期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：We use an extensive data set of bilateral exposures on credit default swap (CDS)to estimate the impact on collateral demand of new margin and clearing practicesand regulations. We decompose collateral demand for both customers and dealersinto several key components, including the “velocity drag” associated with variationmargin movements. We demonstrate the impact on collateral demand of more widespreadinitial margin requirements, increased novation of CDS to central clearingparties (CCPs), an increase in the number of clearing members, the proliferationof CCPs of both specialized and non-specialized types, and client clearing. Amongother results, we show that system-wide collateral demand is increased significantlyby the application of initial margin requirements for dealers, whether or not theCDS are cleared. Given these dealer-to-dealer initial margin requirements, however,mandatory central clearing is shown to lower, not raise, system-wide collateral demand,provided there is no significant proliferation of CCPs. Central clearing does,however, have significant distributional consequences for collateral requirementsacross various types of market participants.
