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Mechanics of Asset Swaps and Government Bond Swap Spreads

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Last week we looked at the US Markets and Spreadovers, that trade as a spread to underlying US Treasury bonds. These are not the only structures that trade in the market. Other currencies and other strategies yield a variety of alternate structures. Matched Maturity

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Safe Harbors and Securitizations: Loan Payments in Connection with a Commercial Mortgage-Backed Securitization Protected from Clawback under the U.S. Bankruptcy Code Safe Harbors

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Safe Harbors and Securitizations: Loan Payments in Connection with a Commercial Mortgage-Backed Securitization Protected from Clawback under the U.S. Bankruptcy Code Safe Harbors

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Mechanics and Definitions of Spreadovers (Swap Spreads)

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We define the characteristics and mechanics of a Spreadover or Swap Spread (“U.S. Dollar Swap Spread” in CFTC parlance). The inclusion of Spreadovers in our SDR products allows us to look at the volume of Swaps that are traded as a spread to Government Bonds. Spreadover Definition

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BIS and Clarus Data: The $200 trillion reconciliation

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What is the relationship between Clarus data and BIS data? It is a great question to ask. On the whole, BIS data is delayed by nearly six months; Clarus data is available in close to real-time. For Cleared swaps, CCPView data is easily…

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Data Visualisation for Swaps – a Tufte Approach

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Data visualisation is meant to take something complex and make it simple and easy to understand. When I saw this in a blog recently, I immediately thought “Hey, that’s what Clarus do!” Interest piqued, I’ve begun delving into the fast-evolving

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What percentage of the market is in the US SDR data?

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We analyse the SDR data in light of the whole market in the cleared Rates space. SDR data is shown to represent over 60% of total-market volumes at a trade-by-trade level. That’s huge! It’s funny how times change. Next month, the BIS

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March 2015 Review – Bloomberg out in front

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Bloomberg are #1 for SEF volumes in Q1 2015 as we saw record USD Swap volumes reported to the SDRs. Our review of March 2015 highlights increasing compression activity during a great month for the industry, rounded-out with over 60% of volumes traded across a

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Computus: Algorithms to compute Easter

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With Easter arriving this weekend, I thought it might be interesting to mention something on the algorithms used to compute Easter. As we know, Easter is a not a fixed date each year, it is determined by the rule Easter

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