On the choice of central counterparties in the EU

Gabrielle Demange and Thibaut Piquard
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Thibaut Piquard: Banque de France - Banque de France - Banque de France

PSE-Ecole d'économie de Paris (Postprint) from HAL

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.

Keywords: Central counter-party; Central clearing; Dealers; Collateral (search for similar items in EconPapers)
Date: 2023-06
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Published in Journal of Financial Markets, 2023, 64, ⟨10.1016/j.finmar.2023.100819⟩

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Journal Article: On the choice of central counterparties in the EU (2023)
Working Paper: On the choice of central counterparties in the EU (2023)
Working Paper: On the Choice of Central Counterparties in the EU (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:pseptp:halshs-04156082

DOI: 10.1016/j.finmar.2023.100819

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