CCP auction design

• 成果类型: Article
• 署名作者: Huang, Wenqian; Zhu, Haoxiang
• 署名单位: Bank for International Settlements (BIS); Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2024.105826
• 发表日期: 2024
• 关键词: Central counterparty (CCP); auction; Default management

摘要

Central counterparties (CCPs) are systemically important. When a clearing member defaults, the CCP sells the defaulted portfolio to surviving members in an auction, and losses, if any, are partly absorbed by a cash pool prefunded by the surviving members. We propose a tractable auction model that incorporates this salient feature. We find that juniorization - the CCP first uses prefunded cash of members who submit bad bids - increases the auction price. However, too aggressive juniorization can reduce members' total profit, presenting a misalignment between the CCP's objective and that of the members. A wider customer participation can increase both the auction price and the total profit of members and customers.