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Concentration and Risk in the OTC Markets for U.S. Dollar Interest Rate Options

机译：美元美元利率期权的OTC市场集中度和风险

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This report evaluates concerns that concentration in the over-the-counter (OTC) markets for U.S. dollar interest rate options poses significant risks to participants, including Government Sponsored Enterprises (GSEs) and the leading bank and nonbank derivatives dealers. Those concerns, which have been expressed by Federal Reserve officials, foreign authorities, and private analysts, include: (1) the potential for exit of a leading dealer to result in options market illiquidity and the potential effects of illiquidity on the housing GSEs and other hedgers of mortgages and mortgage-backed securities (MBS); (2) market risks to dealers from meeting the demands for options by mortgage hedgers, including whether data indicating that the notional value of options sold by dealers significantly exceeds the notional value purchased are accurate and, if so, whether dealers are assuming significant risks; and (3) potential counterparty credit losses to market participants in the event of the failure of a leading dealer or one of the GSEs.

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