The (sizable) Role of Rehypothecation in the Shadow Banking System - IMF working paper

[Magda Hassan]

Click link below to see charts.

The (sizable) Role of Rehypothecation in
the Shadow Banking System
Manmohan Singh and James Aitken
WP/10/172
© 2010 International Monetary Fund WP/10/172
IMF Working Paper
Monetary and Capital Markets Department
The (sizable) Role of Rehypothecation in the Shadow Banking System
Prepared by Manmohan Singh and James Aitken1
Authorized for distribution by Karl Habermeier
July 2010
Abstract
This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent
those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are
published to elicit comments and to further debate.
This paper examines the sizable role of rehypothecation in the shadow banking system. Rehypothecation is
the practice that allows collateral posted by, say, a hedge fund to its prime broker to be used again as
collateral by that prime broker for its own funding. In the United Kingdom, such use of a customer's assets
by a prime broker can be for an unlimited amount of the customer's assets while in the United States
rehypothecation is capped. Incorporating estimates for rehypothecation (and the associated re-use of
collateral) in the recent crisis indicates that the collapse in non-bank funding to banks was sizable. We
show that the shadow banking system was at least 50 percent bigger than documented so far. We also
provide estimates from the hedge fund industry for the "churning" factor or re-use of collateral. From a
policy angle, supervisors of large banks that report on a global consolidated basis may need to enhance
their understanding of the off-balance sheet funding that these banks receive via rehypothecation from
other jurisdictions.
JEL Classification Numbers: G21; G28; F33; K22; G18; G15
Keywords: Rehypothecation; FSA; Velocity or Churning of Collateral; Counterparty Risk
Author's E-Mail Address: msingh@imf.org
1 Manmohan Singh is a Senior Economist at the IMF. James Aitken is with Aitken Advisors. The author wishes
to thank Hyun Shin, Gary Gorton, Joe Abate, Christopher Towe, Nadège Jassaud, Kimberly Summe,
James Sweeney and Karl Habermeier for helpful comments. Discussions with Goldman Sachs, Barclays,
Citigroup, Credit Suisse, UBS, CQS and buy-side participants at the Global Fixed Income Institute summit on
OTC Derivatives (July 2010) were very useful. The views expressed are our own and not of the IMF.
2
Contents Page
I. Introduction ............................................................................................................................3
II. Current Rules on Rehypothecation in the United States and the United Kingdom ..............4
III. Rehypothecation after Lehman's Bankruptcy .....................................................................5
IV. Collapse in the Shadow Banking System (Adjusting for Rehypothecation) .......................6
V. Churning (or Velocity) of CollateralEvidence from U.S. Banks ......................................9
VI. Policy Implications ............................................................................................................12
Figures
1. Collateral Received that is Permitted to be Pledged at Large U.S. Banks ............................6
2. Non-Bank Funding to U.S. Banks via Rehypothecation .......................................................8
3. Shadow Banking System in the U.S.―Larger than Documented .........................................9
4. Collateral Received that is Permitted to be Pledged at Large European Banks ..................11
Boxes
1. Methodology of Using Collateral Received that can be Repledged ......................................7
2. Velocity (or Churning) of Collateral at a Global Level .......................................................12
References ................................................................................................................................14
3
I. INTRODUCTION
The United Kingdom provides a platform for higher leveraging stemming from the use (and
re-use) of customer collateral. Furthermore, there are no policy initiatives to remove or
reduce the asymmetry between United Kingdom and the United States on the use of customer
collateral. We show that such U.K. funding to large U.S. banks is sizable and augments the
measure of the shadow banking system. Supervisors of U.S. banks that report on a global
consolidated basis need to enhance their understanding of the collateral funding that the U.S.
banks receive in the United Kingdom.
Rehypothecation occurs when the collateral posted by a prime brokerage client (e.g., hedge
fund) to its prime broker is used as collateral also by the prime broker for its own purposes.
