Estimating Initial Margins: The COVID-19 market stress as an application
Gepubliceerd: 07 oktober 2021
Door: Bernard van den Boom Robert Hofman Kristy Jansen Iman van Lelyveld
In this Analysis we provide a description of the Dutch interest rate swap market. First, we provide insights in the activity and the interconnectedness across institutions in the swap market. Second, we show the evolution of collateral requirements that these swaps entail over time, with a specific focus on the COVID-19 market stress. Third, we show substantial increases in the level of collateral requirements for several institutions that are the result of lowered threshold on notional amounts at which collateral requirements become mandatory.
Estimating Initial Margins: The COVID-19 market stress as an application
Ontdek gerelateerde artikelen
DNB maakt gebruik van cookies
Om de gebruiksvriendelijkheid van onze website te optimaliseren, maken wij gebruik van cookies.
Lees meer over de cookies die wij gebruiken en de gegevens die we daarmee verzamelen in onze cookie-policy.