WFE Webinar

“The cost of clearing fragmentation”

Date:Wed 28 Oct Time:13:00 PM-14:30 PM GMT

WFE Webinars are a forum for discussion and exchange of ideas on topics that are relevant to WFE members, fostering interaction with academics and regulators in an environment that facilitates an open and constructive discussion.

Event Summary

The cost of clearing fragmentation

Wed 28 Oct 13:00 - 14:30 PM GMT

Presenters: Evangelos Benos (Nottingham University) and Wenqian Huang (BIS). Paper co-authored with Albert Menkveld (VU Amsterdam; Tinbergen Institute) and Michalis Vasios (Norges Bank Investment Management).

Discussants: Udesh Jha (CME Group) and Matthias Graulich (Eurex).

Abstract: Fragmenting clearing across multiple central counterparties (CCPs) is costly. This is because dealers providing liquidity globally, cannot net trades cleared in different CCPs and this increases their collateral costs. These costs are then passed on to their clients through price distortions which take the form of a price differential (basis) when the same products are cleared in different CCPs. Using proprietary data, we document an economically significant CCP basis and provide evidence consistent with a collateral cost explanation of this basis.

Format: There will be 30 minutes for the presentation, 15 minutes for each discussant, and a 30-minute Q&A session at the end.

This is a WFE-members only event.


Moderator
  • Dr. Pedro
    Dr. Pedro Gurrola-Perez Head of Research The World Federation of Exchanges
  • Dr. Pedro Gurrola-Perez

    Head of Research The World Federation of Exchanges

    Pedro joined the World Federation of Exchanges in October 2019 from the Bank of England, where he led the Financial Market Infrastructures Directorate’s Research Team. He had joined the Bank of England in 2013,  after two years at the UK Financial Services Authority. Previously, Pedro spent more than 15 years lecturing and doing research at a range of well-regarded academic institutions, including the University of Barcelona and the Instituto Tecnológico Autónomo de México (ITAM).

    Pedro holds two PhDs: one from the University of Barcelona, Spain, and one from the University of Montpellier, France, and has published across key academic journals, including the Journal of Financial Market Infrastructures, the Journal of Risk, International Finance and the Journal of Futures Markets. His recent work includes research on the economics of distributed ledger technologies (DLT) for securities settlement,  on the network structure of settlement fails and on market liquidity risk in CCPs. He has also published research on payment systems, back-testing methodologies and on the structure of interest rate futures markets. In  2007 he received the National Award on Derivatives Research, awarded by the Mexican Derivatives Exchange (MexDer).

Presenters
Evangelos
Evangelos Benos Professor of Finance Nottingham University Business School

Evangelos Benos

Professor of Finance Nottingham University Business School

Evangelos Benos is a professor of finance at Nottingham University Business School. Prior to that he was a senior economist at the Bank of England. His work spans a range of topics related to market structure such as OTC derivatives and securities markets, high frequency trading and payment systems. Evangelos did a PhD in economics at the University of Illinois at Urbana-Champaign and has taught at various universities in the US and Europe

Udesh
Udesh Jha Managing Director, Clearing and Post Trade Division CME Group

Udesh Jha

Managing Director, Clearing and Post Trade Division CME Group

Udesh Jha is a Managing Director within the Clearing and Post-Trade division at CME Group and heads the Post Trade Services group. This group comprises three sub-groups – Risk Research, Solutions and Service Management for TriResolve & TriCalculate. In his last role within CME Group, Udesh led the Risk Research team for CME Clearing and was responsible for managing all aspects of quantitative risk modelling for the Clearinghouse. Udesh has worked at CME since 2010.

Prior to this joining CME Group, he worked at Capital One, Banc of America Securities, and QRM in different risk management roles ranging from ALM, Funds Transfer Pricing and CDO Structuring. Prior to that, Udesh was a Senior Management Consultant with IBM assisting clients with Supply Chain Management solutions across different industrial sectors.

Udesh holds a Bachelor’s degree from the Indian Institute of Technology, a Masters in Science in Civil Engineering from University of Connecticut and an MBA degree from the University of Chicago Booth School of Business.

Wenqian
Wenqian Huang Economist BIS

Wenqian Huang

Economist BIS

Wenqian Huang joined the BIS as an Economist in October 2017. Her research interests include financial market infrastructures, systemic risk and financial innovations, in particular central counterparties. She was the winner of the young economist competition in the 2017 ECB Sintra Forum on Central Banking.

Matthias
Matthias Graulich Chief Strategy Officer / Member of the Executive Board Eurex

Matthias Graulich

Chief Strategy Officer / Member of the Executive Board Eurex

Matthias Graulich took responsibility for Fixed Income, Funding & Financing Strategy and Development of Deutsche Börse AG in September 2018 and is a Member of the Executive Board of Eurex Clearing AG since August 2014.

In his Strategy and Development role within Deutsche Börse Group, he is in charge  of Strategy, Business and Product Development for listed and OTC derivatives as well as repo and securities lending across trading and clearing.