Every Customer Account Agreement or Prime Brokerage Agreement with a prime brokerage
client will include blanket consent to this practice unless stated otherwise. In general, hedge
funds pay less for the services of the prime broker if their collateral is allowed to be
rehypothecated.
There has been very little research in this area. One of the first papers on this topic showed
how the collapse in rehypothecation levels was contributing to global deleveraging after
Lehman's demise (Singh and Aitken, 2009a). Adrian and Shin (2009) provide an analytical
model where collateral assets can be recycled by pledging and re-pledging; the model shows
that during a crisis, the cumulative haircuts (or margin spiral') on pledged collateral can be
sizable. Gorton (2009) shows that during a crisis, haircuts on collateral can result in a run on
the shadow banking system. Singh and Aitken (2009b) show that counterparty risk during
and in the aftermath of the recent crisis resulted in a decrease of up to $5 trillion in highgrade
collateral due to reduced rehypothecation, decreased securities lending activities and
the hoarding of unencumbered collateral.
This paper contributes to the ongoing policy debate on the size of the shadow banking system
and how it impacted the funding for large banks. We show that in addition to the previously
documented research (Adrian and Shin, etc.), that the shadow banking system was at least
50 percent larger than previously estimated. We also provide estimates from the hedge fund
industry and their prime brokerage relationships with large banks for the "churning" or the
extent of re-use of collateral. The rest of the paper is organized as follows. Section II
discusses rehypothecation in the United Kingdom and the United States and the associated
regulatory regimes; the United Kingdom provides a platform for higher leveraging (and
deleveraging) not available in the United States. Section III highlights the collapse in
rehypothecation levels in the United States, especially after the demise of Lehman. Section
IV shows that the shadow banking system in the United States was much larger than
envisaged, if we adjust for rehypothecation. Section V calculates the churning' factor for
pledged collateral via hedge fund's relationships with their prime brokers. Section VI
4
concludes with some suggestions for regulators to enhance their understanding of the funding
sources for large banks.
II. CURRENT RULES ON REHYPOTHECATION IN THE UNITED STATES AND THE UNITED
KINGDOM
A defined set of customer protection rules for rehypothecated assets exists in the United
States, but not in the United Kingdom. In the United Kingdom, an unlimited amount of the
customer's assets can be rehypothecated and there are no customer protection rules. By
contrast, in the United States, Rule 15c33 limits a broker-dealer from using its customer's
securities to finance its proprietary activities. Under Regulation T, the broker-dealer may
use/rehypothecate an amount up to 140 percent of the customer's debit balance.2 Created by
the Securities Investor Protection Act (SIPA) of 1970, the Securities Investor Protection
Corporation (SIPC) is an important part of the overall system of investor protection in the
United States.3 SIPC's focus is very specific: restoring funds to investors with assets in the
hands of bankrupt and otherwise financially troubled brokerage firms (e.g., Lehman). Since
1970, SIPC has grossed more than $2 billion from its members' assessments that can be used
by investors to recover assets in the event of a brokerage firm's insolvency. This difference
between the United States and the United Kingdom meant that when Lehman Brothers
International Europe (LBIE, U.K.) filed for insolvency there was little statutory protection
available to those customers who allowed re-use of their collateral. In the United States,
however, SIPA provides for certain procedures that will apply in the event of the insolvency
of a broker-dealer.4
A key reason why hedge funds have previously opted for funding in Europe (especially the
United Kingdom) is that leverage is not capped as in the United States via the 140 percent
rule under Rule 15c33.5 Leverage levels at many U.K. hedge funds, banks and financial
2 Assume a customer has $500 in pledged securities and a debit balance of $200, resulting in net equity of $300.
The broker-dealer can rehypothecate up to $280 of the customer's assets (140 percent x $200).
3 Derivatives, repos and futures are not covered by SIPA, so any collateral associated with those products may not be
covered (so there is uncapped rehypothecation in the United States, if collateral is associated with these products). To
clarify, SIPA's regime does not relate to collateral; rather it relates generally speaking to the return of a customer's
equity as calculated through something called the net equity claim.
