Central Counterparties

Jon Gregory 지음

Wiley 2014년 06월 25일 출간

작품소개

책소개

The Global Financial Crisis, from 2007 onwards, illustrated the inherent weaknesses in the global financial system and some of their causes. In particular over-the-counter (OTC) derivatives were blamed by many for partially causing and catalysing the crisis. Not surprisingly, this has led to dramatic action from politicians, policymakers and regulators in relation to OTC derivative markets. Two of the most important changes are the mandatory clearing of standardised OTC derivatives and the requirements for bilateral margin posting in non-standard OTC contracts. Both clearing and margining mandates will be effectively phased in from 2014 and the associated costs will be severe. These regulatory changes are therefore going to create a dramatic shift in the topology of financial markets, together with a significant reallocation of counterparty and systemic risks. Knowledge of the subject is an important consideration for all financial institutions whether they are CCP members, clear trades indirectly or find themselves subject to bilateral margin requirements.Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives explains the central clearing of OTC derivatives and the associated bilateral margin requirements. The book provides a historical perspective of central clearing as it developed with derivative exchanges in order to mitigate counterparty credit risk. The regulatory requirements (Dodd-Frank, EMIR, Basel III) being imposed since the global financial crisis are defined and discussed. The mechanics of central clearing are described including operational aspects, initial margin and default fund calculations, loss waterfalls and allocation methods. Client clearing is discussed, in particular giving detail on margin segregation and portability methods. An assessment is made throughout of the advantages and disadvantages of clearing and margining requirements, including potential issues such as funding liquidi

목차

Acknowledgements xvPart I: Background 11 Introduction 31.1 The crisis 31.2 The move towards central clearing 41.3 What is a CCP? 61.4 Initial margins 71.5 Possible drawbacks 81.6 Clearing in context 92 Exchanges, OTC Derivatives, DPCs and SPVs 112.1 Exchanges 112.1.1 What is an exchange? 112.1.2 The need for clearing 122.1.3 Direct clearing 122.1.4 Clearing rings 132.1.5 Complete clearing 142.2 OTC derivatives 162.2.1 OTC vs. exchange-traded 162.2.2 Market development 182.2.3 OTC derivatives and clearing 192.3 Counterparty risk mitigation in OTC markets 202.3.1 Systemic risk 202.3.2 Special purpose vehicles 212.3.3 Derivatives product companies 222.3.4 Monolines and CDPCs 232.3.5 Lessons for central clearing 242.3.6 Clearing in OTC derivatives markets 252.4 Summary 263 Basic Principles of Central Clearing 273.1 What is clearing? 273.2 Functions of a CCP 273.2.1 Financial markets topology 283.2.2 Novation 283.2.3 Multilateral offset 293.2.4 Margining 303.2.5 Auctions 303.2.6 Loss mutualisation 313.3 Basic questions 313.3.1 What can be cleared? 313.3.2 Who can clear? 333.3.3 How many OTC CCPs will there be? 353.3.4 Utilities or profit-making organisations? 363.3.5 Can CCPs fail? 363.4 The impact of central clearing 363.4.1 General points 363.4.2 Comparing OTC and centrally cleared markets 373.4.3 Advantages of CCPs 373.4.4 Disadvantages of CCPs 383.4.5 Impact of central clearing 384 The Global Financial Crisis and the Clearing of OTC Derivatives 414.1 The global financial crisis 414.1.1 Build-up 414.1.2 Impact of the GFC 414.1.3 CCPs in the GFC 424.1.4

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저자(글) Jon Gregory

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DR JON GREGORY is a partner at Solum Financial Partners LLP and specialises in counterparty risk and CVA related consulting and advisory projects. He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. He is author of the book Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets Second Edition. Jon holds a PhD from Cambridge University.