The OTC Space | Tag Archive

Nov 13th: Eurex IRS goes live

October 30, 2012 by Bill Hodgson 0 Comments

Long PDF (582 pages) here which is mainly a black-line version of their rules and regs. IRS, FRAs, OIS, Basis Swaps. Eurex will be aiming to capture European business with their market leading individual segregated account solution and aiming at the many buy-side firms who will need a way into clearing as the EMIR / […]

Central Counter Party, Eurex

ccp, clearing houses, derivatives, irs, otc derivatives, rate swaps

CCP Score Sheet as of October 2012

October 16, 2012 by Bill Hodgson 10 Comments

It’s been a while since I updated my popular chart with the current notionals at the various CCPs. New entrants to this months chart include: JSCC for IRS off to a quick start with $42bn Data for CME and LCH on NDFs IDCG became SwapClear US KDPW with concrete plans to launch next month Eurex […]

clearing houses, cme, derivatives, eurex, irs, lch clearnet, murex, otc derivatives, progress report, rate swaps, software platform

Eris: Trading IR Futures cheaper than via ISDA IRS

July 31, 2012 by Bill Hodgson 3 Comments

A PDF I received from Eris shows their analysis of trading costs of the usual OTC IRS contracts versus their own long dated Futures contracts, download the document here.

Eris, Trading

futures contracts, irs, otc

FIA article on margining at SwapClear & ICE

January 10, 2012 by Bill Hodgson 0 Comments

The FIA magazine (free with subscription) has two articles on margin calculations for IRS and CDS at SwapClear and ICE. Both make their approach to margin calculations more transparent to a public audience than is usually available, especially ICE. Worth a read. CDS clearing at ICE: http://www.futuresindustry-digital.com/futuresindustry/201111#pg33 IRS clearing at LCH.Clearnet SwapClear: http://www.futuresindustry-digital.com/futuresindustry/201111#pg36 Front page below.

cds, fia magazine, irs, lch clearnet

Contingent Credit Default Swaps (CCDS)

December 19, 2011 by Bill Hodgson 0 Comments

Story from IFR here on the movement to standardise the CCDS. A Contingent CDS provides protection on a range of underlying reference contracts, planned to include Interest Rate, FX and Commodity OTC products. You pay a premium, for the right to receive the PV of the reference transaction, see below. Page 35 of this PDF has […]

ISDA, News

ccds, credit exposure, irs, mtm, otc products

Javelin and CME clear IRS in less than 2 seconds

December 14, 2011 by Bill Hodgson 1 Comment

Story from the FT, here (subscription I think). The gist of it is: Javelin traded a range of maturities of IRS They sent them to the CME CCP CME cleared them in less than two seconds The article doesn’t give enough detail on whether these were Dealer – Dealer trades, or Client – Dealer trades, […]