ECB paper profiles the Euro IRS market
Working Paper Series The anatomy of the euro area interest rate swap market Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon, Martin Scheicher Using a novel regulatory dataset…
Read More ECB Working Paper: Money markets, collateral and monetary policy
Money markets, collateral and monetary policy ECB Working Paper Series Fiorella De Fiore, Marie Hoerova, Harald Uhlig Interbank money markets have been subject to substantial impairments in the recent decade,…
Read More ECB finds €10.9 trillion in Euro HQLA but potential for pockets of HQLA scarcity
Availability of high-quality liquid assets and monetary policy operations: an analysis for the euro area Occasional Paper Series No 218 / February 2019 Roel Grandia, Petra Hänling, Michelina Lo Russo, Pontus…
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The Eurosystem Collateral Management System (ECMS) and tri-party: good, bad or indifferent? (Premium)
The ECB recently took the next step in their Eurosystem Single Market Infrastructure Gateway (ESMIG) project, which itself progresses the aims of the Eurosystem Collateral Management System (ECMS). We look…
Read More ECB working paper: From cash- to securities-driven euro area repo markets: the role of financial stress and safe asset scarcity
Claus Brand, Lorenzo Ferrante, Antoine Hubert No 2232 / January 2019 Focussing on repo specialness premia, using ISIN-specific transaction-by-transaction data of one-day maturity repos, we document a gradual shift from…
Read More ECB’s Yves Mersch: The possible triangle – frictionless movement of payments, securities and collateral across Europe
Speech by Mr Yves Mersch, Member of the Executive Board of the European Central Bank, at the 2019 Annual General Meeting of the International Capital Markets Association’s European Repo and…
Read More ECB publishes results of Dec 2018 SESFOD
Results of the December 2018 SESFOD Survey on credit terms and conditions in euro-denominated securities financing and over-the-counter derivatives markets Credit terms tightened for all counterparts, but non-price terms offered…
Read More ECB to launch on-site cyber risk inspections this year
Speech by Sabine Lautenschläger, member of the Executive Board of the European Central Bank and vice-chair of the Supervisory Board of the European Central Bank, to the Banking & Payments…
Read More ECB working paper: Re-use of collateral: leverage, volatility, and welfare
We assess the quantitative implications of collateral re-use on leverage, volatility, and wel- fare within an infinite-horizon asset-pricing model with heterogeneous agents. In our model, the ability of agents to…
Read More Working group on euro risk-free rates seeks market feedback on transition from EONIA to ESTER and ESTER-based term structure methodologies
Private sector working group publishes report on transition from EONIA to ESTER Working group launches consultation on determining ESTER-based term structure methodology as fallback for contracts linked to EURIBOR Market…
Read More Fintech bank Revolut gets European banking license
Revolut announced that the ECB has approved the challenger bank for a European banking license. In the coming months, Revolut will be doing a lot of building and testing behind…
Read More ECB to end Asset Purchase Program in 2018
At today’s meeting the Governing Council of the European Central Bank (ECB) decided that the interest rate on the main refinancing operations and the interest rates on the marginal lending…
Read More ECB publishes expectations for oversight of cyber resilience
• ECB publishes final cyber resilience oversight expectations for financial market infrastructures • Document defines Eurosystem’s expectations in terms of cyber resilience, based on existing global guidance • Reflects comments…
Read More The ECB finds risk in ETF securities lending and TRS – is this real or a rehash of old stories?
