Tag Archives: swaps

Swaps Execution Facilities Tracker December 2015

Swaps Execution Facilities Tracker December 2015

The Future Industry Association Releases it’s latest Stats on Swap Execution Facilities, December 2015. As SEF’s become more important to the market for the transparency of transactions, these monthly reports from the FIA will illustrate those results.  In a glance their charts show which broker, which product are growing over time. Also, inference research for

how swap risk is calculated

How Swap Risk is Calculated

This blog on how swap risk is calculated is the conceptual view of how firms and CCP’s calculate the Initial Margin on Interest Rate Swaps.  While the numbers reflect a real at-market swap given the terms and conditions described they made vary widely from what your firm or clearinghouse requires. Thus this blog covers how the Independent Amount

Offsetting Bilateral Swap Positions

Offsetting Bilateral Swap Positions

Buy side firms required to submit swaps to their elected clearinghouses by one or more of four dates: March 11, April 11, May 11 or June 11, 2013.  The fifth and final date is February 18 2014.  Offsetting Bilateral Swap Positions The decision to submit a swap to a CCP has much to do with the collateral (and haircut)

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