大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Pricing Implications of Market Reforms in an OTC Derivative Market: Evidences from IRS Transaction-Level Data

曽根泰平（日本銀行）

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4. Pricing Implications of Market Reforms in an OTC Derivative Market: Evidences from IRS Transaction-Level Data

大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第130回

Pricing Implications of Market Reforms in an OTC Derivative Market: Evidences from IRS Transaction-Level Data

曽根泰平（日本銀行）

After the great financial crisis in the late 2000s, transactions ex- ecuted in dealer-to-dealer (D2D) segment of over-the-counter (OTC) derivative markets started to face a set of new regulations. These reforms serve as natural experiments to document the responses of derivative price to the reinforced financial regulations and help us to understand the cost of the reforms. Using the data covering the uni- verse of JPY-denominated interest rate swap (IRS) contracts involving at least one Japan-based entity and made from April 2013 to Decem- ber 2020, we find the following novel facts: First, in the D2D segment, the CCP mandate leads to the higher cost of central clearing while the new margining rules temporarily lead to the higher cost of bilat- eral clearing, both of which are consistent with XVA. Second, higher central clearing demand due to the CCP mandate further leads to higher cost of central clearing in dealer-to-customer (CCP-D2C) and customer-to-dealer (CCP-C2D) segments. Third, dealers pass-through the XVA-related cost to the transactions in D2C-nonCCP segment. These results illustrate the multiple channels through which the newly introduced reforms affect derivative prices.