BIS working paper studies collateral requirements


A recent Bank for International Settlements working paper studies the amount of collateral that central counterparties (CCPs) should demand to clear safely all interest rate swap and credit default swap positions of the major derivatives dealers.

With the end-2012 deadline for all standardised over-the-counter derivatives to be cleared by CCPs, Daniel Heller and Nicholas Vause's estimates for required collateral are "based on potential losses on a set of hypothetical dealer portfolios that

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