On the choice of central counterparties in the EU

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-06-01 DOI:10.1016/j.finmar.2023.100819

Gabrielle Demange , Thibaut Piquard

引用次数: 0

Abstract

We study competition between European Union’s Central CounterParties (CCPs) on the credit default swap (CDS) market. Using data on market shares, we show that CCPs have a monopoly for single-name CDSs and compete on indices along various dimensions. Using transactions data, we focus on the major dealers who alternatively clear their transactions on the two main CCPs. Estimating their choice of CCP reveals that fees, CCPs’ robustness and activity, dealers’ risk, and market volatility are significant. Dealers’ positions indicate that saving on collateral costs is secondary relative to the benefits of dual membership and quality.

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关于欧盟中央交易对手的选择

我们研究了欧盟中央对手（CCP）在信用违约掉期（CDS）市场上的竞争。利用市场份额数据，我们发现CCP垄断了单一名称的CDS，并在不同维度的指数上竞争。使用交易数据，我们将重点关注在两个主要CCP上交替结算交易的主要交易商。估计他们对CCP的选择表明，费用、CCP的稳健性和活动性、经销商的风险和市场波动性都是显著的。经销商的立场表明，相对于双重会员资格和质量的好处，节省抵押品成本是次要的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.