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Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market


  • Fiedor, Paweł
  • Lapschies, Sarah
  • Orszaghova, Lucia


We perform a network analysis of the centrally cleared interest rate derivatives market in the European Union, by looking at counterparty relations within both direct (house) clearing and client clearing. Since the majority of the gross notional is transferred within central counterparties and their clearing members, client clearing is often neglected in the literature, despite its significance in terms of net exposures. We find that the client clearing structure is very strongly interconnected and contains on the order of 90% of the counterparty relations in the interest rate derivatives market. Moreover, it is more diverse in terms of geography and sectors of the financial market the counterparties are associated with. Client clearing is also significantly more volatile in time than direct clearing. These findings underline the importance of analysing the structure and stability of both direct and client clearing of the interest rate derivatives market in Europe, to improve understanding of this important market and potential contagion mechanisms within it. JEL Classification: G10, L14, G23

Suggested Citation

  • Fiedor, Paweł & Lapschies, Sarah & Orszaghova, Lucia, 2017. "Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market," ESRB Working Paper Series 54, European Systemic Risk Board.
  • Handle: RePEc:srk:srkwps:201754

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    References listed on IDEAS

    1. D’Errico, Marco & Battiston, Stefano & Peltonen, Tuomas & Scheicher, Martin, 2018. "How does risk flow in the credit default swap market?," Journal of Financial Stability, Elsevier, vol. 35(C), pages 53-74.
    2. Torsten Ehlers & Egemen Eren, 2016. "The changing shape of interest rate derivatives markets," BIS Quarterly Review, Bank for International Settlements, December.
    3. Duffie, Darrell & Scheicher, Martin & Vuillemey, Guillaume, 2015. "Central clearing and collateral demand," Journal of Financial Economics, Elsevier, vol. 116(2), pages 237-256.
    4. Ali, Robleh & Vause, Nicholas & Zikes, Filip, 2016. "Systemic risk in derivatives markets: a pilot study using CDS data," Bank of England Financial Stability Papers 38, Bank of England.
    5. Jorge Abad & Iñaki Aldasoro & Christoph Aymanns & Marco D'Errico & Linda Fache Rousová & Peter Hoffmann & Sam Langfield & Martin Neychev & Tarik Roukny, 2016. "Shedding light on dark markets: First insights from the new EU-wide OTC derivatives dataset," ESRB Occasional Paper Series 11, European Systemic Risk Board.
    6. Olga Cielinska & Andreas Joseph & Ujwal Shreyas & John Tanner & Michalis Vasios, 2017. "Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging," IFC Bulletins chapters, in: Bank for International Settlements (ed.),Statistical implications of the new financial landscape, volume 43, Bank for International Settlements.
    7. Krahnen, Jan Pieter & Pelizzon, Loriana, 2016. ""Predatory" margins and the regulation and supervision of central counterparty clearing houses (CCPs)," SAFE White Paper Series 41, Leibniz Institute for Financial Research SAFE.
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    Cited by:

    1. Iman van Lelyveld, 2017. "The use of derivatives trade repository data: possibilities and challenges," IFC Bulletins chapters, in: Bank for International Settlements (ed.),Data needs and Statistics compilation for macroprudential analysis, volume 46, Bank for International Settlements.
    2. Rosati, Simonetta & Vacirca, Francesco, 2019. "Interdependencies in the euro area derivatives clearing network: a multi-layer network approach," Working Paper Series 2342, European Central Bank.
    3. Dalla Fontana, Silvia & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019. "The anatomy of the euro area interest rate swap market," Working Paper Series 2242, European Central Bank.
    4. Alfranseder, Emanuel & Fiedor, Paweł & Lapschies, Sarah & Orszaghova, Lucia & Sobolewski, Paweł, 2018. "Indicators for the monitoring of central counterparties in the EU," ESRB Occasional Paper Series 14, European Systemic Risk Board.

    More about this item


    central counterparties; client clearing; EMIR data; financial networks; interconnectedness; interest rate derivatives; systemic risk;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors


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