In the event of a clearing member's default, and as part of its default management process, a central counterparty (CCP) will need to hedge the defaulter's portfolio and to close-out its positions. However, the CCP may not be able to do this without incurring additional losses if the market is...

Using primary dealer transactional data from the UK government bond (gilt) market, we identify a new channel through which dealer funding constraints may impair liquidity in two-tiered OTC markets. The key finding is that funding constraints also inhibit dealers' ability to accommodate each...

We use proprietary transactional data to examine the determinants of liquidity in the UK government bond (gilt) market, over a rich sample period that covers both the financial crisis of 2008–09 as well as the onset of the subsequent euro-zone sovereign debt crisis. During this period, gilt...