In this paper, we analyse the network of exposures constructed by using the UK trade repository data for three different categories of contracts: interest rate, credit, and foreign exchange derivatives. We study how liquidity shocks related to variation margins propagate across the network and...

We investigate whether margin calls on derivative counterparties could exceed their available liquid assets and, by preventing immediate payment of the calls, spread such liquidity shortfalls through the market. Using trade repository data on derivative portfolios, we simulate variation margin...

As part of the post global financial crisis reforms, regulators introduced a leverage ratio requirement, a minimum capital requirement over a bank's total exposures. We assess the consequences of this requirement for derivative clearing services to clients, which creates exposures for the...