ECB paper analyses eurozone’s interest rate swap market
Trading is concentrated around a small number of core participants, researchers find
A working paper published by the European Central Bank gives what its authors call the “first comprehensive analysis” of the eurozone’s interest rate swap market.
In The anatomy of the euro area interest rate swap market, Silvia Dalla Fontana et al use data on 1.7 million interest rate swap transactions. The European Market Infrastructure Regulation made it mandatory for firms to use centralised clearing houses for their IRS transactions, and to give regulators information on them.
The authors
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