## Figure 1.11. Measures of Leverage and Investment Funds with Derivatives-Embedded Leverage

## Source details

**Canonical URL:** [Figure 1.11. Measures of Leverage and Investment Funds with Derivatives-Embedded Leverage](https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/pdf/figure1-11.pdf)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2018/april/ch1/pdf/figure1-11.pdf.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2018/april/ch1/pdf/figure1-11.pdf.json)

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### Synthetic CDO Issuance
- Title: "1. Synthetic CDO Issuance (Billions of US dollars)"
- Chart axis and annotation values present in figure: "0", "700", "1000", "2,000", "3,000"
- Caption summary from source: "Although well below precrisis levels, synthetic CDO issuance is coming back ..."

### Margin Debt from Stock Borrowing and Net Exposure of Investors with Margin Debt
- Title: "2. Margin Debt from Stock Borrowing"
- Title: "3. Net Exposure of Investors with Margin Debt (Percentage of market capitalization)"
- Chart axis and annotation values present in figure: "0", "700", "–1.5", "2.0", "0.0", "2.0", "4.0", "–1.0", "–0.5", "0.0", "0.5", "1.0", "1.5"
- Time series labels appearing in figure: "1992", "94", "96", "98", "2000", "2004", "06", "08", "10", "12", "14", "16", "2013–14", "2014–15", "2015–16", "2016–17"
- Legend / series labels from figure:
  - "Margin debt (billions of US dollars, left scale)"
  - "Margin debt (percent of market capitalization, right scale)"
  - "Investor positive net exposure (margin debt < free cash + credit balance in margin accounts)"
  - "Investor negative net exposure (margin debt > free cash + credit balance in margin accounts)"
- Caption summary from source:
  - "... with elevated stock borrowing by margin indicating greater leverage risk in US equity markets ..."
  - "... and net exposures in margin accounting for stock borrowing reaching record negative levels."

### Assets under Management of Selected Bond Funds
- Title: "4. Assets under Management of Selected Bond Funds (Trillions of US dollars)"
- Chart axis and annotation values present in figure: "0.5", "0.9", "1.3", "1.7", "2.1", "2.5", "100", "150", "200", "250", "300", "350", "400"
- Time series labels appearing in figure: "2013–14", "2014–15", "2015–16", "2016–17"
- Caption summary from source: "There is strong growth in the AUM of selected large regulated bond funds that use derivatives ..."

### Average Derivatives Leverage of Selected Bond Funds
- Title: "5. Average Derivatives Leverage of Selected Bond Funds (Gross notional exposure as a percentage of net asset value)"
- Chart axis and annotation values present in figure: "0", "20", "40", "60", "80"
- Caption summary from source: "... with rising gross notional exposures ...... that can exceed multiples of fund net asset values."

### Derivatives Leverage and AUM across the Different Funds
- Title: "6. Derivatives Leverage and AUM across the Different Funds (Gross notional exposure percentage; billions of US dollars)"
- Chart axis and annotation values present in figure: "0", "20", "40", "60", "80", "100", "200", "300", "400", "500", "600", "700", "1,000", "2,000", "3,000"
- Note from figure: "In panel 6, the data are as of the latest annual reports."
- Additional dataset notes relevant to panels:
  - "Funds active in derivatives with no reported leverage"
  - "Funds with reported leverage"
  - "Asset-weighted leverage25th percentile75th percentile"
  - "Funds with reported leverage in derivatives positions in the sample account for over $1 trillion of these assets, including the assets of the US-domiciled version of the same EU-domiciled funds that report leverage."
  - "The remaining $500 billion of assets correspond to a group of selected funds that do not report leverage in derivatives positions but are known to be active in derivatives (the funds’ latest annual reports list at least 15 derivatives positions)."
  - "In panels 2 and 3, margin debt data may also include nonequity securities such as bonds."
  - "AUM = assets under management; CDO = collateralized debt obligation."

*Sources: Annual reports of selected regulated investment funds; Bloomberg Finance L.P.; Federal Reserve; Financial Industry Regulatory Authority; ICE Bank of America Merrill Lynch; and IMF staff estimates.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/pdf/figure1-11.pdf_