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Central Counterparties: Mandatory Central Clearing and Initial Margin Requirements for OTC Derivatives by Jon Gregory

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Glossary

Backloading

The process of clearing old legacy trades that are not subject to mandatory clearing. This may be done so as to preserve netting benefits with newer cleared trades.

Basel III

The third regulatory standard on bank capital requirements with implementation from 2013. A significant amount of Basel III relates to additional capital requirements for the counterparty risk of OTC derivatives.

BCBS

Basel Committee on Banking Supervision.

Bilateral netting

Netting between two counterparties.

BIS

Bank for International Settlements.

CBOT

Chicago Board of Trade.

CCP

Central Counterparty (an entity that interposes itself between counterparties to contracts traded in financial markets as the buyer to every seller and seller to every buyer).

CCP12

A global not-for-profit organisation with the aim of developing clearing and risk management practices.

CCR

Counterparty Credit Risk.

CDO

Collateralised Debt Obligation.

CDPC

Credit Derivative Product Company.

CDS

Credit default swap (a credit derivative contract covering the risk that a specified credit(s) will default).

CEM

Current exposure method.

CFTC

Commodity and Futures Trading Commission.

Clearing member

A member of a CCP (sometimes referred to as just a member).

Client clearing

The process of clearing via a clearing member by a party not a member of the CCP.

Close out

The process of terminating trades with a defaulted counterparty.

Close out netting

The settlement of more than one obligation through a single net payment ...

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