Networks of counterparties in the centrally cleared EU ... of counterparties in the centrally cleared EU-wide interest rate derivatives market1 ... Bank 608 184 591 ... Access to liquidity

  • View
    212

  • Download
    0

Embed Size (px)

Text of Networks of counterparties in the centrally cleared EU ... of counterparties in the centrally...

  • Networks of counterparties in the centrally cleared EU-wideinterest rate derivatives market1

    Pawe l Fiedor Sarah Lapschies Lucia Orszaghova,,

    European Systemic Risk Board Secretariat

    Narodna banka Slovenska

    University of Economics in Bratislava

    1The views expressed are not necessarily the views of the ESRB, or the ESCB.

  • Overview of the presentation

    Dataset

    Results

    Conclusions

  • What data do we use?

  • Dataset

    All open centrally cleared interest rate derivative contracts in the EU:

    I From all 6 trade repositories

    I Including both house & client clearing

    Trade Repository # of contracts

    UnaVista 2,352,891DTCC OTC 1,541,691DTCC ETD 149,476Regis-TR 102,349KDPW 7,588CME 3,076ICE 268

    Total 4,157,339 0.0

    0.2

    0.4

    0.6

    0.8

    1e+05 1e+08 1e+11Notional amount (EUR)

    Den

    sity

  • Dataset

    All open centrally cleared interest rate derivative contracts in the EU:

    I From all 6 trade repositories

    I Including both house & client clearing

    Trade Repository # of contracts

    UnaVista 2,352,891DTCC OTC 1,541,691DTCC ETD 149,476Regis-TR 102,349KDPW 7,588CME 3,076ICE 268

    Total 4,157,339 0.0

    0.2

    0.4

    0.6

    0.8

    1e+05 1e+08 1e+11Notional amount (EUR)

    Den

    sity

  • Dataset

    All open centrally cleared interest rate derivative contracts in the EU:

    I From all 6 trade repositories

    I Including both house & client clearing

    Trade Repository # of contracts

    UnaVista 2,352,891DTCC OTC 1,541,691DTCC ETD 149,476Regis-TR 102,349KDPW 7,588CME 3,076ICE 268

    Total 4,157,339 0.0

    0.2

    0.4

    0.6

    0.8

    1e+05 1e+08 1e+11Notional amount (EUR)

    Den

    sity

  • Dataset

    All open centrally cleared interest rate derivative contracts in the EU:

    I From all 6 trade repositories

    I Including both house & client clearing

    Trade Repository # of contracts

    UnaVista 2,352,891DTCC OTC 1,541,691DTCC ETD 149,476Regis-TR 102,349KDPW 7,588CME 3,076ICE 268

    Total 4,157,339 0.0

    0.2

    0.4

    0.6

    0.8

    1e+05 1e+08 1e+11Notional amount (EUR)

    Den

    sity

  • Dataset

    All open centrally cleared interest rate derivative contracts in the EU:

    I From all 6 trade repositories

    I Including both house & client clearing

    Trade Repository # of contracts

    UnaVista 2,352,891DTCC OTC 1,541,691DTCC ETD 149,476Regis-TR 102,349KDPW 7,588CME 3,076ICE 268

    Total 4,157,339 0.0

    0.2

    0.4

    0.6

    0.8

    1e+05 1e+08 1e+11Notional amount (EUR)

    Den

    sity

  • Dataset

    All open centrally cleared interest rate derivative contracts in the EU:

    I From all 6 trade repositories

    I Including both house & client clearing

    Trade Repository # of contracts

    UnaVista 2,352,891DTCC OTC 1,541,691DTCC ETD 149,476Regis-TR 102,349KDPW 7,588CME 3,076ICE 268

    Total 4,157,339 0.0

    0.2

    0.4

    0.6

    0.8

    1e+05 1e+08 1e+11Notional amount (EUR)

    Den

    sity

  • Dataset

    All open centrally cleared interest rate derivative contracts in the EU:

    I From all 6 trade repositories

    I Including both house & client clearing

    Trade Repository # of contracts

    UnaVista 2,352,891DTCC OTC 1,541,691DTCC ETD 149,476Regis-TR 102,349KDPW 7,588CME 3,076ICE 268

    Total 4,157,339

    0.0

    0.2

    0.4

    0.6

    0.8

    1e+05 1e+08 1e+11Notional amount (EUR)

    Den

    sity

  • Dataset

    All open centrally cleared interest rate derivative contracts in the EU:

    I From all 6 trade repositories

    I Including both house & client clearing

    Trade Repository # of contracts

    UnaVista 2,352,891DTCC OTC 1,541,691DTCC ETD 149,476Regis-TR 102,349KDPW 7,588CME 3,076ICE 268

    Total 4,157,339 0.0

    0.2

    0.4

    0.6

    0.8

    1e+05 1e+08 1e+11Notional amount (EUR)

    Den

    sity

  • What kind of companies are in the network?