The European Central Bank released their Financial Stability Report last week, including a feature on counterparty risk in synthetic and physical ETFs. We find some valid points in the analysis…
Read More ECB announces pan-European instant payments
• TARGET instant payment settlement (TIPS) now operational • TIPS means consumers can make retail payments across Europe instantly, 24/7/365 The European Central Bank (ECB) has launched an innovative pan-European…
Read More ECB says securities finance markets lost liquidity from June to August 2018, deterioration in general collateral market
Results of the September 2018 survey on credit terms and conditions in euro-denominated securities financing and over-the-counter derivatives markets (SESFOD) Credit terms tightened, in line with the expectations reported in…
Read More Reuters: EU shows no sign of heeding U.S. threat over derivatives clearing
The European Union is proposing to give the European Central Bank sweeping powers over foreign clearing houses in times of market stress, an EU document showed, as the bloc shows…
Read More ECB’s Draghi argues for continued central bank independence
Mario Draghi: Central bank independence Text of the First Lamfalussy Lecture by Mr Mario Draghi, President of the European Central Bank, at the National Bank of Belgium, Brussels, 26 October…
Read More The ECB’s Cœuré walks through ESTER: time is short to solve some tricky problems
The ECB’s Benoit Cœuré recently spoke about ESTER, the ECB’s new overnight rate. Benchmark reform is all the rage, and Europe, while initially setting itself some tough deadlines, is now…
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Several blows this week to London as a financial center post-Brexit (Premium)
The odds for London thriving as a financial center post-Brexit got worse this week. Here’s what happened and where things seem to be going. Continue reading
Read More FT: ECB warns banks to curtail booking trades and loans in UK after Brexit
The European Central Bank has warned banks they have a maximum of three years after Brexit to curtail their use of a “back-to-back” booking model that makes it easier to…
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The ECB on repo in the Leverage Ratio: taking a strong stand today may not turn out well tomorrow
The ECB’s publication last week of “The implications of removing repo assets from the leverage ratio” creates a conundrum. On the one hand, the findings stick true to the Basel…
Read More ECB: removing repo from the Leverage Ratio would be a bad idea
This article summarises the key findings from a counterfactual exercise where the effect of removing repo assets from the leverage ratio on banks’ default probabilities is considered. The findings suggest…
Read More ECB: G-SIB framework encourages balance sheet window-dressing
This article evaluates whether the global systemically important bank (G-SIB) framework has incentivised banks to adopt window-dressing behaviour, and whether their engagement in capital market activities has facilitated it. Window-dressing…
Read More ECB Draghi’s letter to EU Parliamentarian says no central bank digital bank cryptocurrency for now
Frankfurt am Main, 12 September 2018 L/MD/18/306 Honourable Member of the European Parliament, dear Mr Fernández, Thank you for your letter, which was passed on to me by Mr Roberto…
Read More ECB’s Draghi says no plans for central bank digital currency
The European Central Bank and the Eurosystem currently have no plans to issue a central bank digital currency, wrote ECB president Mario Draghi in a letter to the European Parliament.…
Read More ECB’s Mersch warns on pan-European payment failure and big foreign fintech dependence
Excerpt from speech by Yves Mersch, Member of the Executive Board of the ECB, at the European Institute of Financial Regulation (EIFR), Paris, 3 September 2018 Progress towards an integrated…
Read More How can central banks effectively monitor transmission of monetary policy?
A new paper from the European Central Bank looks at the transmission of monetary policy and the concept of fragmentation, which means that monetary policy goals are not getting through…
Read More IMF recommends that Eurozone central banks harmonize securities lending arrangements
The current ECB/Eurosystem framework has been effective in responding to market strains, but a more comprehensive, forward-looking and harmonized framework would be helpful in supporting the monetary, banking and capital…
Read More The ECB swings a big stick on supervision of repo CCPs
We understand the impulse: if a CCP’s potential failure could cause severe damage to a region’s economy and monetary policy operations, then that region’s financial supervisors should want to have…
Read More ECB’s Cœuré describes central bank’s actions for AI and DLT in markets
Excerpts from speech by Benoît Cœuré, Member of the Executive Board of the European Central Bank, at the Central Bank Payments Conference, Singapore, 26 June 2018 There is no doubt…
Read More ECB calculates ESTER, will release historical time series data (pre-ESTER)
The European Central Bank (ECB) has decided on the final methodology for calculating the euro short-term rate (ESTER) – an overnight unsecured rate based entirely on money market statistical reporting…
Read More European regulators’ working group consults on EONIA successor
The working group on euro risk-free rates is calling on market participants and all other interested parties to comment on its assessment of candidate euro risk-free rates against key selection…
Read More Financial stability up but so is risk taking, says ECB
Systemic risk for the euro area has remained low over the past six months, the latest biannual Financial Stability Review of the European Central Bank finds. This was helped by…
Read More ECB comments on Brexit transition period, intends third country “flexibility”
The precise content of the withdrawal agreement will not be known until late 2018. Uncertainty remains, including the risk that the agreement might not be ratified by all sides involved…
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Central bank digital currencies keep getting a lot of attention at central banks. What’s going on here?
