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Pozsar (2010): Shadow Banking
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Shadow Banking
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2010
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Eine veränderte Fassung von 2012 als zusätzliche PDF-Datei enthalten.
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The rapid growth of the market-based financial system since the mid-1980s changed the nature of financial intermediation in the United States profoundly. Within the market-based financial system, ″shadow banks″ are particularly important institutions. Shadow banks are financial intermediaries that conduct maturity, credit, and liquidity transformation without access to central bank liquidity or public sector credit guarantees. Examples of shadow banks include finance companies, asset-backed commercial paper (ABCP) conduits, limited-purpose finance companies, structured investment vehicles, credit hedge funds, money market mutual funds, securities lenders, and government-sponsored enterprises.

Shadow banks are interconnected along a vertically integrated, long intermediation chain, which intermediates credit through a wide range of securitization and secured funding techniques such as ABCP, asset-backed securities, collateralized debt obligations, and repo. This intermediation chain binds shadow banks into a network, which is the shadow banking system. The shadow banking system rivals the traditional banking system in the intermediation of credit to households and businesses. Over the past decade, the shadow banking system provided sources of inexpensive funding for credit by converting opaque, risky, long-term assets into money-like and seemingly riskless short-term liabilities. Maturity and credit transformation in the shadow banking system thus contributed significantly to asset bubbles in residential and commercial real estate markets prior to the financial crisis.

We document that the shadow banking system became severely strained during the financial crisis because, like traditional banks, shadow banks conduct credit, maturity, and liquidity transformation, but unlike traditional financial intermediaries, they lack access to public sources of liquidity, such as the Federal Reserve′s discount window, or public sources of insurance, such as federal deposit insurance. The liquidity facilities of the Federal Reserve and other government agencies′ guarantee schemes were a direct response to the liquidity and capital shortfalls of shadow banks and, effectively, provided either a backstop to credit intermediation by the shadow banking system or to traditional banks for the exposure to shadow banks. Our paper documents the institutional features of shadow banks, discusses their economic roles, and analyzes their relation to the traditional banking system.

Part I—Shadow Banking
I.1 What Is Shadow Credit Intermediation?
I.2 The Shadow Credit Intermediation Process
I.3 The Instruments of Shadow Credit Intermediation
I.4 The Shadow Banking System
I.4.1 The Government-Sponsored Shadow Banking Sub-System
I.4.2 The "Internal" Shadow Banking Sub-System
I.4.2.1 The Credit Intermediation Process of Financial Holding Companies (FHCs)
I.4.2.2 The Shadow Banking Activities of European Banks
I.4.3 The "External" Shadow Banking Sub-System
I.4.3.1 The Credit Intermediation Process of Diversified Broker-Dealers (DBDs)
I.4.3.2 The Credit Intermediation Process of Independent Specialists
I.4.3.3 The Credit Insurance Services of Private Credit Risk Repositories
I.4.4 The "Parallel" Banking System
I.5 Funding the Shadow Banking System
I.5.1 The Borrowers of Wholesale Funds
I.5.2 The Providers of Wholesale Funding
I.5.3 The Continuum of Cash Management Strategies
I.6 Backstopping the Shadow Banking System
I.7 Conclusions

