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US Dollar Funding Markets During the Covid-19 Crisis - the Money Market Fund Turmoil
From the Document: "The Covid-19 [coronavirus disease 2019] crisis severely disrupted the functioning of short-term US dollar funding markets, in particular the commercial paper and certificate of deposit segments. Commercial paper (CP) is a form of short-term unsecured debt commonly issued by banks and non-financial corporations and primarily held by prime money market funds (MMFs). Certificates of deposit (CDs) are unsecured debt instruments issued by banks and largely held by non-bank investors, including prime MMFs. Both instruments are important sources of US dollar funding for banks, especially for non-US headquartered banks."
Bank for International Settlements
Eren, Egemen; Schrimpf, Andreas; Sushko, Vladyslav
2020-05-12
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Leverage and Margin Spirals in Fixed Income Markets During the Covid-19 Crisis
From the Key Takeaways: "[1] For a two-week period in mid-March 2020, government bond markets experienced uncharacteristic turbulence, sometimes selling off sharply in risk-off episodes when they would normally attract safe haven flows. [2] Evidence in the US Treasury market points to forced selling of treasury securities by investors who had attempted to exploit small yield differences through the use of leverage. [3] Even though government bonds are safe assets, large holdings by leveraged investors may detract from orderly market functioning and may necessitate interventions by the central bank."
Bank for International Settlements
Schrimpf, Andreas; Shin, Hyun Song; Sushko, Vladyslav
2020-04-02
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US Dollar Funding Markets During the Covid-19 Crisis - The International Dimension
From the Key Takeaways: "[1] Dislocations in domestic US dollar money markets reverberated globally. Non-US banks lost a substantial part of funding from money market funds and had to borrow at shorter maturities. [2] Nevertheless, the severity of dollar funding strains varied substantially across banks, and eased for banks from jurisdictions with standing swap lines with the Federal Reserve. [3] The impact of policy measures to quell the stress was felt unevenly across different funding markets. The divergence between key rates resulted in an unusual divergence of funding cost metrics, with some indicating a 'dollar glut' while others a 'dollar shortage'."
Bank for International Settlements
Sushko, Vladyslav; Schrimpf, Andreas; Eren, Egemen
2020-05-12
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