Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...

Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...

Under the New Basel Accord bank capital adequacy rules (Pillar 1) are substantially revised but the introduction of two new quot;Pillarsquot; is, perhaps, of even greater significance. This paper focuses on Pillar 2 which expands the range of instruments available to the regulator when...