Part II—The Shadow Credit Intermediation Process - UNPUBLISHED
II.1 Step (1)—Loan Origination
II.1.1 Finance Companies
II.1.1.1 Standalone Finance Companies
II.1.1.2 Captive Finance Companies
II.1.1.3 FHC and DBD-Affiliated Finance Companies
II.1.2 Loan-Level Credit Risk Repositories
II.1.2.1 Public Loan-Level Credit Risk Repositories
The FHA's Credit Puts on Non-Conforming Mortgages
The DoE's Credit Puts on FFELP Student Loans
The SBA's Credit Puts on Small Business Loans
II.1.2.2 Private Loan-Level Credit Risk Repositories
Mortgage Insurers' Credit Puts on Non-Conforming Mortgages
Monoline Insurers' Credit Puts on State and Municipal Bonds
II.2 Step (2).Loan Warehousing
II.2.1 Officially-Enhanced Loan Warehousing/Funding
II.2.1.1 Federal Deposit Insurance (FDIC)
II.2.1.2 Federal Home Loan Bank Advances
II.2.1.3 Industrial Loan Companies (ILCs)
II.2.1.3 Federal Savings Banks (FSBs)
II.2.2 Privately-Enhanced Loan Warehousing/Funding
II.2.2.1 Single-Seller Conduits
II.2.2.2 Multi-Seller Conduits
II.2.2.3 Independent Conduits
II.2.2.4 Straight-A Funding, LLC
II.3 Step (3).Issuance of ABS
II.3.1 Comparing ABCP and Term ABS
II.3.2 The Role of Broker-Dealers
II.3.1.1 "Internal" Broker-Dealer Clients
II.3.1.2 "External" Broker-Dealer Clients
II.3.3 The Types of Term ABS
II.3.4 Security-Level Credit Risk Repositories
II.3.4.1 Public Security-Level Credit Risk Repositories
The GSEs' Credit Puts on Agency MBS
II.3.4.2 Private Security-Level Credit Risk Repositories
Monoline Insurers' Credit Puts on ABS and ABS CDOs
Diversified Insurance Companies' Credit Puts on ABS CDOs
Credit Derivative Product Companies' Credit Puts on Bonds
Credit Hedge Funds' Credit Puts on Bonds
II.4 Step (4).ABS Warehousing
II.4.1 Broker-Dealer Trading Books
II.4.2 Hybrid and TRS/Repo Conduits
II.5 Step (5).Issuance of ABS CDOs
II.5.1 The Evolution of CDOs: Balance Sheet CDOs ¨ Arbitrage CDOs ¨ ABS CDOs
II.5.2 A Post Mortem of ABS CDOs
II.6 Step (6).ABS Intermediation
II.6.1 The Rationale for Maturity Transformation
II.6.2 The Role of ABS Intermediaries
II.6.3 Public ABS Intermediaries
II.6.3.1 The GSEs' Retained Portfolios
II.6.4 Private ABS Intermediaries
II.6.4.1 Limited Purpose Finance Companies (LPFCs)
II.6.4.2 Structured Investment Vehicles (SIVs)
II.6.4.3 Securities Arbitrage Conduits
II.6.4.4 Credit Hedge Funds
II.6.5 ABS Intermediation
II.7 Step (7)—Wholesale Funding
II.7.1 The Tri-Party Repo System
II.7.2 The Providers of Short-Term Wholesale Funding
II.7.2.1 Regulated Money Market Intermediaries
2(a)-7 Money Market Mutual Funds (MMMFs)
2(a)-7 Treasury Only and Government Only MMMFs
2(a)-7 Repo and Prime MMMFs
II.7.2.2 Unregulated Money Market Intermediaries
Overnight Sweep Agreements
3(c)-7 Cash "Plus", Enhanced Cash and Ultra-Short Bond Funds
II.7.2.3 Direct Money Market Investors
Bank, Corporate and Other Institutional Treasurers
State and Local Government Treasurers (LGIPs)
Securities Lenders' Cash Collateral Reinvestment Accounts
High Net Worth and Ultra High Net Worth Individuals
II.7.3 The Providers of Medium- to Long-Term Wholesale Funding
II.7.3.1 Fixed Income Mutual Funds
II.7.3.2 Pension Funds
II.7.3.3 Insurance Companies

Part III—Measuring the Size of the Shadow Banking System - UNPUBLISHED
III.1 The "AuM" Approach
III.2 The Issued Liabilities Approach
III.3 What Share of the U.S. Current Account Deficit Did the Shadow Banking System Fund?

Part IV—Backstopping the Shadow Banking System - UNPUBLISHED
IV.1 Modern Financial Crises
IV.2 The Liquidity Backstops of the Shadow Banking System
IV.3 The Liability Guarantees of the Shadow Banking System
IV.4 The Timeline of Responses
IV.5 Those Who Were Not Backstopped: Was It a Mistake Not To?
Appendix of Tables - UNPUBLISHED


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