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Article dans une revue Journal of Financial Markets Année : 2023

On the choice of central counterparties in the EU

Résumé

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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Dates et versions

halshs-04156082, version 1 (07-07-2023)

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Gabrielle Demange, Thibaut Piquard. On the choice of central counterparties in the EU. Journal of Financial Markets, 2023, 64, pp.100819. ⟨10.1016/j.finmar.2023.100819⟩. ⟨halshs-04156082⟩
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