The Failure of a Clearinghouse: Empirical Evidence Vincent Bignon - - PowerPoint PPT Presentation
The Failure of a Clearinghouse: Empirical Evidence Vincent Bignon Guillaume Vuillemey Banque de France HEC Paris & CEPR 10 years after Lehman Paris September 2018 Vincent Bignon, Guillaume Vuillemey The Failure of a
Vincent Bignon Guillaume Vuillemey Banque de France HEC Paris & CEPR 10 years after Lehman Paris September 2018
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Central clearing counterparties (CCPs) become widespread
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Central clearing counterparties (CCPs) become widespread CCP expected to improve financial stability
CCPs insure counterparty risk; netting benefits
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Central clearing counterparties (CCPs) become widespread CCP expected to improve financial stability
CCPs insure counterparty risk; netting benefits
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Central clearing counterparties (CCPs) become widespread CCP expected to improve financial stability
CCPs insure counterparty risk; netting benefits
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Central clearing counterparties (CCPs) become widespread CCP expected to improve financial stability
CCPs insure counterparty risk; netting benefits
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Central clearing counterparties (CCPs) become widespread CCP expected to improve financial stability
CCPs insure counterparty risk; netting benefits
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
New risk: CCP default
Dramatic effects on markets and macro stability (Duffie, 2015) LCH Swapclear: 269 trillion USD outstanding Rare events: Three cases known in history, no existing study
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
New risk: CCP default
Dramatic effects on markets and macro stability (Duffie, 2015) LCH Swapclear: 269 trillion USD outstanding Rare events: Three cases known in history, no existing study
This paper: First empirical evidence on CCP default
Failure of CCP in Paris Commodity Exchange in 1974 Unique descriptive evidence: novel, hand-collected, archive data CCP risk management outside and around distress
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
New risk: CCP default
Dramatic effects on markets and macro stability (Duffie, 2015) LCH Swapclear: 269 trillion USD outstanding Rare events: Three cases known in history, no existing study
This paper: First empirical evidence on CCP default
Failure of CCP in Paris Commodity Exchange in 1974 Unique descriptive evidence: novel, hand-collected, archive data CCP risk management outside and around distress
Implications
CCP capital structure Resolution schemes for financial institutions
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Matched book
In-the-money transactions Amounts owing to members Out-of-the-money transactions Collateral held Other assets Equity
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Matched book Indifferent to settlement prices
In-the-money transactions Amounts owing to members Out-of-the-money transactions Collateral held Other assets Equity
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Matched book Indifferent to settlement prices
In-the-money transactions Amounts owing to members Out-of-the-money transactions Collateral held Other assets Equity New in-the-money New out-of-the money
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Matched book Indifferent to settlement prices Low equity
In-the-money transactions Amounts owing to members Out-of-the-money transactions Collateral held Other assets Equity New in-the-money New out-of-the money
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Charter value effect
Protect CCP value arising from continuation Be tough with distressed members, to keep surviving members Liquidate defaulted position quickly
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Charter value effect
Protect CCP value arising from continuation Be tough with distressed members, to keep surviving members Liquidate defaulted position quickly
Risk-shifting effect
Quick liquidation can impair CCP equity value which is bounded below by zero Can incentivize gambles (e.g. delay liquidation to be on reversal)
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Charter value effect
Protect CCP value arising from continuation Be tough with distressed members, to keep surviving members Liquidate defaulted position quickly
Risk-shifting effect
Quick liquidation can impair CCP equity value which is bounded below by zero Can incentivize gambles (e.g. delay liquidation to be on reversal)
Trade-off is affected by resolution schemes
Resolution/recovery schemes change payoffs to equityholders Here: asymmetric information with supervisors → Incentive to misreport to shift losses to creditors
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Paris Commodity Exchange
Futures on sugar, cocoa, coffee Trading through 35 registered brokers → Also clearing members Execute orders on behalf of clients, including retail investors Short positions: commodity producers; long positions: retail investors
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Paris Commodity Exchange
Futures on sugar, cocoa, coffee Trading through 35 registered brokers → Also clearing members Execute orders on behalf of clients, including retail investors Short positions: commodity producers; long positions: retail investors
CCP: Caisse de Liquidation des Affaires en Marchandises (CLAM)
All trades centrally cleared → CLAM takes counterparty risk Risk managed by calling initial + variation margins
