Search Results
Journal Article
Improving the measurement of cross-border securities holdings: the Treasury International Capital SLT
In the wake of the financial crisis, growing interest in improving the measurement of cross-border securities positions and flows spurred the introduction of a new Treasury International Capital (TIC) reporting form, the TIC Security Long Term (SLT). This article reviews the existing structure of TIC cross-border position and flow data, the benefits that the new SLT can provide, and the incoming information from the first two reporting months of SLT data, September and December 2011. While some patterns and characteristics of the SLT data will become clear only after more data have ...
Working Paper
Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter?
We examine the relationships between credit default swap (CDS) premiums and bond yield spreads for nine emerging market sovereign borrowers. We find that these two measures of credit risk deviate considerably in the short run, due to factors such as liquidity and contract specifications, but we estimate a stable long-term equilibrium relationship for most countries. In particular, CDS premiums tend to move more than one-for-one with yield spreads, which we show is broadly consistent with the presence of a significant "cheapest-to-deliver" (CTD) option. In addition, we find a variety of ...
Working Paper
\"Fool Me Once . . . \" Did U.S. investors play it safer in the European debt crisis?
This paper examines U.S. investors? portfolio investment patterns since the global financial crisis, particularly since the European debt crisis that began in late 2009. The global financial crisis during 2007-2009 was accompanied by an increase in U.S. investors? home bias. U.S. investors experienced significant valuation losses and pulled back notably from their foreign investment, especially from foreign debt. In contrast, while they have also incurred sizable losses on cross-border investment during the European debt crisis, U.S. investors so far have not shown any increase in home bias, ...
Discussion Paper
Private Credit: Characteristics and Risks
Private credit or private debt investments are debt-like, non-publicly traded instruments provided by non-bank entities, such as private credit funds or business development companies (BDCs), to fund private businesses. Private credit is typically extended to middle-market firms with annual revenues between $10 million and $1 billion, but has grown rapidly in recent years to fund larger companies that were traditionally funded by leveraged loans.
Report
Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds
In this note, we examine the liquidity profiles of a sample of bank loan and high-yield open-end mutual funds. Among other things, we find that the ten largest bank loan mutual funds have increased their holdings of the hardest-to-value, generally most illiquid assets over the past decade.
Discussion Paper
New Insights from N-CEN: Liquidity Management at Open-End Funds and Primary Market Concentration of ETFs
Structural vulnerabilities associated with open-end funds have received increasing attention among academics and regulators over the past few years. Despite the effort by policymakers to enhance the liquidity risk management practices at these funds, evaluating the availability, use and effectiveness of liquidity management tools continues to be a challenging task in assessing vulnerabilities in open-end funds, largely because comprehensive data on open-end funds' access to liquidity management tools remain scarce.