OFR_2016_Financial-Stability-Report

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Baklanova, Viktoria, and Daniel Stemp. “Reference Guide to the OFR’s U.S. Money Market Fund Monitor.” OFR Brief no. 16-07, Washington: Office of Financial Research, July 20, 2016. https://financialresearch.gov/briefs/files/ OFRbr_2016-07_Money-Market-Fund-Monitor.pdf (accessed Sept. 27, 2016). Bank for International Settlements. Revised Market Risk Framework and Work Programme for Basel Committee is Endorsed by its Governing Body. Press Release, Jan. 11, 2016: BIS. http://www.bis.org/press/p160111.htm (accessed Sept. 6, 2016). Bank for International Settlements: Basel Committee on Banking Supervision. Guidance for National Authorities Operating the Countercyclical Capital Buffer, Basel: BIS, December 2010. http://www.bis.org/publ/bcbs187.pdf (accessed Sept. 6, 2016). Bank for International Settlements: Basel Committee on Banking Supervision. Progress in Adopting the Principles for Effective Risk Data Aggregation and Risk Reporting (3rd ed.). Basel: BIS, December 2015. www.bis.org/bcbs/publ/ d348.pdf (accessed Oct. 6, 2016). Bank for International Settlements: Committee on Payments and Market Infrastructures and Board of the International Organization of Securities Commissions. Consultative Report: Harmonisation of Key OTC Derivatives Data Elements (Other than UTI and UPI) – First Batch, Basel: BIS and IOSCO, September 2015a. www.bis.org/ cpmi/publ/d132.pdf (accessed Oct. 20, 2016). Bank for International Settlements: Committee on Payments and Market Infrastructures and Board of the International Organization of Securities Commissions. Consultative Report: Harmonisation of the Unique Transaction Identifier, Basel: BIS and IOSCO, August 2015b. www.bis.org/cpmi/publ/d131.pdf (accessed Oct. 20, 2016). Bank for International Settlements: Committee on Payments and Market Infrastructures and Board of the International Organization of Securities Commissions. Public Quantitative Disclosure Standards for Central Counterparties, Basel: BIS and IOSCO, February 2015c. http://www.bis.org/cpmi/publ/d125.pdf (accessed Oct. 20, 2016). Bank for International Settlements: Committee on Payments and Market Infrastructures and Board of the International Organization of Securities Commissions. Guidance on Cyber Resilience for Financial Market Infrastructures, Basel: BIS and IOSCO, June 2016a. https://www.iosco.org/library/pubdocs/pdf/IOSCOPD535. pdf (accessed Oct. 20, 2016). Bank for International Settlements: Committee on Payments and Market Infrastructures and Board of the International Organization of Securities Commissions. Second Consultative Report: Harmonisation of the Unique Product Identifier, Basel: BIS and IOSCO, August 2016b. http://www.iosco.org/library/pubdocs/pdf/IOSCOPD541. pdf (accessed Oct. 14, 2016). Barnes, Michelle, James Bohn, and Cynthia Martin. “A Post-Mortem of the Life Insurance Industry’s Bid for Capital during the Financial Crisis.” Current Policy Perspectives no. 15-8, Boston: Federal Reserve Bank of Boston, Dec. 1, 2015. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2723812## (accessed Sept. 7, 2016). Berg, Ted. “Quicksilver Markets.” OFR Brief no. 15-02, Washington: Office of Financial Research, March 17, 2015. https://financialresearch.gov/briefs/files/OFRbr-2015-02-quicksilver-markets.pdf (accessed Sept. 27, 2016). 106 2016 | OFR Financial Stability Report
Board of Governors of the Federal Reserve System. Regulatory Capital Rules: Implementation of Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies. Final Rule, Washington: Board of Governors, Federal Register 80, no. 157, Aug. 14, 2015. https://www.gpo.gov/fdsys/pkg/FR-2015-08-14/pdf/2015-18702.pdf (accessed Oct. 13, 2016). Board of Governors of the Federal Reserve System. Comprehensive Capital Analysis and Review 2016: Assessment Framework and Results, Washington: Board of Governors, June 2016a. www.federalreserve.gov/newsevents/press/ bcreg/bcreg20160629a1.pdf (accessed Oct. 13, 2016). Board of Governors of the Federal Reserve System. Dodd-Frank Act Stress Test 2016: Supervisory Stress Test Methodology and Results, Washington: Board of Governors, June 2016b. http://www.federalreserve.gov/newsevents/press/bcreg/ bcreg20160623a1.pdf (accessed Oct. 13, 2016). Board of Governors of the Federal Reserve System, Federal Deposit Insurance Corporation, and Office of the Comptroller of the Currency. Agencies Issue Statement on Prudent Risk Management for Commercial Real Estate Lending. Joint Press Release, Dec. 18, 2015: Board of Governors, FDIC, and OCC. http://www.federalreserve.gov/ newsevents/press/bcreg/20151218a.htm (accessed Oct. 20, 2016). Board of Governors of the Federal Reserve System and the Federal Deposit Insurance Corporation. Joint Letter on 2015 Resolution Plan Deficiencies to Bank of New York Mellon Corporation, Joint Press Release, Washington: Board of Governors and FDIC, April 2016, 2016. https://www.federalreserve.gov/newsevents/press/bcreg/bank-of-newyork-mellon-letter-20160413.pdf (accessed Oct. 20, 2016). Board of Governors of the Federal Reserve System and the Office of the Comptroller of the Currency. Regulatory Capital Rules: Regulatory Capital, Implementation of Basel III, Capital Adequacy, Transition Provisions, Prompt Corrective Action, Standardized Approach for Risk-weighted Assets, Market Discipline and