ISBN-13: 9783110673029 / Angielski / Miękka / 2022 / 120 str.
1 The Cost of Bank Balance Sheet Space 14
1.1 The setting 15
1.2 Debt overhang has risen 18
1.3 Liquidity provision by dealers 25
1.4 Modigliani-Miller and asset substitution 27
1.5 Impact on swap markets 29
1.6 Strategic implications for dealers 31
1.7 Asset pricing implications 33
1.8 The leverage-ratio rule 34
1.9 European versus U.S. banks 35
1.10 Competition and price transparency 37
1.11 The efficient stability-liquidity frontier 38
2 Leverage Rule Distortions 42
2.1 Leverage rule distortions 42
2.2 Repo intermediation under the SLR 46
2.3 SLR degrades monetary-policy passthrough 55
3 Dealer Funding Costs 59
3.1 An illustrative example: T-bill investment 60
3.2 Post-crisis increases in dealer funding costs 61
3.3 A model of dealer funding costs 64
3.4 CIP arbitrage could harm shareholders 67
3.5 Regulatory capital and the CIP basis 71
4 Market Design Implications 74
4.1 Opaque bilateral trade is inefficient 75
4.2 Multilateral trade 77
4.3 Size discovery 79
4.4 Mandating multilateral trade facilities 82
4.5 Post-trade price transparency 86
4.6 Market infrastructure 90
4.7 Compression trading 93
Bibliography 95
Darrell Duffie, Adams Distinguished Professor of Management and Professor of Finance, Stanford University, USA
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