defaulting member. We consider schemes that use a collateral pool calculated using a rolling time window. Our simulations show … that the size of the window has a very significant effect on the average level of collateral and its variability day to day …, creating an interesting trade-off. Collateral levels and variability may be important for ACSS participants because they could …

margin relief without generating losses that cannot be absorbed by clearing members. …

demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …-specialized types, and client clearing. Among other results, we show that system-wide collateral demand is increased significantly by …

Procyclicality of collateral haircuts and margins has become a widely proclaimed behavior and is currently discussed … a trigger of liquidity spirals due to its tightening effect of collateral portfolio values in times of market distress … design for macroprudential haircut add-ons. Our results confirm that (1) bond collateral markets face irrational, i.e. bubble …

Following the 2008 financial crisis, regulation mandates the clearing of the CDS market through Central Clearing …

collateral costs related to central clearing … risk, my results indicate that CDS spreads widen with the initiation of central clearing. I document that even though … dealer risk is priced in CDS spreads and an increase in dealer risk narrows spreads, the initiation of central clearing does …