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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 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? 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

11:15 a.m. - 11:45 a.m.	The Risk of Fire Sales in the Tri-Party Repo Market 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 Fire-Sale Spillovers and Systemic Risk Fernando Duarte, Financial Economist, Federal Reserve Bank of New York Thomas Eisenbach, Financial Economist, Federal Reserve Bank of New York (presenter) Presentation

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 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

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 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

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