4 U.K.'s bankruptcy law neither makes a distinction between banks and broker-dealers, nor provides the
associated protection from broker-dealers (like SIPA in the United States). In the United States, the customer
protection rule, created by SIPA, is designed to work in conjunction with the Federal bankruptcy scheme for
broker-dealers.
5 Mathematically, the cumulative collateral creation' can be infinite in the United Kingdom but will be finite in
the United States (since the 140 percent cap on the debit balance reduces each successive round of
rehypothecation).
5
affiliates have been higher, as the United Kingdom does not have a similar cap. Thus, prime
brokers and banks would rehypothecate their customers' assets along with their own
proprietary assets as collateral for funding from the global financial system. Lehman's
administrators, PriceWaterhouseCoopers (PWC), confirmed in October 2008 that certain
assets provided to LBIE were rehypothecated and no longer held for the customer on a
segregated basis and as a result the client may no longer have a proprietary interest in the
assets. As such, LBIE investors (e.g., hedge funds) fell within the general body of unsecured
creditors. Consequently, hedge fund assets with LBIE have remained frozen in the United
Kingdom, whereas thanks to SIPA, this was not the case in the United States. Disentangling
hedge fund assets from the broker-dealer/banks' proprietary assets that have been
rehypothecated together, has been an onerous task in the United Kingdom.6
Rehypothecation in Continental Europe
Our understanding from legal sources is that the EU law does not establish a quantitative cap
on the rehypothecation of collateral pledged to broker-dealers akin to that found in the U.S.
SEC Rule 15c33. EU law permits the parties to strike their own bargain as to how much (if
any) collateral may be subject to rights of reuse. The regulatory regime for broker-dealers
and their customers may lead to some re-thinking due to the litigation involving Dexia in
2009.7 However, changes are still distant from being finalized and it is impossible to say at
this stage what changes (if any) can be expected as regards limiting rehypothecation rights.
III. REHYPOTHECATION AFTER LEHMAN'S BANKRUPTCY
After Lehman's bankruptcy, prime brokers have been demanding more cash collateral in
place of securities (unless they are highly liquid and unencumbered securities). Hedge funds
often use their securities as collateral for their own repo trades and financing of their own
positions. In the aftermath of Lehman, larger hedge funds are increasingly seeking to ensure
that assets that have not been pledged as collateral are kept in segregated client accounts, so
that prime brokers have absolutely no claim over those assets. Segregated accounts, broadly
speaking, includes sweeping non-collateral assets into custody accounts, restricting
6 LBIE had about 900 prime brokerage clients at the time of its collapse, mostly hedge funds. The joint
administrators of LBIE, in charge of managing the estate of the London-based European hub of the bank, said
that a claim resolution agreement (CRA) had been put into effect after 90 percent of clients by value gave their
support by a deadline on December 29, 2009. The CRA is a contract on an individual basis between LBIE and
its clients setting out the basis on which assets can be returned. The breakthrough came as a relief to many
hedge funds that found their assets trapped in the bank when it imploded and have been pressing the
administrators to return them quickly so that they can minimize losses.
7 Also see the French Supreme Court decision dated 4 May, 2010, "Restitution Obligation Owed by the
Depository of a Fund."
6
rehypothecation rights, using multiple prime-brokers, and applying for client money
protection as under the U.K. FSA's Client Money Rules (Sidley Austin LLP, 2008). Post-
Lehman, some investors have taken precautionary measures against rehypothecation by
opting to hold assets in custody accounts.
Based on recent 10Q reports, rehypothecation declined rapidly post-Lehman. Data show that
the decline between end-2007 through end-2009 for "total collateral received that is
permitted to be pledged/rehypothecated" by the largest seven U.S. broker-dealersLehman,
Bear Stearns, Morgan Stanley, Goldman, Merrill and JPMorgandeclined from about
$4.5 trillion to $2.1 trillion (see Figure 1).