Disclosure Requirements, Advanced Approaches Risk-Based Capital Rule, and Market Risk Capital Rule. Final Rule, Washington: Board of Governors and OCC, Federal Register 78, no. 198, Oct. 11, 2013. www.federalreserve.gov/reportforms/formsreview/BaselIII_20131011_ffr.pdf (accessed Oct. 14, 2016). Board of Governors of the Federal Reserve System, Office of the Comptroller of the Currency, and the Federal Deposit Insurance Corporation. Enhanced Cyber Risk Management Standards. Joint Advanced Notice of Proposed Rulemaking, Oct. 19, 2016, Washington: Board of Governors, OCC, and FDIC. https://www.federalreserve.gov/ newsevents/press/bcreg/20161019a.htm (accessed Oct. 28, 2016). Borio, Claudio, and Mathias Drehmann. “Assessing the Risk of Banking Crises - Revisited.” BIS Quarterly Review (2009, March): 29–46. http://www.bis.org/publ/qtrpdf/r_qt0903.pdf (accessed Oct. 13, 2016). Bright, Steve, Paul Glasserman, Christopher Gregg, and Hashim Hamandi. “What Can We Learn from Publicly Available Data in Banks’ Living Wills?” OFR Brief no. 16-05, Washington: Office of Financial Research, May 25, 2016. financialresearch.gov/briefs/files/OFRbr_2016-05_Living-Wills.pdf (accessed Sept. 7, 2016). Brownlees, Christian, and Robert Engle. “SRISK: A Conditional Capital Shortfall Measure of Systemic Risk.” SSRN, April 4, 2016. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1611229 (accessed Sept. 7, 2016). Bibliography 107
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OFFICE OF FINANCIAL RESEARCH 2016 F
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Contents Executive Summary ........
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Chapter 2 provides deeper analysis
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of sharp decreases in U.S. equity a
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1 Financial Stability Assessment Ov
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Figure 3. Real GDP Growth (year-ove
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Figure 8. Ten-Year U.S. Treasury Yi
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Monitoring Shadow Banking Risks The
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An earlier OFR paper proposed an ac
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Figure 17. Size, Liquidity, and Con
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Figure 19. Top Systemic Risk Scores
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The analysis pointed to seven key t
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could. In early 2016, investor conc
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earnings or share issuance. But red
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Fund Monitor, the OFR assessed expo
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2.2 Risks in U.S. Nonfinancial Corp
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Figure 31. U.S. Nonfinancial Corpor
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Figure 36. U.S. Corporate Bond Defa
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Commercial Real Estate Prices Have
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2.3 Cybersecurity Incidents Affecti
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Hackers Breach Bangladesh’s Centr
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Figure 42. Banks that Include an Op
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The industry is working with the pu
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Figure 46. U.S. Financial Regulator
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48 2016 | OFR Financial Stability R
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eleased the results of an unprecede
Page 58 and 59:
Figure 49. CCP Default Waterfall ($
Page 60 and 61:
Figure 50: CCP Ratios and Amounts f
Page 62 and 63: cause more-prudent CCPs to appear m
Page 64 and 65: 2.5 Pressure on U.S. Life Insurance
Page 66 and 67: The experience of Japan’s life in
Page 68 and 69: 2015). These benefits are effective
Page 70 and 71: Figure 55. Life Insurance Securitie
Page 72 and 73: Drivers of Insurers’ Systemic Ris
Page 74 and 75: 2.6 Systemic Footprints of Largest
Page 76 and 77: Interest Rates and Derivatives Expo
Page 78 and 79: Figure 63. Components of U.S. G-SIB
Page 80 and 81: Figure 66. Five-Year Changes to G-S
Page 82 and 83: 2.7 Deficiencies in Data and Data M
Page 84 and 85: Figure 68. Examples of Key Post-Cri
Page 86 and 87: Broader Adoption of Data Standards
Page 88 and 89: Better Regulatory Sharing Needed Th
Page 90 and 91: The U.S. Census Bureau surveys publ
Page 92 and 93: The group will also consider how th
Page 94 and 95: and contracts would be crucial. The
Page 96 and 97: Figure 72. Scaling of Data Validati
Page 99 and 100: Glossary 10-Year, 10-Year Forward R
Page 101 and 102: Conditional Value-at-Risk (CoVaR) C
Page 103 and 104: Fire Sale Form N-MFP Form PF Fundin
Page 105 and 106: Liquidity Risk Liquidity Transforma
Page 107 and 108: Pension Funded Ratio Pension Risk T
Page 109 and 110: Stress Test Supplemental Leverage R
Page 111: Bibliography Adrian, Tobias, and Ma
Page 115 and 116: www.richmondfed.org/~/media/richmon
Page 117 and 118: Her Majesty’s Government and Mars
Page 119 and 120: Paul, Ruma. “Bangladesh hopes to
Page 121: Zetter, Kim. “That Insane, 18M Ba
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