The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market

The properties of the interbank market have been discussed widely in the literature. However a proper model selection between alternative organizations of the network in a small number of blocks, for example bipartite, core-periphery, and modular, has not been performed. In this paper, by inferring a Stochastic Block Model on the e-MID interbank market in the period 2010-2014, we show that in normal conditions the network is organized either as a bipartite structure or as a three community structure, where a group of intermediaries mediates between borrowers and lenders. In exceptional conditions, such as after LTRO, one of the most important unconventional measure by ECB at the beginning of 2012, the most likely structure becomes a random one and only in 2014 the e-MID market went back to a normal bipartite organization. By investigating the strategy of individual banks, we show that the disappearance of many lending banks and the strategy switch of a very small set of banks from borrower to lender is likely at the origin of this structural change.