INCENTIVES FOR CENTRAL CLEARING AND THE EVOLUTION OF OTC DERIVATIVES –
[email protected] A CCP12 5F No.55 Yuanmingyuan Rd. Huangpu District, Shanghai, China REPORT February 2019 TABLE OF CONTENTS TABLE OF CONTENTS................................................................................................... 2 EXECUTIVE SUMMARY ................................................................................................. 5 1. MARKET OVERVIEW ............................................................................................. 8 1.1 CENTRAL CLEARING RATES OF OUTSTANDING TRADES ..................... 8 1.2 MARKET STRUCTURE – COMPRESSION AND BACKLOADING ............... 9 1.3 CURRENT CLEARING RATES ................................................................... 11 1.4 INITIAL MARGIN HELD AT CCPS .............................................................. 16 1.5 UNCLEARED MARKETS ............................................................................ 17 1.5.1 FX OPTIONS ...................................................................................... 18 1.5.2 SWAPTIONS ...................................................................................... 19 1.5.3 EUROPE ............................................................................................ 21 2. TRADE PROCESSING ......................................................................................... 23 2.1 TRADE PROCESSING OF NON-CLEARED TRADES ............................... 23 2.1.1 CUSTODIAL ARRANGEMENTS .......................................................