They confirm previous evidence of tiering in the case of Germany, where some banks distribute liquidity to others. Moreover, a relatively large share of default cases result either in a tiny loss or in a very large loss. This stands in contrast to the usual assumption that loss-givendefault averages about 40% and adds an element of fragility to the interbank system.
Overall, more extensive research on risks from cross-border bank contagion in Europe is still held back by data limitations, which we hope will continue to relax over time. A large project assessing cross-border financial links using TARGET2 data and involving researchers from several central banks is just starting under MaRs. 2.