Does OTC Derivatives Reform Incentivize Central Clearing?

Samim Ghamami, P. Glasserman
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引用次数: 66

Abstract

Regulatory changes in the over-the-counter (OTC) derivatives market seek to reduce systemic risk. The reforms require that standardized derivatives be cleared through central counterparties (CCPs), and they set higher capital and margin requirements for non-centrally cleared derivatives. We investigate whether these requirements create a cost incentive in favor of central clearing, as intended. We compare the total capital and collateral costs when banks transact fully bilaterally and when they clear all contracts through CCPs. We calibrate our model using data on the OTC market collected by the Federal Reserve. We find that the cost incentive may not favor central clearing. The main factors driving the cost comparison are netting benefits, the margin period of risk, and CCP guarantee fund requirements. Lower guarantee fund requirements lower the cost of clearing but make CCPs less resilient.
场外衍生品改革激励了中央结算吗?
场外交易(OTC)衍生品市场的监管变化旨在降低系统性风险。改革要求标准化衍生品通过中央对手方(ccp)进行清算,并对非中央清算衍生品设定了更高的资本和保证金要求。我们调查这些要求是否如预期的那样创造了有利于中央清算的成本激励。我们比较了两种情况下的总资本和担保成本,一种是银行完全进行双边交易,另一种是银行通过ccp清算所有合约。我们使用美联储收集的场外交易市场数据来校准我们的模型。我们发现,成本激励可能不利于中央清算。驱动成本比较的主要因素是净收益、风险保证金期和CCP担保资金需求。较低的担保基金要求降低了清算成本,但降低了中央结算对手的弹性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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