压缩场外交易市场
Compressing Over-the-Counter Markets
摘要：
场外交易市场是危机后全球金融体系改革的中心。我们展示了当参与者进行投资组合压缩（一种交易后净额结算技术）时，此类市场的规模和结构如何发生快速而广泛的变化。许多大型场外交易市场的交易结构紧密而集中，特别容易受到压缩活动导致的名义价值下降和网络结构重新配置的影响。使用信用违约互换市场的交易级数据，我们估计了自全球金融危机以来这些市场的历史发展水平。最后，我们研究了集中清算场外交易市场的授权的影响。当参与者同时进行中央清算和投资组合压缩时，如果清算所激增，我们会发现大的净额结算失败。允许清算所之间的压缩基本上抵消了这种不利影响。
英文摘要：
Over-the-counter markets are at the center of the postcrisis global reform of the financial system. We show how the size and structure of such markets can undergo rapid and extensive changes when participants engage in portfolio compression, a post-trade netting technology. Tightly-knit and concentrated trading structures, as featured by many large over-the-counter markets, are especially susceptible to reductions of notional and reconfigurations of network structure resulting from compression activities. Using transaction-level data on credit-default-swaps markets, we estimate reduction levels consistent with the historical development observed in these markets since the Global Financial Crisis. Finally, we study the effect of a mandate to centrally clear over-the-counter markets. When participants engage in both central clearing and portfolio compression, we find large netting failures if clearinghouses proliferate. Allowing for compression across clearinghouses by-and-large offsets this adverse effect.
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