Initial margins: Paid at initiation of contract Variation margins: Called daily based on price fluctuations
If default on margins: Liquidate member’s position If loss: equity absorbs; no additional waterfall
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
1,300 to 8,100 FRF: 1 1974 FRF ≈ 0.85 2015 USD Limited free market + Embargoes + Bad crops + Fear of shortage
1960 1970 1980 1990 2000 2010 1000 2000 3000 4000 5000 6000 World sugar price / ton (in 2016 USD)
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Boom in sugar prices: Until Nov. 21st, 1974
Increase in trading activity: From 54,000 to 1.9m tons / month [See] 96.9% of retail investors hold long positions
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Boom in sugar prices: Until Nov. 21st, 1974
Increase in trading activity: From 54,000 to 1.9m tons / month [See] 96.9% of retail investors hold long positions
Fall in sugar prices: Nov. 21st to Dec. 2nd, 1974
One broker, Nataf, holds 56% of the long open position Limit down prevents execution of sell orders Nataf fails on variation margin calls CLAM waits until shortfall > initial margins to declare default
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Boom in sugar prices: Until Nov. 21st, 1974
Increase in trading activity: From 54,000 to 1.9m tons / month [See] 96.9% of retail investors hold long positions
Fall in sugar prices: Nov. 21st to Dec. 2nd, 1974
One broker, Nataf, holds 56% of the long open position Limit down prevents execution of sell orders Nataf fails on variation margin calls CLAM waits until shortfall > initial margins to declare default
Closure of sugar market: Dec. 3rd, 1974 to Jan. 1976
Market closes under pressure of CLAM + registered brokers Negotiation + Judicial battle about loss allocation Resolution of the CLAM, re-open with new CCP
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Department of Commerce + Paris Chamber of Commerce
Legal, judicial and statistical documents, notes, confidential reports → Exposures of CLAM, brokers and investors → Account and transactions by Nataf → Financial position on all of Nataf’s clients
Bank of France
Supervisory reports and notes Balance sheet data
Stock price data from Cours authentique et officiel Sugar price data from Les Echos.
Spot/future in Paris, London and New York
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Buyers of futures: Mostly retail investors
Policies to encourage retail participation
High turnover: Buy at high prices Massive retail investor defaults
At 6,217 FRF/ton: 49.6% of defaults
No retail trading in London and New York
Diversified and sophisticated financial institutions Same price dynamics did not trigger investor defaults
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Was risk management lenient during the boom?
Data on all changes in initial margins in 1974
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Initial margin in FRF per ton of sugar
100 200 300 400 500 600 700 800 900 1000 1100 Initial margin (in FRF/ton)
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Initial margin / Nearest-term future sugar price
0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 Initial margin / Nearest-term future price
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Was risk management lenient during the boom?
Data on all changes in initial margins in 1974
Quantity of margins
Initial margins increased, scaled with level of sugar prices
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Was risk management lenient during the boom?
Data on all changes in initial margins in 1974
Quantity of margins
Initial margins increased, scaled with level of sugar prices Volatility not significantly higher [See]
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Was risk management lenient during the boom?
Data on all changes in initial margins in 1974
Quantity of margins
Initial margins increased, scaled with level of sugar prices Volatility not significantly higher [See] Value-at-Risk (VaR) / Initial margin decreasing [See]
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Was risk management lenient during the boom?
Data on all changes in initial margins in 1974
Quantity of margins
Initial margins increased, scaled with level of sugar prices Volatility not significantly higher [See] Value-at-Risk (VaR) / Initial margin decreasing [See] Margins higher than in London and New York
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Was risk management lenient during the boom?
Data on all changes in initial margins in 1974
Quantity of margins
Initial margins increased, scaled with level of sugar prices Volatility not significantly higher [See] Value-at-Risk (VaR) / Initial margin decreasing [See] Margins higher than in London and New York
Quality of margins
Margins paid in cash or with bank guarantees (letters of credit)
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Balance on CCP account = Deposited capital + External bank guarantees −Initial margins − Variation margins
50 100 150 Assets / Liabilities (in million FRF)
Deposited capital + bank guarantees Bank guarantees Initial margins Initial + variation margins Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Was risk management lenient during the boom?
Data on all changes in initial margins in 1974
Quantity of margins
Initial margins increased, scaled with level of sugar prices Volatility not significantly higher Value-at-Risk (VaR) / Initial margin decreasing Margins higher than in London and New York
Quality of margins
Margins paid in cash or with bank guarantees (letters of credit) Nataf’s account: Cash increases from 40.1% to 67.8% of margins
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Was risk management lenient during the boom?
