Central counterparties and liquidity provision in cash markets

Richter, Thomas

doi:10.3390/jrfm14120584

Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-26129

Publication type:	Article in scientific journal
Type of review:	Peer review (publication)
Title:	Central counterparties and liquidity provision in cash markets
Authors:	Richter, Thomas
et. al:	No
DOI:	10.3390/jrfm14120584 10.21256/zhaw-26129
Published in:	Journal of Risk and Financial Management
Volume(Issue):	14
Issue:	12
Page(s):	584
Issue Date:	2021
Publisher / Ed. Institution:	MDPI
ISSN:	1911-8074 1911-8066
Language:	English
Subjects:	Basel III; Central counterparty; Liquidity provision; Market making
Subject (DDC):	332: Financial economics
Abstract:	This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance sheet encumbrance through the use of central counterparties (CCPs). The introduction of the Basel III leverage rule constitutes a shock to market makers’ balance sheets and thus affects their capacity to intermediate trades. Using trade-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following the rule change. We attribute these findings to balance sheet reductions due to the netting enabled by CCPs, thereby highlighting their importance in cash markets.
URI:	https://digitalcollection.zhaw.ch/handle/11475/26129
Fulltext version:	Published version
License (according to publishing contract):	CC BY 4.0: Attribution 4.0 International
Departement:	School of Management and Law
Appears in collections:	Publikationen School of Management and Law

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Richter, T. (2021). Central counterparties and liquidity provision in cash markets. Journal of Risk and Financial Management, 14(12), 584. https://doi.org/10.3390/jrfm14120584

Richter, T. (2021) ‘Central counterparties and liquidity provision in cash markets’, Journal of Risk and Financial Management, 14(12), p. 584. Available at: https://doi.org/10.3390/jrfm14120584.

T. Richter, “Central counterparties and liquidity provision in cash markets,” Journal of Risk and Financial Management, vol. 14, no. 12, p. 584, 2021, doi: 10.3390/jrfm14120584.

RICHTER, Thomas, 2021. Central counterparties and liquidity provision in cash markets. Journal of Risk and Financial Management. 2021. Bd. 14, Nr. 12, S. 584. DOI 10.3390/jrfm14120584

Richter, Thomas. 2021. “Central Counterparties and Liquidity Provision in Cash Markets.” Journal of Risk and Financial Management 14 (12): 584. https://doi.org/10.3390/jrfm14120584.

Richter, Thomas. “Central Counterparties and Liquidity Provision in Cash Markets.” Journal of Risk and Financial Management, vol. 14, no. 12, 2021, p. 584, https://doi.org/10.3390/jrfm14120584.