Abstract
After 2007, financial market turmoil began and shortage of dollar funding liquidity disrupted not only the US dollar funding market but also overseas. To address the shortage of dollar liquidity, the FED introduced swap lines with systematic important central banks, including emerging markets. The paper discusses the main feature of the FED’s swap lines in the context of the funding pressures on the FX swap market. The main objective of the paper is to reveal technical aspects and effectiveness of the swap lines. The paper explains connectivity between un/secured money markets and the FX swap market during the financial and debt crises. The FX swap market was hit significantly. During the liquidity crisis of 2007-2010, the main driver of the deviation from covered interest parity was a shortage of dollar liquidity jointly with counterparty risk. During the debt crisis, the main driver was counterparty risk of the euro zone banks and sovereigns. The FED swap lines were used as a liquidity backstop. The paper concludes that the swap lines were an effective tool of cooperation between central banks and significantly alleviated the pressure on the FX swap market. In addition, the swap lines were flexible, supported financial stability, no losses were recorded, the problem of adverse selection was avoided and exit was successful. Finally, the swap lines have become a permanent tool for solving temporary shortages of foreign currency liquidity in national banking systems.
Highlights
Federal Reserve Swap Lines – International Lender of the Last Resort After 2007, financial market turmoil began and shortage of dollar funding liquidity disrupted the US dollar funding market and overseas
Swapové linky FED cielili na globálny trh menových swapov (FX swap), ktorý bol výrazne poškodený krízou likvidity a následne dlhovou krízou v eurozóne
V prípade, že obchodná banka B v U.S funguje s individuálnym deficitom likvidity, potrebuje si rovnako požičať dolárovú likviditu na U.S peňažnom trhu
Summary
V dekáde pred vypuknutím finančnej krízy, v súvahách európskych bánk prudko narastala úroveň dolárovo denominovaných aktív i vďaka rozvoju nových druhov finančných nástrojov (sekuritizácia). Z toho vyplýva, že zahraničné banky ako celok sú na trhu menových swapov čistým dlžníkom a sú závislé na hladkom fungovaní dolárového trhu financovania.. Naopak U.S banky a hedžové fondy sú ako celok čistým veriteľom a poskytovateľom dolárov na trhu menových swapov, pretože majú záväzky hlavne v USD. Podľa ECB [2007], európske banky prudko zvyšovali dopyt po dolárovom financovaní, keď sa kvôli riziku protistrany presunuli z nezaisteného dolárového trhu na trh menových swapov. Problémy z hľadiska dolárového financovania sa prejavili i na trhu krížových swapov (cross-currency basis swap), ktorý je na rozdiel od FX swapového trhu dôležitý z hľadiska získavania cudzomenovej likvidity na dlhodobom základe (nad 1 rok). Swapové linky mali mať pozitívny (sprostredkovaný) dopad i na trh krížových menových swapov skrz narovnanie odchýlky od krytej úrokovej parity (graf 6 a 7). Pokiaľ dopyt po USD prevyšuje dopyt po EUR, swapová sadzba sa stáva viac negatívna a premena EUR do USD je drahšia
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