From March 2016 until August 2018 he was in charge of Cross Market Strategy leading the strategy for Eurex Clearing and Clearstream. From April 2013 until February 2016 he established and developed as Chief Client Officer and Global Head of Clients & Markets a dedicated client facing organizational unit of Eurex Clearing. Before that he took responsibility as Head of Clearing Initiatives for the implementation of Eurex Clearing’s strategic project portfolio and regulatory affairs. Since joining the Deutsche Börse Group in 2001, he has held a number of leadership and project management positions at Deutsche Börse and Eurex for various strategic projects, amongst others, the introduction of EurexOTC Clear as well as the merger and integration of the International Securities Exchange.

Graulich holds a Master of Business Administration degree from the Fuqua School of Business at Duke University in North Carolina.

Speaker Profiles

Evangelos Benos

Professor of Finance, Nottingham University Business School

Evangelos Benos is a professor of finance at Nottingham University Business School. Prior to that he was a senior economist at the Bank of England. His work spans a range of topics related to market structure such as OTC derivatives and securities markets, high frequency trading and payment systems. Evangelos did a PhD in economics at the University of Illinois at Urbana-Champaign and has taught at various universities in the US and Europe

Matthias Graulich

Chief Strategy Officer / Member of the Executive Board, Eurex

Matthias Graulich took responsibility for Fixed Income, Funding & Financing Strategy and Development of Deutsche Börse AG in September 2018 and is a Member of the Executive Board of Eurex Clearing AG since August 2014.

In his Strategy and Development role within Deutsche Börse Group, he is in charge  of Strategy, Business and Product Development for listed and OTC derivatives as well as repo and securities lending across trading and clearing.

From March 2016 until August 2018 he was in charge of Cross Market Strategy leading the strategy for Eurex Clearing and Clearstream. From April 2013 until February 2016 he established and developed as Chief Client Officer and Global Head of Clients & Markets a dedicated client facing organizational unit of Eurex Clearing. Before that he took responsibility as Head of Clearing Initiatives for the implementation of Eurex Clearing’s strategic project portfolio and regulatory affairs. Since joining the Deutsche Börse Group in 2001, he has held a number of leadership and project management positions at Deutsche Börse and Eurex for various strategic projects, amongst others, the introduction of EurexOTC Clear as well as the merger and integration of the International Securities Exchange.

Graulich holds a Master of Business Administration degree from the Fuqua School of Business at Duke University in North Carolina.

Dr. Pedro Gurrola-Perez

Head of Research, The World Federation of Exchanges

Pedro joined the World Federation of Exchanges in October 2019 from the Bank of England, where he led the Financial Market Infrastructures Directorate’s Research Team. He had joined the Bank of England in 2013,  after two years at the UK Financial Services Authority. Previously, Pedro spent more than 15 years lecturing and doing research at a range of well-regarded academic institutions, including the University of Barcelona and the Instituto Tecnológico Autónomo de México (ITAM).

Pedro holds two PhDs: one from the University of Barcelona, Spain, and one from the University of Montpellier, France, and has published across key academic journals, including the Journal of Financial Market Infrastructures, the Journal of Risk, International Finance and the Journal of Futures Markets. His recent work includes research on the economics of distributed ledger technologies (DLT) for securities settlement,  on the network structure of settlement fails and on market liquidity risk in CCPs. He has also published research on payment systems, back-testing methodologies and on the structure of interest rate futures markets. In  2007 he received the National Award on Derivatives Research, awarded by the Mexican Derivatives Exchange (MexDer).

Wenqian Huang

Economist, BIS

Wenqian Huang joined the BIS as an Economist in October 2017. Her research interests include financial market infrastructures, systemic risk and financial innovations, in particular central counterparties. She was the winner of the young economist competition in the 2017 ECB Sintra Forum on Central Banking.

Udesh Jha

Managing Director, Clearing and Post Trade Division, CME Group

Udesh Jha is a Managing Director within the Clearing and Post-Trade division at CME Group and heads the Post Trade Services group. This group comprises three sub-groups – Risk Research, Solutions and Service Management for TriResolve & TriCalculate. In his last role within CME Group, Udesh led the Risk Research team for CME Clearing and was responsible for managing all aspects of quantitative risk modelling for the Clearinghouse. Udesh has worked at CME since 2010.

Prior to this joining CME Group, he worked at Capital One, Banc of America Securities, and QRM in different risk management roles ranging from ALM, Funds Transfer Pricing and CDO Structuring. Prior to that, Udesh was a Senior Management Consultant with IBM assisting clients with Supply Chain Management solutions across different industrial sectors.

Udesh holds a Bachelor’s degree from the Indian Institute of Technology, a Masters in Science in Civil Engineering from University of Connecticut and an MBA degree from the University of Chicago Booth School of Business.

Nandini Sukumar

CEO, WFE

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