Figure 1. Collateral Received that is Permitted to be Pledged at Large U.S. Banks
(November 2007December 2009; in billions of U.S. dollars)
Source: Company Reports, IMF Staff calculations.
Note: JPMorgan data post Nov'07 includes Bear Stearns and WAMU; market sources indicate that JPMorgan
may have benefited from being close to Fed; end-June'09 data shown in lieu of end-Nov. 08 data as latter was
not easy to disentangle.
IV. COLLAPSE IN THE SHADOW BANKING SYSTEM
(ADJUSTING FOR REHYPOTHECATION)
The shadow banking system is non-banking institutions that include (among others) hedge
funds, money market funds, pension funds, insurance companies and to some extent the large
custodians such as BoNY and State Street. The funding is typically associated with the nonbanks'
securities lending transactions, use (and re-use) of the collateral they post with banks,
etc. However this non-bank/bank nexus is difficult to track. For example, the Flow of Funds
0
100
200
300
400
500
600
700
800
900
1000
Bear Stearns Lehman Morgan
Stanley
Goldman Sachs Merrill/BoA JP Morgan 1/ Citgroup
Rehypothecation Declined During the Recent Crisis
Nov-07 Nov-08 Sep-09 Dec-09
7
(FoF) data of the U.S. Federal Reserve captures only on-balance sheet funding (King, 2008).8
The FoF data do not capture pledged collateral that is used (and re-used) by large banks for
funding. The FoF database uses only on-balance sheet data and does not include data in the
notes and memo items to the balance sheet. When we includevia balance sheet notes
pledged collateral data that large banks are allowed to use (and re-use), the collapse in overall
funding to banks was sizable. Pledged collateral are off-balance sheet items that show
collateral received by banks from non-banks (e.g., hedge funds' collateral) and other banks
(see Box 1). Figure 2 illustrates that the off-balance sheet funding from rehypothecation was
relatively large for U.S. banks. We build upon the work on shadow banking of Adrian and
Shin (2009). Their measure of the shadow banking system is the sum of prime dealer repos,
financial sector commercial paper and asset-backed commercial paper; this is the red (or
lower) line in Figure 3. We augment their shadow banking measure by including collateral
received that can be repledged by large banks; this is shown in Figure 3's green (or higher)
curve.9
8 Securities lending transactions perform the same economic function as repos but are not reported as repos in
the financing data.
9 To the extent such collateral is cashed' by transacting with another party (e.g., a custodian such as BoNY),
the transaction then moves from off-balance sheet to on-balance sheet. Initially rehypothecation contributes to
the shadow banking. Subsequently, cash-for-security repo transactions will go on-balance sheet, but much of
the security-for-security repo (borrowed versus pledged) may remain off balance sheet (King, 2008).
Box 1. Methodology of Using Collateral Received that Can be Repledged
This box explains our methodology for using data on pledged collateral from financial statements.
Pledged collateral are off-balance sheet items that show collateral received by banks from non-banks
(primarily hedge funds' collateral) and other banks. This collateral is generally obtained under
customer margin loans, securities borrowing, reverse repos, and derivative and other transactions. As
described above in the section on rehypothecation, this collateral is unsecured funding for the large
banks as this is the excess' collateral received against the loan made to client. Much of the excess
collateral accrues from non-U.S. jurisdictions such as U.K where there is no cap on the right to use
(and re-use) such excess collateral. The typical description in a financial statement for excess
collateral that can be rehypothecated is as follows:
As of December 2009 and November 2008, the fair value of financial instruments received as
collateral by the firm that it was permitted to deliver or repledge was $561 billion and $578 billion,
respectively, of which the firm delivered or repledged $392 billion and $445 billion, respectively.
This description is remarkably similar in financial statements for both U.S. and European banks; thus
data on pledgable collateral is at least to some extent comparable across these institutions.