Data on all changes in initial margins in 1974
Quantity of margins
Initial margins increased, scaled with level of sugar prices Volatility not significantly higher Value-at-Risk (VaR) / Initial margin decreasing Margins higher than in London and New York
Quality of margins
Margins paid in cash or with bank guarantees (letters of credit) Nataf’s account: Cash increases from 40.1% to 67.8% of margins
Average margin levels were well-managed
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Build-up of large position (Nataf)
56% of CCP exposure on day of default CLAM did not use potential member-specific surcharges
0.3 0.35 0.4 0.45 0.5 0.55 0.6 0.65 0.7 0.75 Nataf open exposure / CCP exposure
Theory: Rationales for penalizing large exposures
10% initial margins sufficient if liquidation at limit down But: Limit down are not market clearing prices Liquidating (large) exposures subject to frictions
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Nataf’s balance turns negative
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Nataf’s balance turns negative
CLAM delays declaration of Nataf’s default
First days: Unclear whether shortfall due to operational delays
Supervisor: “Nataf paid margins as no other broker before him did, covering not only variation margins with cash, but also a large part of initial margins and, for certain days, all initial margins or more”
Later: Clear that shortfall due to unusual price movements → Liquidation of defaulted position also delayed
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Nataf’s balance turns negative
CLAM delays declaration of Nataf’s default
First days: Unclear whether shortfall due to operational delays
Supervisor: “Nataf paid margins as no other broker before him did, covering not only variation margins with cash, but also a large part of initial margins and, for certain days, all initial margins or more”
Later: Clear that shortfall due to unusual price movements → Liquidation of defaulted position also delayed
CLAM continues to register trades by Nataf
In contradiction with CLAM rule book
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Nataf’s balance turns negative
CLAM delays declaration of Nataf’s default
First days: Unclear whether shortfall due to operational delays
Supervisor: “Nataf paid margins as no other broker before him did, covering not only variation margins with cash, but also a large part of initial margins and, for certain days, all initial margins or more”
Later: Clear that shortfall due to unusual price movements → Liquidation of defaulted position also delayed
CLAM continues to register trades by Nataf
In contradiction with CLAM rule book
→ CLAM is acting to protect Nataf
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Distortions are evidence of risk-shifting
All losses absorbed by equity: No additional waterfall resources If CCP is strict: Equity takes losses, bounded below by zero If CCP is lenient: No equity losses if price reversal
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Distortions are evidence of risk-shifting
All losses absorbed by equity: No additional waterfall resources If CCP is strict: Equity takes losses, bounded below by zero If CCP is lenient: No equity losses if price reversal
Delaying the liquidation is a bet on a price reversal
If reversal: No default by Nataf, no equity losses If not: Equity takes losses, bounded below by zero
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Distortions are evidence of risk-shifting
All losses absorbed by equity: No additional waterfall resources If CCP is strict: Equity takes losses, bounded below by zero If CCP is lenient: No equity losses if price reversal
Delaying the liquidation is a bet on a price reversal
If reversal: No default by Nataf, no equity losses If not: Equity takes losses, bounded below by zero
Counterfactual: Early liquidation could have avoided default
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Theory
If supervisor has discretion to implement debt write-downs Asymmetric information between failed entity and supervisor Incentives to misreport to supervisor exist Equityholders try to shift losses to creditors
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Theory
If supervisor has discretion to implement debt write-downs Asymmetric information between failed entity and supervisor Incentives to misreport to supervisor exist Equityholders try to shift losses to creditors
CLAM asks minister to close the market (Dec. 3rd)
Article 22 sets a settlement price if closure Settlement at the average price over past 20 trading days Here: 7,400 FRF per ton, above price on Dec. 2nd, 6,200 FRF Closure highly debatable → Risky bet
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Theory
When default is costly, value-increasing renegotiations exist Coase’s theorem: Default can be negotiated away (if no frictions)
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Theory
When default is costly, value-increasing renegotiations exist Coase’s theorem: Default can be negotiated away (if no frictions)
CLAM refuses renegotiation with sugar professionals
Refuses proposal to buy Nataf’s position at 6,200 FRF Refuses proposal at 5,700 FRF (Varsano proposal)
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Theory
When default is costly, value-increasing renegotiations exist Coase’s theorem: Default can be negotiated away (if no frictions)
CLAM refuses renegotiation with sugar professionals
Refuses proposal to buy Nataf’s position at 6,200 FRF Refuses proposal at 5,700 FRF (Varsano proposal)
CLAM close to region where equity value function is convex
Bet that Article 22 will be upheld in court
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
5600 5800 6000 6200 6400 6600 6800 7000 7200 7400 Settlement price (FRF / ton)
10 20 30 40 CLAM equity value (in million FRF) Varsano proposal Price Dec. 2 Price Art. 22 Nataf defaults
