## Derivative Margin Calls: A New Driver of MMF Flows

_IMF Working Papers, March 17, 2023_

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**Canonical URL:** [Derivative Margin Calls: A New Driver of MMF Flows](https://www.imf.org/en/publications/wp/issues/2023/03/17/derivative-margin-calls-a-new-driver-of-mmf-flows-530401)

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## Bibliographic details
- Authors: Maddalena Ghio, Linda Rousova, Dilyara Salakhova, Germán Villegas-Bauer
- Published: March 17, 2023
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9798400233937.001

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### Summary
- Paper investigates whether volatility in MMF flows during the March 2020 market turmoil was driven by investors’ liquidity needs related to derivative margin payments.
- During the March 2020 market turmoil, euro area money-market funds (MMFs) experienced significant outflows, reaching almost 8% of assets under management.
- Authors: Maddalena Ghio, Linda Rousova, Dilyara Salakhova, Germán Villegas-Bauer.
- Date: March 17, 2023.

### Data and methodology
- Constructed a daily fund-level panel dataset spanning from February to April 2020.
- Combined three highly granular unique data sources:
  - EMIR data for derivatives.
  - SHSS data for investor holdings of MMFs.
  - Refinitiv Lipper data for daily MMF flows.
- Estimated effects of variation margin paid and received by the largest holders of EUR-denominated MMFs on flows of these MMFs.

### Main findings
- Variation margin payments faced by some investors holding MMFs were an important driver of the flows of EUR-denominated MMFs domiciled in euro area.
- The analysis links investor-level derivative margin payments (variation margin) to fund-level redemption dynamics during the stress episode.

### Subjects and keywords (selected)
- Asset and liability management, Derivative markets, Financial institutions, Financial markets, Liquidity, Mutual funds, Nonbank financial institutions, Pension spending, Stocks.
- Keywords include: big data; derivative margin calls; Derivative markets; derivatives reform; EUR-denominated MMFs; Global; IMF working paper research Department; interconnectedness; Liquidity; liquidity risk; margin payment; MMF flow; money market funds; Mutual funds; non-bank financial intermediaries.; Nonbank financial institutions; Pension spending; Stocks; variation margin payment; VM flow.

*Source: Derivative Margin Calls: A New Driver of MMF Flows (IMF Working Paper No. 2023/061).*

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_Source: https://www.imf.org/en/publications/wp/issues/2023/03/17/derivative-margin-calls-a-new-driver-of-mmf-flows-530401_