8
Figures 2 and Figure 3 illustrate that this off- balance sheet funding from rehypothecation
was relatively large when compared to the on-balance sheet dealer funding. Note that
Figure 2 isolates the difference between the two lines in Figure 3. We add our pledged
collateral data to Adrian and Shin's (2009) measure for the shadow banking system (that now
includes Asset-Backed Commercial Paper data, estimated to have averaged from $0.5
$1 trillion in 20072009).10
Figure 2. Non-Bank Funding to U.S. Banks via Rehypothecation
(In billions of U.S. dollars)
10 Asset-Backed Commercial Paper, for example, represents the liabilities of a conduit that holds various types
of consumer and business debt. These debts in a prior era might have been held by commercial banks on
balance sheet and funding through deposits. Thus monitoring total ABCP balances is a useful way to observe
any transfer of ABCP assets out of the shadow banking system and on to the balance sheet (Sweeney, 2009).
-
1,000
2,000
3,000
4,000
5,000
Rehypothecation Funding
F
Sources: Company Reports, IMF Staff Calculations
9
Figure 3. Shadow Banking System in the U.S.―Larger than Documented
(In billions of U.S. dollars)
V. CHURNING (OR VELOCITY) OF COLLATERALEVIDENCE FROM U.S. BANKS
On-balance sheet data do not "churn," where churning means the re-use of an asset. If an
item is listed as an asset or liability at one bank, then it cannot be listed as an asset or liability
of another bank by definition; this is not true for pledged collateral. Since on-balance sheet
items are the snapshot of a firm's assets and liabilities on a given day, these cannot be the
assets or liabilities of another firm on that day. However, off-balance sheet item(s) like
pledged-collateral that is permitted to be re-used', are shown in footnotes simultaneously by
several entities, i.e., the pledged collateral is not owned by these firms, but due to
rehypothecation rights, these firms are legally allowed to use the collateral in their own
name.
Since Figure 1 shows that total pledgable collateral within the U.S. banking system was
sizable and the associated source(s) for such collateral were not as large, it is likely that this
collateral was re-used due to the rehypothecation rights.11 The re-use or churning factor can
be calculated by dividing the total pledgeable collateral received in the numerator by the
11 Although this paragraph discusses pledged collateral via U.S. banks global financial statements, it is not
possible to break down what fraction of such collateral was received via subsidiaries of U.S. banks that are
domiciled in foreign jurisdictions like U.K.
0
2000
4000
6000
8000
10000
12000
Shadow Banking (Adrian/Shin)
Shadow Banking (Adrian/Shin)+ Rehypothecation
F
Sources: Company Reports, IMF Staff Calculations
10
associated source of collateral in the denominator. Since we have estimates from the hedge
fund industry, we calculate the churning factor via hedge fund's data and extrapolate the
results.
The total assets under management (AUM) of the global hedge fund industry were about
$2 trillion as of end-2007 (prior to the crisis). Assuming an average leverage of 2, the hedge
fund industry held roughly $4 trillion of securities on a mark-to-market basis.12
Typically, large hedge funds specializing in fixed-income and convertible arbitrage seek
leverage and in lieu of the associated borrowing, post collateral with the large banks (FSA,
2010). Market sources indicate that on average, each of the largest 25 hedge funds borrowed
about $3060 billion from their prime brokers (or roughly $1 trillion); collateral was posted
by the hedge funds in line with their borrowing around end-2007. After Lehman's crisis, with
limited opportunities to use leverage and given the regulatory efforts to reduce leverage, reuse
of pledged collateral has now come down, as noted previously.
