared Derivatives?

In November 2008, at the height of the global financial crisis, leaders from the Group of Twenty (G20) nations, representing the world’s largest economies, convened in Washington, DC, to develop a new regulatory framework to help foster financial stability. They came out of that Washington summit with several noteworthy ideas.1 One was to strengthen over-the-counter (OTC) derivatives markets, where defaults had been serious problems during the financial crisis. In particular, G20 leaders agreed to move more of this business onto regulated exchanges and central counterparties (CCPs) as a way ...
Economic Perspectives , Volume 43 , Issue 3 , Pages 1-27

Speech
The LIBOR Countdown Has Not Stopped

Remarks at the IMN Virtual Investors' Conference on LIBOR.
Speech

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