Swap rate data for collateralization research

A model is presented for pricing financial instruments under different collateral arrangements. Moreover, we show that the model-implied price of a collateralized contract is very close to its market price, which suggests that the model is fairly accurate. Further, we find empirical evidence that asset prices in cleared markets are determined in a similar way to those in OTC markets. This practice is questionable, as the clearing process has changed the risk structure that affects outcomes. In fact, cleared derivatives are not economically equivalent to their OTC counterparts.