Analytically, we can illustrate the churning factor for the hedge fund industry from the prime
brokerage agreements with the largest ten banks active in collateral re-use as follows:
Where αi is total pledgeable collateral with banki from all sources, and
βj is hedge fundj's pledgeable collateral to banks
ɤ is the share of the hedge fund industry's collateral
10
ɤ Σαi
i=1
Churning factor of collateral = ____________
25
Σ βj
j=1
Discussions with collateral teams at large banks suggest that about $1 trillion of the market
value of securities of the global hedge fund industry was rehypothecated, as of end-2007. Of
the total pledgeable collateral of $10 trillion received by the large ten global banks that
12 As FSA notes, leverage is difficult to define in a consistent way across hedge funds, due to the range of
trading strategies and products. In their view, the term leverage' is often incorrectly used for hedge funds as a
synonym for risk (FSA, 2010). The FSA paper defines hedge fund's gross footprint' to be equal to the total
value of all long and short securities positions held, regardless of how they are held (physically or via
derivatives). Also see ECB's occasional paper on hedge funds and leverage issues via
http://www.ecb.int/pub/pdf/scpops/ecbocp34.pdf
11
appears in their financials (via securities lending, repo and prime brokerage), about
40 percent came from hedge funds prior to the crisis; the rest of the collateral was largely
posted by banks to each other to take advantage of their respective funding specialization.
Thus,
40% ($10 trillion)
Churning factor of collateral = ______________ = 4
$ 1 trillion
Figure 4. Collateral Received that is Permitted to be Pledged at Large
European Banks
(November 2007December 2009; in billions of U.S. dollars)
Source: Company Reports and IMF Staff Calculations.
Box 2 summarizes the global churning factor from the lens of the hedge fund industry and
their prime brokerage agreements with large global banks, since U.S. banks rehypothecate
collateral with European and other banks.13
13 Large banks do an excellent job with the collateral they receive that has rehypothecation rights; the churning
factor gives an idea to the real cost of giving up collateral. For an example, if large banks were to post $ x with
central counterparties (CCPs) in the context of offloading OTC derivative positions to them, the real cost may
be $ x times the opportunity cost of the churning factor (Singh, 2010).
0
200
400
600
800
1000
1200
1400
Deutsche
Bank
Credit Suisse UBS Barclays RBS
2007 2008 2009
12
Box 2. Velocity (or Churning) of Collateral at a Global Level
Since the U.S. banks rehypothecate "collateral received that can be pledged" with European banks
and vice versa, the source of off-balance sheet funding is higher (through the velocity of collateral).14
When we add U.S. banks data together with large European banks with significant relations with the
hedge fund industry, such as Deutsche Bank, UBS, Barclays, Royal Bank of Scotland and Credit
Suisse , the total available pledged collateral was over $10 trillion at end-2007.1 Roughly $1 trillion
AUM of all hedge funds were rehypothecated and hedge funds contributed about 40 percent of all
pledgeable collateral received by the large banks; thus the churning of collateral could have been
around a factor of 4 as of end-2007. More recently, as of end-2009, the churning factor has also
declined in line with the total available pledged collateral.
We understand from large European banks who handle collateral under English Law that the largest
hedge funds are not leaving money on the table' relative to the era before Lehman. In other words,
unlike smaller and/or equity focused hedge funds, the larger hedge funds will not sign off on
unlimited rehypothecation and not borrow. Furthermore, although U.K. does not have the 140 percent
cap on rehypothecation, many large hedge funds are presently using this figure as a benchmark when
negotiating/revising their prime brokerage agreements with large banks.
________________________
1/ However this sample does not account for other banks that are likely to have large prime brokerage business
(HSBC, Societe General, BNPParibas, Nomura etc.) and thus the churning factor may be higher (as the
denominator, i.e., pledgeable collateral of all hedge funds globally, will remain at $1 trillion).
VI. POLICY IMPLICATIONS
Following the collapse of Lehman, hedge funds have become more cognizant of the way the
client money and asset regime operates in the United Kingdom. For some, the United
Kingdom provides a platform for higher leveraging (and deleveraging) that is not available in
the United States. In general, post Lehman, one would expect an increasing tendency for
those providing collateral to counterparties to ask for their collateral to be segregated from
the counterparty's assets and to place limits on its further use.
Our understanding is that the U.K. FSA has not yet made any changes on the use (and re-use)
of collateral since their LBIE experience that would remove or reduce the asymmetry in the
U.K. and the U.S. However, the FSA's Consultation Paper 10/9 proposes (a) daily reporting
14 The most recent end-2009 financial reports of large European banks (i.e., Deutsche Bank, Credit Suisse, UBS
and Barclays) show lower levels of rehypothecation relative to end-2007 (see figure 4).