For all the times central bankers have said that they don’t plan to launch digital currencies any time soon, their staffs sure are paying a lot of attention to the…
Read More ECB publishes comments on new euro short-term rate, names it ESTER
The ECB’s Governing Council decided that the new ECB unsecured overnight rate would be called ESTER (euro short-term rate). This interest rate, which will be produced before 2020, will complement…
Read More ECB data show SFTs credit terms tightening in early 2018, except for hedge funds
Slight tightening in credit terms, for all types of counterparties except hedge funds, with expectations for more favorable credit terms over the next quarter Credit terms appear to be stabilizing…
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No one is happy about US deregulation except these people (Premium)
As US deregulation moves into gear, international regulators are voicing their deep concern with the breakdown of the attempted finalization of Basel III. Meanwhile, the US Congress pushes ahead while…
Read More ECB and BoJ analyze securities settlement systems: delivery versus payment in a distributed ledger environment
The main findings of the joint analysis, as detailed in this report, can be summarized as follows: DvP can run in a DLT environment subject to the specificities of the…
Read More ECB launches 2nd consultation on new euro unsecured ON interest rate
The European Central Bank (ECB) is calling on market participants and all other interested parties to provide comments on the detailed features of the new unsecured overnight interest rate.…
Read More Moody’s: ECB’s changes to covered bond haircuts will increase CPT issuers’ repo funding costs
Changes to the haircuts that the European Central Bank (ECB) applies to covered bonds posted by their issuers as collateral in repo transactions will increase the cost of repo funding…
Read More ECB consults on capital and liquidity management for banks
The European Central Bank (ECB) launched a public consultation on the draft principles underlying its expectations for banks’ internal capital adequacy assessment processes (ICAAPs) and internal liquidity adequacy assessment processes…
Read More ECB publishes new guidelines on haircuts, collateral, and Eurosystem monetary policy implementation
The European Central Bank (ECB) has published three new guidelines on: implementation of the Eurosystem monetary policy; valuation haircuts; and additional temporary measures relating to Eurosystem refinancing operations and eligibility…
Read More ECB, ESMA announce euro risk-free rate working group
The European Central Bank (ECB), together with the European Securities and Markets Authority (ESMA), the European Commission (EC) and the Financial Services and Markets Authority (FSMA), announced the composition of…
Read More ECB’s Cœuré talks about what yield curves are saying
Excerpts from a speech by Benoît Cœuré, Member of the Executive Board of the European Central Bank, at the Financial Times European Financial Forum “Building a New Future for International Financial…
Read More ECB securities finance survey finds credit terms remain unchanged Sept-Nov
In line with the two previous survey rounds, respondents to the European Central Bank’s SESFOD (survey on credit terms and conditions in euro-denominated securities financing and over-the-counter derivatives markets) survey reported…
Read More ECB paper examines agent-based model of system-wide implications of funding risk
Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. Researcher Grzegorz Hałaj and his team build a model that focuses on systemic aspects of liquidity and…
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How did US and European repo markets fare at the end of 2017? (Premium)
US and European repo markets got a bit tetchy last week as the year closed but not as bad as 2016. We review the data and offer some observations. Continue…
Read More ECB announces changes to collateral eligibility criteria for unsecured bank bonds
New eligibility criteria for senior unsecured bank bonds were decided and are expected to come into effect in the first quarter of 2018 Currently, eligible senior unsecured bank bonds that…
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