Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data

Carlos León, Jorge Cely, Carlos Cadena


Our objective is to identify interbank (i.e., non-collateralized) loans between financial institutions from Colombian large-value payment system data by implementing Furfine’s method. After identifying interbank loans from transactional data, we obtain the interbank rates and claims without relying on financial institutions’ reported data. Contrasting identified loans with those consolidated from financial institutions’ reported data suggests the algorithm performs well, and it is robust to changes in its setup. The weighted average rate implicit in transactional data matches local interbank rate benchmarks strictly. From identified loans, we also build the interbank claims network. The three main outputs (i.e., the interbank loans, the rates, and the claims networks) are valuable for examining and monitoring the money market, for contrasting data reported by financial institutions, and as inputs in models of financial contagion and systemic risk.


Furfine’s method; interbank rate

Full Text:



Allen, Franklin & Gale, Douglas (2000). “Financial Contagion”, Journal of Political Economy, Vol. 108, No. 1, pp. 1-33.

Allen, Franklin; Carletti, Elena & Gale, Douglas (2009). “Interbank Market Liquidity and Central Bank Intervention”, Journal of Monetary Economics, Vol. 56, pp. 639-652.

Arciero, Luca; Heijmans, Ronald; Heuver, Richard; Massarenti, Marco; Picillo, Cristina & Vacirca, Francesco (2013). “How to Measure the Unsecured Money Market? The Eurosystem’s Implementation and Validation Using TARGET2 Data”. DNB Working Paper 369. De Nederlandsche Bank.

Armantier, Olivier & Copeland, Adam (2012). “Assessing the Quality of Furfine-Based Algorithms”, Staff Report 575. Federal Reserve Bank of New York.

Banco de la República (2015). Reporte de Sistemas de Pago. Retrieved from: (5 August 2015)

Bank of England (2015). A New Sterling Money Market Data Collection and the Reform of SONIA: Public Consultation. Retrieved from: (12 September 2015)

Battiston, Stefano; Delli, Domenico; Gallegati, Mauro; Greenwald, Bruce & Stiglitz, Joseph (2012). “Default Cascades: When Does Risk Diversification Increase Stability?”, Journal of Financial Stability, Vol. 8, pp. 138-149.

Battiston, Stefano; Puliga, Michelangelo; Kaushik, Rahul; Tasca, Paolo & Caldarelli, Guido (2012). “DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk”, Scientific Reports, Vol. 2, No. 541.

Castiglionesi, Fabio & Wagner, Wolf (2013). “On the Efficiency of Bilateral Interbank Insurance”, Journal of Financial Intermediation, Vol. 22, 177-200.

De Castro, Rodrigo & Tabak, Benjamin (2013). “Contagion Risk within Firm-Bank Bivariate Networks”. Working Paper Series 322, Banco Central do Brasil.

Demiralp, Selva; Preslopsky, Brian & Whitesell, William (2004). “Overnight Interbank Loan Markets”. Manuscript Board of Governors of the Federal Reserve. Retrieved from: (10 April 2015).

Fricke, Daniel & Lux, Thomas (2014). “Core-Periphery Structure in the Overnight Money Market: Evidence From the e-MID Trading Platform”, Computational Economics, Vol. 45, No. 3, pp.359-395.doi:10.1007/s10614-014-9427-x.

Furfine, Craig (1999). “The Microstructure of the Federal Funds Market”, Financial Markets, Institutions and Instruments, Vol. 8, pp. 24-44.

Furfine, Craig (2001). “Banks Monitoring Banks: Evidence From the Overnight Federal Funds Market”, Journal of Business, Vol. 74, No. 1, pp. 33-58.

Guggenheim, Basil; Kraenzlin, Sébastien & Schumacher, Silvio (2011). “Exploring an Uncharted Market: Evidence on the Unsecured Swiss Franc Money Market”. SNB Working Papers 2011-5. Swiss National Bank.

Haldane, Andrew (2009, April). “Rethinking the Financial Network”. Speech Delivered at the Financial Student Association, Amsterdam, Netherlands.

Heijmans, Ronald; Heuver, Richard & Walraven, Danielle (2010). “Monitoring the Unsecured Interbank Money Market Using TARGET2 Data”, DNB Working Paper 369. De Nederlandsche Bank.

Hendry, Scott & Kamhi, Nadja (2007). “Uncollateralized Overnight Loans Settled in LVTS”. Bank of Canada Working Paper 07-11. Bank of Canada.

Kambhu, John; Weidman, Scott & Krishnan, Neel (2007). “New Directions for Understanding Systemic Risk”, Economic Policy Review, No.13, No. 2.

Kyriakopoulos, Franziskos; Thurner, Stefan; Puhr, Claus & Schmitz, Stefan (2009). “Network and Eigenvalue Analysis of Financial Transaction Networks”, The European Physical Journal B, Vol. 71, pp. 523-531.

León, Carlos & Berndsen, Ron (2014). “Rethinking Financial Stability: Challenges Arising From Financial Networks’ Modular Scale-Free Architecture”, Journal of Financial Stability, Vol. 15, pp. 241-256.doi:10.1016/j.jfs.2014.10.006.

Martinez, Constanza & León, Carlos (2015). “The Cost of Collateralized Borrowing in the Colombian Money Market: Does Connectedness Matter?”, Journal of Financial Stability (accepted paper). doi:10.1016/j.jfs.2015.10.003.

Millard, Stephen & Polenghi, Marco (2004). “The Relationship Between the Overnight Interbank Unsecured Loan Market and the CHAPS Sterling System”, Bank of England Quarterly Bulletin, Spring. Bank of England.

Poledna, Sebastián; Molina-Borboa, José Luís; Martínez-Jaramillo, Serafín; Van Der Leij, Marco & Thurner, Stefan (2015) “The Multi-Layer Network Nature of systemic Risk and its Implications for the Costs of Financial Crises”, Journal of Financial Stability, Vol. 20, pp.70-81.

Rochet, Jean-Charles & Tirole, Jean (1996). “Interbank Lending and Systemic Risk”, Journal of Money, Credit and Banking, Vol. 4, No. 28, pp. 733-762.


Esta publicación hace parte del Sistema de Revistas de la Universidad de Antioquia
¿Quieres aprender a usar el Open Journal system? Ingresa al Curso virtual
Este sistema es administrado por el Programa Integración de Tecnologías a la Docencia
Universidad de Antioquia
Powered by Public Knowledge Project