Who can default under a cleared interest rate swap Fixed Rate Fixed Rate Fixed Rate Party A Clearing CCP Party B (Buyer) Broker (Seller) Floating Rate Floating Rate Floating Rate - Party A - Clearing Broker - Clearing Broker’s settlement banks/custodians - CCP - CCP’s settlement banks/custodians - Party B UNRESTRICTED 52
2nd R3 Smart Contract Templates Summit (All Slides) Page 52 Page 54