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Failure to negotiate recovery → Administered resolution
High sensitivity of equity value to settlement price Administrator appointed after market closure market is deemed illegal
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Failure to negotiate recovery → Administered resolution
High sensitivity of equity value to settlement price Administrator appointed after market closure market is deemed illegal
Resolution resembles variation margin gains haircutting
Reduce of cancel variation margin payments to parties making gains Positions of sugar sellers settled at 6,017 FRF
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Failure to negotiate recovery → Administered resolution
High sensitivity of equity value to settlement price Administrator appointed after market closure market is deemed illegal
Resolution resembles variation margin gains haircutting
Reduce of cancel variation margin payments to parties making gains Positions of sugar sellers settled at 6,017 FRF
Sugar professionals contribute on top of margin haircuts
15 million FRF to finance the agreement
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Failure to negotiate recovery → Administered resolution
High sensitivity of equity value to settlement price Administrator appointed after market closure market is deemed illegal
Resolution resembles variation margin gains haircutting
Reduce of cancel variation margin payments to parties making gains Positions of sugar sellers settled at 6,017 FRF
Sugar professionals contribute on top of margin haircuts
15 million FRF to finance the agreement
All assets of the CLAM liquidated
Large shareholders sell for 1 FRF per share Retail shareholders sell for 100 FRF per share No direct government contribution (but public ownership of banks)
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Three causes of the CLAM’s failure
Weak pool of ultimate investors Large member position Risk-shifting incentives
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Three causes of the CLAM’s failure
Weak pool of ultimate investors Large member position Risk-shifting incentives
Better CCP capitalization can reduce risk-shifting
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Three causes of the CLAM’s failure
Weak pool of ultimate investors Large member position Risk-shifting incentives
Better CCP capitalization can reduce risk-shifting Better CCP governance can reduce risk-shifting
More power to members that attach greater value to continuation Member-owned CCPs likely to prefer continuation Rules versus discretion: less likely to delay default
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Three causes of the CLAM’s failure
Weak pool of ultimate investors Large member position Risk-shifting incentives
Better CCP capitalization can reduce risk-shifting Better CCP governance can reduce risk-shifting
More power to members that attach greater value to continuation Member-owned CCPs likely to prefer continuation Rules versus discretion: less likely to delay default
Consider bad incentives created by resolution authorities
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Default waterfall
Tranches of equity Members junior to residual equity (CoCo-like)
Equity Out-of-the-money transactions In-the-money transactions Other assets
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Default waterfall
Tranches of equity Members junior to residual equity (CoCo-like)
Mitigate risk-shifting
Equity not only residual claimant
Equity Out-of-the-money transactions In-the-money transactions Other assets
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Default waterfall
Tranches of equity Members junior to residual equity (CoCo-like)
Mitigate risk-shifting
Equity not only residual claimant
Equity Out-of-the-money transactions In-the-money transactions Other assets
Increase renegotiation set
Lower sensitivity of equity to settlement prices
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Default waterfall
Tranches of equity Members junior to residual equity (CoCo-like)
Mitigate risk-shifting
Equity not only residual claimant
Equity Out-of-the-money transactions In-the-money transactions Other assets
Increase renegotiation set
Lower sensitivity of equity to settlement prices
Trade-off with skin-in-the-game
Optimal design is open question
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 200 400 600 800 1000 1200 1400 1600 1800 2000 New transactions registered (x 1000 tons)
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Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 50 100 150 200 New transactions registered - Cocoa (x 1000 tons) 10 20 30 New transactions registered - Coffee (x 1000 tons)
Cocoa Coffee Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 50 100 150 200 250 300 Stock price of CLAM (in FRF)
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Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Jun.74
Dec.74
50 100 150 200 250 300 Stock price of CLAM (in FRF)
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
Volatility of sugar prices not markedly higher
0.05 0.1 0.15 0.2 Daily returns on nearest-term sugar future
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Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
98% VaR / Initial margin requirement is decreasing
0.2 0.4 0.6 0.8 1 98% Value-at-Risk / Initial margin requirement
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Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 500 1000 Open position (in million FRF) 200 400 600 800 Open position (x 1000 tons)
In million FRF In 1000 tons Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence
1966 1967 1968 1969 1970 1971 1972 1973 1974 1975 1976 5 10 15 20 25 30 35 Open position / CLAM market capitalisation
Vincent Bignon, Guillaume Vuillemey The Failure of a Clearinghouse:Empirical Evidence