Central Counterparties: Mandatory Central Clearing and Initial Margin Requirements for OTC Derivatives

Acknowledgements

Less than a year has passed since I decided that it might be useful to compliment my existing text on counterparty credit risk with a book covering central clearing and bilateral margining rules applied to over-the-counter (OTC) derivatives. Given the implementation of mandatory clearing and margining rules is progressing rapidly, I do hope that this book will be of increasing relevance to anyone with an interest in financial markets, and OTC derivatives in particular.

It should be mentioned upfront that the focus of this book is very much on the future role of central counterparties (CCPs) in OTC derivative markets and not as much their (rather different) historical role in exchange-traded markets. I will often make this fact clear by the use of the terms such as ‘OTC CCP’. The reader should have in mind that, whilst much of the theory, discussion and analysis is relevant to all aspects of central clearing, the OTC angle has been the major driver for this work and is therefore the main focus.

As with my other book covering counterparty credit risk and credit value adjustment, this is a challenging topic to write about since the area is changing rapidly, with new regulation and market innovations appearing frequently. The reader may find it useful to visit my personal website at www.cvacentral.com for corrections and updates to the book. In particular, I plan to keep a list of errata and updated URLs there (since the links are commonly changed). There will also ...