Workshop on "Fire Sales" as a Driver of Systemic Risk in Tri-Party Repo and Other Secured Funding Markets

October 4, 2013
8:15 a.m. - 9:00 a.m. Registration and Continental Breakfast
9:00 a.m. - 9:15 a.m. Welcoming Remarks
Susan McLaughlin, Senior Vice President, Federal Reserve Bank of New York
9:15 a.m. - 9:30 a.m. Introductory Remarks
William C. Dudley, President and Chief Executive Officer, Federal Reserve Bank of New York
9:30 a.m. - 10:00 a.m. Keynote Remarks: The Problem of Fire Sales
Jeremy Stein, Governor, Federal Reserve Board
10:00 a.m. - 10:30 a.m. The Role of Institutional Investors in Propagating the Crisis of 2007-2008 PDF
Alberto Manconi, Tilburg University
Massimo Massa, INSEAD
Ayako Yasuda, University of California at Davis (presenter)
10:30 a.m. - 10:45 a.m. Break
10:45 a.m. - 11:15 a.m. Why Did Financial Institutions Sell RMBS at Fire Sale Prices during the Financial Crisis? PDF
Craig B. Merrill, Brigham Young University
Taylor D. Nadauld, Brigham Young University
Shane M. Sherlund, Federal Reserve Board
René M. Stulz, Ohio State University, European Corporate Governance Institute, and National Bureau of Economic Research (presenter)

Presentation PDF
11:15 a.m. - 11:45 a.m. The Risk of Fire Sales in the Tri-Party Repo Market PDF
Brian Begalle, Assistant Vice President, Federal Reserve Bank of New York
Antoine Martin, Vice President, Federal Reserve Bank of New York (presenter)
James McAndrews, Executive Vice President and Director of Research, Federal Reserve Bank of New York
Susan McLaughlin, Senior Vice President, Federal Reserve Bank of New York
Presentation PDF

Fire-Sale Spillovers and Systemic Risk PDF
Fernando Duarte, Financial Economist, Federal Reserve Bank of New York
Thomas Eisenbach, Financial Economist, Federal Reserve Bank of New York (presenter)

Presentation PDF
11:45 a.m. - 12:30 p.m. A Proposal for the Resolution of Systemically Important Assets and Liabilities: The Case of the Repo Market PDF
Viral Acharya, New York University, National Bureau of Economic Research, and Centre for Economic Policy Research (presenter)
Sabri Oncu, Centre for Advanced Research and Learning, Reserve Bank of India, and New York University

Presentation PDF
12:30 p.m. - 1:45 p.m. Lunch
1:45 p.m. - 2:30 p.m. Thoughts on the Design of a TPR Utility-Based Clearing Service PDF
Darrell Duffie, Stanford University
2:30 p.m. - 3:30 p.m. Panel on Pre-Default Fire Sales: Are There Ways to Reduce the Risk of Investor Runs in Tri-Party Repo as a Driver of Fire Sales?

Moderator:
  • Sandy Krieger, Executive Vice President and Head of Risk Group, Federal Reserve Bank of New York
Panelists:
  • Patrick McCabe, Economist, Federal Reserve Board
  • Jeff Petro, Senior Vice President and Head of Money Market Trading, Federated Investors
  • James Slater, Executive Vice President, Global Collateral Services, Bank of New York Mellon
  • Chester Spatt, Pamela R. and Kenneth B. Dunn Professor of Finance, Carnegie Mellon University
3:30 p.m. - 3:45 p.m. Break
3:45 p.m. - 4:45 p.m. Panel on Post-Default Fire Sales: How Could a Process for Orderly Liquidation of Tri-Party Repo Collateral Be Put in Place as a Means to Avoid Fire Sales?

Moderator:
  • Brian Begalle, Assistant Vice President, Federal Reserve Bank of New York
Panelists:
  • John Fennell, Senior Vice President of Risk Management and Treasury Operations, Options Clearing Corporation
  • Seth Grosshandler, Partner, Cleary Gottlieb Steen & Hamilton LLP
  • Matt Leisen, Vice President - Corporate Treasury, Goldman Sachs
  • Murray Pozmanter, Managing Director of Equity and Fixed Income Clearing Services, Fixed Income Clearing Corporation
  • David Sayles, Managing Director, BlackRock
4:45 p.m. - 5:00 p.m. Concluding Remarks
James McAndrews, Executive Vice President and Director of Research, Federal Reserve Bank of New York