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• W2509510485 abstract "The reform program for the over-the-counter (OTC) derivatives market launched by the G-20 nations in 2009 seeks to reduce systemic risk from OTC derivatives. The reforms require that standardized OTC derivatives be cleared through central counterparties (CCPs), and they set higher capital and margin requirements for non-centrally cleared derivatives. Our objective is to gauge whether the higher capital and margin requirements adopted for bilateral contracts create a cost incentive in favor of central clearing, as intended. We introduce a model of OTC clearing to compare the total capital and collateral costs when banks transact fully bilaterally versus the capital and collateral costs when banks clear fully through CCPs. Our model and its calibration scheme are designed to use data collected by the Federal Reserve System on OTC derivatives at large bank holding companies. We find that the main factors driving the cost comparison are (i) the netting benefits achieved through bilateral and central clearing; (ii) the margin period of risk used to set initial margin and capital requirements; and (iii) the level of CCP guarantee fund requirements. Our results show that the cost comparison does not necessarily favor central clearing and, when it does, the incentive may be driven by questionable differences in CCPs’ default waterfall resources. We also discuss the broader implications of these tradeoffs for OTC derivatives reform." @default.
• W2509510485 created "2016-09-16" @default.
• W2509510485 creator A5026619574 @default.
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• W2509510485 date "2016-01-01" @default.
• W2509510485 modified "2023-09-27" @default.
• W2509510485 title "Does OTC Derivatives Reform Incentivize Central Clearing?" @default.
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• W2509510485 doi "https://doi.org/10.2139/ssrn.2819714" @default.
• W2509510485 hasPublicationYear "2016" @default.
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