A paper for the quants, about how markets behave in a low interest rate environment, and how this relates to VaR, and therefore margin exceptions in clearing (or outside for that matter).  The author's profile is here (http://www.riskdata.com/person/dr_raphael_douady.html) and here (http://www.linkedin.com/pub/raphael-douady/0/a0a/1ab). This has been kindly passed on via Sol Steinberg (http://www.swapclear.com/knowledge/ccp2/our-team.html) and (www.linkedin.com/pub/sol-steinberg/b/5a4/996) at LCH.Clearnet. The Volatility of Low Rates (PDF)