News: US funds fear inability to clear amortising swaps - Risk.net

24 May 2013 | Bill Hodgson

A prohibition on taking cross-border risk could force some category two participants to stop trading amortising swaps from June 10 An inability to take cross-border risk could mean some US funds are forced to stop trading certain interest rate derivatives once the second over-the-counter clearing mandate comes into force from June 10.

Amortising swaps were built into SwapClear in 2011 - 2 years ago - because someone in the US office heard a clear message from the buy-side that these were behind a lot of the hedging activity with smaller firms who use OTC products. FpML has supported notional schedules on IRS trades for 10 years, and systems like Murex & Calypso have also supported the product for many years. With the launch of SwapClear LLC (date TBA), a wholly US based CCP, the buy-side will have somewhere to clear, and solves this problem. via US funds fear inability to clear amortising swaps - Risk.net.


You're right Bill but some buy side firms may still be hoping to choose a single CCP for all their Rates trades. It's not well known but CME has a full product roll out schedule to complete the CFTC-mandated product scope including amortizing swaps among several other variants.If the risk.net article on CCP specific pricing is right this may not be the only reason why significant buy side firms ought to be able to clear at both CCPs in practice (i.e. different quotes for each CCP may mean it's better to bifurcate cleared risk to get the best execution price).