  • Institutions

    We have a variety of institutions present in the centrally cleared IRD market:

    Type of institution Full House Client

    CCP 17 17 0G16 16 15 16Bank 608 184 591Other financial 5,438 492 5,246Insurance & pension 420 7 419Non-financial 86 12 82

    Total 6,585 727 6,354

  • Institutions

    We have a variety of institutions present in the centrally cleared IRD market:

    Type of institution Full House Client

    CCP 17 17 0G16 16 15 16Bank 608 184 591Other financial 5,438 492 5,246Insurance & pension 420 7 419Non-financial 86 12 82

    Total 6,585 727 6,354

  • Institutions

    We have a variety of institutions present in the centrally cleared IRD market:

    Type of institution Full House Client

    CCP 17 17 0G16 16 15 16Bank 608 184 591Other financial 5,438 492 5,246Insurance & pension 420 7 419Non-financial 86 12 82

    Total 6,585 727 6,354

  • Institutions

    We have a variety of institutions present in the centrally cleared IRD market:

    Type of institution Full House Client

    CCP 17 17 0G16 16 15 16Bank 608 184 591Other financial 5,438 492 5,246Insurance & pension 420 7 419Non-financial 86 12 82

    Total 6,585 727 6,354

  • Institutions

    We have a variety of institutions present in the centrally cleared IRD market:

    Type of institution Full House Client

    CCP 17 17 0G16 16 15 16Bank 608 184 591Other financial 5,438 492 5,246Insurance & pension 420 7 419Non-financial 86 12 82

    Total 6,585 727 6,354

  • What does the network look like?

  • The network structure

    Around 90% of the counterparty relations are on the client clearing side.

  • The network structure

    The full network has three tiers: inner core, outer core, and periphery.

  • The network structure

    House clearing network (on the left) has a different structure: only two tiers.

  • The network structure

    The inner core, of mostly large dealers, creates the backbone of the network.

  • Is the network stable over time?

  • Persistence across time

    The network is relatively stable between Q3 & Q4 of 2016, including thecounterparty relations.

  • Persistence across time

    The network is relatively stable between Q3 & Q4 of 2016, including thecounterparty relations.

    CC

    PC

    MC

    MC

    lientFU

    LL

    AUD BRL CAD CHF CLP CZK DKK EUR GBP HKD HUF JPY MXN NOK NZD PLN SEK SGD USD ZAR

    0.00

    0.25

    0.50

    0.75

    1.00

    0.00

    0.25

    0.50

    0.75

    1.00

    0.00

    0.25

    0.50

    0.75

    1.00

    Currency

    % o

    f edg

    es

    common only in one period

    CC

    PC

    MC

    MC

    lientFU

    LL

    2016

    2017

    2018

    2019

    2020

    2021

    2022

    2023

    2024

    2025

    2026

    2027

    2028

    2029

    2030

    2031

    2032

    2033

    2034

    2035

    2036

    2037

    2038

    2039

    2040

    2041

    2042

    2043

    2044

    2045

    2046

    2047

    2048

    2049

    2050

    2051

    2052

    2053

    2054

    2055

    2056

    2057

    2058

    2059

    2060

    2061

    2062

    2063

    2064

    2065

    2066

    0.00

    0.25

    0.50

    0.75

    1.00

    0.00

    0.25

    0.50

    0.75

    1.00

    0.00

    0.25

    0.50

    0.75

    1.00

    Maturity year

    % o

    f edg

    es

    common only in one period

  • What can we find in the networks?

  • Average number of counterparty relations by type

    Difference between the full network and the house cleaning network by maturity

    BANK CCP G16 INSURANCE & PENSION NONFINANCIAL OTHER FINANCIAL

    2020

    2030

    2040

    2050

    2060

    2020

    2030

    2040

    2050

    2060

    2020

    2030

    2040

    2050

    2060

    2020

    2030

    2040

    2050

    2060

    2020

    2030

    2040

    2050

    2060

    2020

    2030

    2040

    2050

    2060

    1

    10

    100

    Maturity year

    Deg

    ree

    BANK CCP G16 INSURANCE & PENSION NONFINANCIAL OTHER FINANCIAL

    2020

    2030

    2040

    2050

    2060

    2020

    2030

    2040

    2050

    2060

    2020

    2030

    2040

    2050

    2060

    2020

    2030

    2040

    2050

    2060

    2020

    2030

    2040

    2050

    2060

    2020

    2030

    2040

    2050

    2060

    1

    10

    Maturity year

    Deg

    ree

  • Average number of counterparty relations by type

    Difference between the full network and the house cleaning network by currency

    0

    50

    100

    150

    200

    AUD BRL CAD CHF CLP CZK DKK EUR GBP HKD HUF JPY KRW MXN MYR NOK NZD PLN SEK SGD USD ZARCurrency

    Deg

    ree

    TYPEBANK

    CCP

    G16

    INSURANCE & PENSION

    NONFINANCIAL

    OTHER FINANCIAL

    0

    20

    40

    60

    AUD BRL CAD CHF CLP CZK DKK EUR GBP HKD HUF JPY MXN MYR NOK NZD PLN SEK SGD USD ZARCurrency

    Deg

    ree

    TYPEBANK

    CCP

    G16

    INSURANCE & PENSION

    NONFINANCIAL

    OTHER FINANCIAL

  • Are the networks stable if we remove counterparties?

  • Random removal of counterparties by type

    We remove a number of institution at random and see how many additionalones are disconnected with the main com