Central Counterparties · Mandatory Central Clearing and Initial Margin Requirements for OTC Derivatives (The Wiley Finance Series) by Gregory, Jon -- Read -- Imperial Library of Trantor

Index

Cover Half Title page Title page Copyright page Dedication Acknowledgements Part I: Background Chapter 1: Introduction

1.1 The Crisis 1.2 The Move Towards Central Clearing 1.3 What is a CCP? 1.4 Initial Margins 1.5 Possible Drawbacks 1.6 Clearing in Context

Chapter 2: Exchanges, OTC Derivatives, DPCs and SPVs

2.1 Exchanges 2.2 OTC Derivatives 2.3 Counterparty Risk Mitigation in OTC Markets 2.4 Summary

Chapter 3: Basic Principles of Central Clearing

3.1 What is Clearing? 3.2 Functions of a CCP 3.3 Basic Questions 3.4 The Impact of Central Clearing

Chapter 4: The Global Financial Crisis and the Clearing of OTC Derivatives

4.1 The Global Financial Crisis 4.2 Regulatory Changes 4.3 Regulation of CCPS

Part II: Counterparty Risk, Netting and Margin Chapter 5: Netting

5.1 Bilateral Netting 5.2 Multilateral Netting

Chapter 6: Margining

6.1 Basics of Margin 6.2 Margin and Funding 6.3 Margin in Bilateral OTC Derivatives Markets 6.4 The Risks of Margining 6.5 Regulatory Margin Requirements

Chapter 7: Counterparty Risk in OTC Derivatives

7.1 Introduction 7.2 Exposure 7.3 Valuation Adjustments Appendix 7A: Simple Formula for The Benefit of a Margin Agreement

Part III: Structure and Mechanics of Clearing Chapter 8: The Basics of CCP Operation

8.1 CCP Setup 8.2 CCP Operation 8.3 CCP Risk Management 8.4 Default Management 8.5 CCP Linkage

Chapter 9: Margin and Default Fund Methodologies

9.1 Variation Margin 9.2 Initial Margin 9.3 VAR and Historical Simulation 9.4 Initial Margins for OTC Derivatives 9.5 Cross-Margining 9.6 Default Funds

Chapter 10: The Loss Waterfall and Loss Allocation Methods

10.1 Potential CCP Loss Events 10.2 Analysis of CCP Loss Structure 10.3 Other Loss Allocation Methods 10.4 Capital Charges for CCP Exposures Appendix 10A: Technical Details on the Interim and Final Rules

Chapter 11: Client Clearing, Segregation and Portability

11.1 Operational Aspects 11.2 Segregation, Rehypothecation and Margin Offset 11.3 Methods of Segregation 11.4 Regulatory Requirements

Part IV: Analysis of the Impact and Risks of Central Clearing Chapter 12: Analysis of the Impact of Clearing and Margining

12.1 The Clearing Landscape 12.2 Benefits and Drawbacks of OTC Clearing 12.3 Side Effects 12.4 Is There a Better Idea?

Chapter 13: The Cost and Impact of Clearing and Margining

13.1 Overview 13.2 Examples 13.3 The Cost of Margining 13.4 Implications

Chapter 14: Risks Caused by CCPs

14.1 Overview 14.2 Historical CCP Failures and Near Misses 14.3 Important Considerations 14.4 Risks Faced by CCPS 14.5 Keeping CCPS Safe

Chapter 15: The Future Impact on Financial Markets

15.1 Regulatory Change 15.2 The Impact 15.3 Good or Bad?

Glossary References Index