13
on client money and assets holdings to all prime brokerage clients, and (b) creating a
requirement that all prime brokerage agreements will contain a disclosure annex which will
highlight relevant definitions and the contractual limit on rehypothecation.15 Market sources
from the sell side suggest that many large hedge funds are presently using the 140 percent
cap as a benchmark when negotiating/revising their prime brokerage agreements with large
banks.16
Some suggestions from our research follow:
ï‚· Supervisors of large banks that report on a global consolidated basis may need to
enhance their understanding of the off-balance sheet funding that these banks receive
via rehypothecation from other jurisdictions.
ï‚· The asymmetry between U.K. and the U.S. on the use of client's collateral is an
example that highlights the recent policy recommendations to limit leverage and
jurisdictional arbitrage (Tucker, 2010).
ï‚· The reduction in pledgable collateral received by the large banks (and the associated
churning factor) has a direct impact on global liquidity. Rehypothecation data and the
associated churning factor might be considered by major central banks to augment
their tools for understanding the shadow banking system and associated liquidity
within the global financial system.
15 Enhancing the Client Asset Sourcebook, FSA Consultation Paper 10/9, March 2009.
16 However, discussions with a diverse group of U.K.'s buy side (including small and medium sized hedge
funds, institutional investors etc) indicate that the majority are not yet converging to the 140 percent rule.
14
REFERENCES
Adrian, Tobias and Hyun Song Shin, 2009a, "Collateral Shortage and Debt Capacity,"
Technical Note, (February 24).
, 2009b, "Money, Liquidity, and Monetary Policy," Staff Report No. 360, January
(New York: Federal Reserve Bank of New York). Available via the Internet:
http://www.newyorkfed.org/research/staff.../sr360.pdf
and Michael Fleming, 2005 "What Financing Data Reveal about Dealer Leverage,"
Current Issues in Economics and Finance, Volume 11, Number 3 (March).
Aitken, James, 2009, "The Plumbing, Union Bank of Switzerland," Presentation
(January 28).
Financial Services Authority, 2010, "Assessing Possible Sources of Systemic Risk from
Hedge Funds" (February).
_______, 2010, "Enhancing the Client Asset Sourcebook, FSA Consultation Paper 10/9,
(March) http://www.fsa.gov.uk/pages/Library/Poli...0_09.shtml
Freshfields, Bruckhaus and Deringer, opinion on May 11, 2010 on Restitution Obligation
Owed by the Depository of a Fund, French Supreme Court decision (May 4, 2010).
Gorton, Gary, 2010, "Questions and Answers About Financial Crisis," NBER Working
Paper 15787 (February).
King, Matt, 2008, "Are the Brokers Broken," Citi Research Notes (September).
Singh, Manmohan and James Aitken, 2009a, "Deleveraging after Lehmansome evidence
from Rehypothecation," IMF Working Paper 09/42 (Washington: International
Monetary Fund).
, 2009b, "Counterparty Risk, Impact on Collateral Flows and Role for Central
Counterparties," IMF Working Paper 09/173 (Washington: International Monetary
Fund).
, 2010, "Collateral, Netting and Systemic Risk in OTC Derivatives Market," IMF
Working Paper 10/ 99 (Washington: International Monetary Fund).
Sweeney, James, 2009 "Long Shadows: The Sequel," Credit-Suisse Fixed Income Research,
(November 30).
15
Sidley Austin LLP, 2008, "Hedge Funds and the U.K. Prime Brokers in the Post-Lehman
Environment," (December 2). Available via the Internet:
http://www.sidley.com/sidleyupdates/Deta...?news=3826
Tucker, Paul, 2010, "Shadow Banking, Capital Markets and Financial Stability," remarks at
BGC Partners Seminar, London (January 21).

http://www.imf.org/external/pubs/ft/wp/2010/wp10172.pdf