We study the effect of central clearing on netting efficiency in the CDS market. We examine the development of position … data and netting efficiency using aggregate data from the Depository Trust and Clearing Corporation (DTCC). Our main … a marginally significant level. Hence, central clearing decreases netting efficiency to a considerable extent …

indicators the ESRB has developed to analyse developments in central clearing in the EU.The indicators are designed to provide a … macroprudential view over time of CCPs' resources, liquidity and collateral policies, margin and haircut requirements …

severe, also requires default funds and then imposes position limits. -- Central Counterparty ; Clearing; Default … ; Collateral ; Risk Management …

that allowed them not only to weather the GFC but thrive in the post-GFC world. Collateral performance of CLOs suffered … investors detailing their loan portfolios and the quality of the collateral pool is monitored regularly. c. Finally, CLO asset … managers actively manage the composition of the collateral portfolio whereas mortgage-backed securitizations are typically …

determinants of liquidity/collateral premia and bond spreads, and with reference to the eurozone: (i) the implications of the ECB …

and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given … to the borrower is the market value of the collateral, reduced by an amount termed haircut (or margin). The haircut … protects the the capital lender from loss of value of the collateral contingent on the borrower's default. For this reason, the …

Recent studies use retrospective automated valuation models (AVMs) to investigate whether appraisals of collateral … appraisals are unbiased estimates of the underlying value of the collateral. We present evidence that the estimated frequency of …

We develop a model of endogenous collateral requirements in the credit default swap (CDS) market. Our model provides an … explanatory power for observed collateral requirements than standard value at risk rules. The model predicts that this … conservativeness of collateral levels can be explained through disagreement of market participants about the extreme states of the …