The latest CFTC Swaps Report includes data covering the past 5 weeks, showing the evolution of notional outstanding over this time across three major asset classes (Rates, Credit, FX): If we just focus on Interest Rate Swaps, we can compare this data with the daily data we have inCCPView:...
dollar of overnight index swaps processed by the SwapClear, which is the LCH.Clearnet-owned over-the-counter interest rate swap clearing service. LCH.Clearnet said that SwapClear now process 64% of the global interbank interest rate swap market and added that it has 202 trillion U.S. ...
In summary Cleared Swaps is a large market. Volume and Open Interest figures are in trillions. Interest rates are by far the largest asset class in OTC. InCCPViewwe compare IRD markets for OTC and ETD. Showing OI is larger in OTC and Volume in ETD. ...
Non-Cleared DerivativesInterest Rate SwapsMargin RulesVariation MarginHistorically, the use of benchmarks, including LIBOR, in non-cleared over-the-counter transactions has been unrestrained. This lack of regulatory considerationdoi:10.2139/ssrn.3017639Goptarenko, Julia...
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LCH compresses US$1 quadrillion of cleared tradesClearing house SwapClear has reached the milestone of US$1 quadrillion of compressed interest rate swaps, removing a huge chunk of notional outstanding from the derivatives market. The LCH-owned clearing house said that it had compressed 8.4m ...
This blog will tie together a couple of themes from my recent blogs coveringBIS Data in Interest Rate SwapsandNDF Clearingsince the UnclearedMarginRules (UMRs) came into force back in September. Thedata from the BISis from April 2016, so it is currently a timely measure (or at least as ...
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4 IMF (Global Financial Stability Report, April 2010, Chapter 3) assumes that one quarter of interest rate swaps, one third of credit default swaps, and two thirds of other OTC derivatives will not be sufficiently standardised and liquid to be centrally cleared. 5 A recent BIS survey (...
Under the ISA Direct scheme for OTC interest rate swaps and repo, the client and CCP have a principal relationship with the regular clearing member acting as a clearing agent. Eurex said the expanded scheme, known as ISA Direct Indemnified, will go live in the fourth quarter this year and ...