TY  - UNPD
A1  - Dalla Fontana, Silvia
A1  - Holz auf der Heide, Marco
A1  - Pelizzon, Loriana
A1  - Scheicher, Martin
T1  - The anatomy of the Euro area interest rate swap market
T2  - SAFE working paper series ; No. 255
N2  - Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral IRS transactions of banks and non-banks. Our key results are as follows: 
1) The euro area IRS market is highly standardised and concentrated around the group of the G16 Dealers but also around a significant group of core “intermediaries"(and major CCPs). 
2) Banks are active in all segments of the IRS euro market, whereas non-banks are often specialised. 
3) When using relative net exposures as a proxy for the “flow of risk" in the IRS market, we find that risk absorption takes place in the core as well as the periphery of the network but in absolute terms the risk absorption is largely at the core. 
4) Among the Basel III capital and liquidity ratios, the leverage ratio plays a key role in determining a bank's IRS trading activity.
T3  - SAFE working paper - 255 
KW  - OTC derivatives
KW  - network analysis
KW  - interest rate risk
KW  - banking
KW  - risk management
KW  - hedging
Y1  - 2019
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/50923
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-509232
UR  - https://ssrn.com/abstract=3431052
IS  - This version: June 2019
PB  - SAFE
CY  - Frankfurt am Main
ER  -