סמינר במימון חשבונאות

Angelo Ranaldo, University of St Gallen and the Swiss Finance Institute

We provide the first systematic study of interest rate swaps traded over-the-counter (OTC) in the new regulatory regime. Using trade repository data at transaction and ID levels, we find substantial heterogeneity in derivatives prices. The same derivative contract costs significantly more if bilaterally cleared (non-CCP) rather than centrally cleared (CCP), and with higher counterparty credit risk, notional, and longer maturity. These OTC premia decrease when initial margin is exchanged and favour dealers in the dealer-to-client segment. The rationale of these OTC premia is the increase of inventory costs induced by recent financial regulation that are passed on market prices through so-called valuation adjustments (XVA).