The demand for central clearing: to clear or not to clear, that is the question!
- This paper empirically analyses whether post-global financial crisis regulatory reforms have created appropriate incentives to voluntarily centrally clear over-the-counter (OTC) derivative contracts. We use confidential European trade repository data on single-name sovereign credit default swap (CDS) transactions and show that both seller and buyer manage counterparty exposures and capital costs, strategically choosing to clear when the counterparty is riskier. The clearing incentives seem particularly responsive to seller credit risk, which is in line with the notion that counterparty credit risk (CCR) is asymmetric in CDS contracts. The riskiness of the underlying reference entity also impacts the decision to clear as it affects both CCR capital charges for OTC contracts and central counterparty clearing house (CCP) margins for cleared contracts. Lastly, we find evidence that when a transaction helps netting positions with the CCP and hence lower margins, the likelihood of clearing is higher.
Verfasserangaben: | Mario BelliaORCiDGND, Giulio GirardiGND, Roberto Calogero PanzicaGND, Loriana PelizzonORCiDGND, Tuomas PeltonenGND |
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URN: | urn:nbn:de:hebis:30:3-829767 |
DOI: | https://doi.org/10.1016/j.jfs.2024.101247 |
ISSN: | 1572-3089 |
Titel des übergeordneten Werkes (Englisch): | Journal of financial stability |
Verlag: | Elsevier |
Verlagsort: | Amsterdam |
Dokumentart: | Wissenschaftlicher Artikel |
Sprache: | Englisch |
Datum der Veröffentlichung (online): | 24.02.2024 |
Datum der Erstveröffentlichung: | 16.02.2024 |
Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Datum der Freischaltung: | 01.03.2024 |
Freies Schlagwort / Tag: | Central counterparty clearing house (CCP); Credit default swap (CDS); European Market Infrastructure Regulation (EMIR); Sovereign CDS |
Jahrgang: | 2024 |
Ausgabe / Heft: | 101247, In Press, Journal Pre-proof |
Aufsatznummer: | 101247 |
Seitenzahl: | 62 |
HeBIS-PPN: | 519279719 |
Institute: | Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) |
DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
JEL-Klassifikation: | G Financial Economics / G1 General Financial Markets / G18 Government Policy and Regulation |
G Financial Economics / G2 Financial Institutions and Services / G28 Government Policy and Regulation | |
G Financial Economics / G3 Corporate Finance and Governance / G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure | |
Sammlungen: | Universitätspublikationen |
Lizenz (Deutsch): | Creative Commons - Namensnennung 4.0 |