swaps

Compressions by ISDA: New entrants, new products and big results

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ISDA's most recent research paper (attached below) provides evidence of the increased activity in compressions, particularly those to reduce the number of interest rate swaps. BIS attributes to compressions the 10% reduction in IRS notionals in the second half of 2014. According to ISDA, the incentive to reduce capital requirements under Basel combined with the new technology solutions, are the main drivers of the increased activity.

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Eurex Cross-Product Margin | The Quantitative Benefits

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Eurex Clearing, Europe’s leading clearing house, today published the study “The Future of Central Clearing – Maximizing capital and cost efficiency through an integrated cross-product CCP clearing service”. The study was supported by and commissioned to Oliver Wyman, a leading global management consulting firm.
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New SwapsInfo Site from ISDA | More Charts Than You Can Handle

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ISDA have built their own charting and analysis site using the data from the DTCC SDR, an example is below and there is a regular blog with analysis of the market. The new ISDA SwapsInfo site is here.

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The echo of CFTC’s approval on Final SEF Rules

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Yesterday, the CFTC met to vote on final rules for swap execution facilities (SEFs). The Commission’s five members voted in a public meeting on new platforms for swaps that will bring bilateral trading to an end, and transfer trades to centralized, transparent marketplaces.

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DCMs or SEFs for swap trading

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TrueEx has registered as a designated contract market (distinct from a SEF) for interest rate swaps and has signed a clearing deal with CME for IRS clearing.  ERIS, a futures exchange, is also applying to be a DCM in order to be able to execute swap trades. I’m interested in views as to where this is headed.  So far I have gleaned the information below.

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SwapClear T4 and T2 models

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For some reason there are people out there who keep googling T2 and T4 and hitting my blog. To satisfy their curiosity, here's what there is to know.

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