Journal of Financial Market Infrastructures

Welcome to the latest issue of The Journal of Financial Market Infrastructures.

Our first paper, "A map of collateral uses and flows" by Andrea Aguiar, Richard Bookstaber, Dror Y. Kenett and Thomas Wipf, provides readers with an overview of how collateral is used by the various actors in the market. In so doing, it permits us to consider the other side of secured funding flows, which are usually only considered in financial market infrastructure papers. (There is, of course, one main exception to this rule: our special The Journal of Financial Market Infrastructures issue on collateral from September 2016.) The authors not only provide a collateral map but also combine it with a funding map in a two-layer network. They then discuss how the collateral network has been affected by regulatory changes such as mandatory central clearing and the liquidity coverage ratio requirement.

In "Granularity, a blessing in disguise: transaction cycles within real-time gros settlement systems", the second paper in this issue, Tim van Ark and Ronald Heijmans take us into the world of granular time series data. They demonstrate that, in the context of a real-time gross settlement system, the presence of cyclical and seasonal patterns is to be expected. For monitoring purposes, it is important to be aware of these patterns. The authors employ various approaches to modeling the cyclical components in transaction data at different frequencies as well as along the various network layers of interbank, customer and money market payments. They find that the best time aggregate differs from one layer to another.

"I want security: stylized facts about central counterparty collateral and its systemic context" by Henry Holden, Melanie Houllier and David Murphy is the third and final paper in this issue. It focuses on the relationship between central counterparties' collateral policies and their impact on systemic risk. At the end of last year, the six central counterparties considered in the paper held €360 billion as collateral, which is, in my view, a systemically relevant amount of cash and securities. Further, the authors argue that there is a trade-off between collateral eligibility and collateral quality and, hence, central counterparties' collateral policies matter.

The end of 2016 is nearly upon us, which leads me to mention two things. First, I would like to draw your attention to the 2017 Conference on Financial Market Infrastructures that we are planning. Second, we will be publishing a special issue in the middle of 2017 on cleared derivatives margin, guest edited by Robert Cox. Both call for papers can be found here

Finally, I wish all readers of The Journal of Financial Market Infrastructures a fruitful and prosperous New Year.

Ron Berndsen
De Nederlandsche Bank and Tilburg University

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: