OTC premia

• 成果类型: Article
• 署名作者: Cenedese, Gino; Ranaldo, Angelo; Vasios, Michalis
• 署名单位: University of St Gallen; Bank of England
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.09.010
• 发表日期: 2020
• 页码: 86-105
• 关键词: Interest rate swaps; Financial regulation; Central clearing; Over-the-counter market; Valuation adjustments

摘要

Using unique data at transaction and identity levels, we provide the first systematic study of interest rate swaps traded over the counter (OTC). We find substantial and persistent heterogeneity in derivative prices consistent with a pass-through of regulatory costs on to market prices via so-called valuation adjustments (XVA). A client pays a higher price to buy interest rate protection from a dealer (i.e., the client pays a higher fixed rate) if the contract is not cleared via a central counterparty. This OTC premium decreases by posting initial margins and with higher buyer's creditworthiness. OTC premia are absent for dealers suggesting bargaining power. (C) 2019 The Author(s). Published by Elsevier B.V.