Lecture_7_CVA_201820180402201111

Introduction
Counterparty Risk
BIS 2016 – OTC Market: Central Clearing
Overall, 62% of the $544 trillion in notional amounts outstanding reported
by dealers was centrally cleared. Central clearing has made very significant
inroads into OTC interest rate derivatives markets but is less prevalent in other
OTC derivatives segments
As of end-June 2016, 75% of dealers’ outstanding OTC interest rate derivatives
contracts were against central counterparties (CCPs)
For credit derivatives the number becomes 37%
For foreign exchange and equity derivatives the outstanding cleared with
CCPs is less than 2%
Paola Mosconi 20541 – Lecture 10-11 10 / 86