Arbeitspapier
The anatomy of the euro area interest rate swap market
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. 4) Among the Basel III capital and liquidity ratios, the leverage ratio plays a key role in determining a bank's IRS trading activity. 5) Also, after mandatory central clearing, there is still a large dispersion in IRS transaction prices, which is partly determined by bank characteristics, such as the leverage ratio.
- ISBN
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978-92-899-3504-3
- Language
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Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 2242
- Classification
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Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
- Subject
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OTC derivatives
network analysis
interest rate risk
banking
risk management
hedging
- Event
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Geistige Schöpfung
- (who)
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Fontana, Silvia Dalla
Holz auf der Heide, Marco
Pelizzon, Loriana
Scheicher, Martin
- Event
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Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
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Frankfurt a. M.
- (when)
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2019
- DOI
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doi:10.2866/610799
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fontana, Silvia Dalla
- Holz auf der Heide, Marco
- Pelizzon, Loriana
- Scheicher, Martin
- European Central Bank (ECB)
Time of origin
- 2019