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December 5, 2011

New SwapClear Products: FRAs & Amortizers

An update to the SwapClear products page reveals significant new products supported for central clearing. Well before the CFTC or ESMA require it, SwapClear now supports FRAs and Amortising swaps.  New product page here, full details at http://www.swapclear.com.

FRAs are a benefit to manage the shorter end of the curve, and will have direct offsets for rate swaps, potentially bringing less volatile or lower Initial Margin requirements.

US corporates use amortising loans to fund activity, so hedge them with amortising swaps – bringing them into clearing is a huge attraction to the buy-side.

Competition

  • SGD (Competes with SGX)
  • CAD (Canadian banks are joining SwapClear after a moratorium was lifted)
  • AUD (Australia still considering supporting a domestic CCP via ASX)
  • JPY (Japan are building their own domestic IRS CCP, along with CDS)
  • HKD (Same position as Australia, likely to go ahead)

Announcement summary here:

Products (Rate Swaps)

17 currencies eligible for clearing through SwapClear:

  • USD EUR JPY GBP
  • CHF DKK
  • HKD NOK NZD SEK
  • PLN ZAR HUF CZK
  • SGD
  • CAD
  • AUD
  • JPY
  • Both Libor and Fed Funds Indices

Tenors

  • USD, EUR and GBP IRS out to 50 years
  • AUD, CAD, CHF, SEK and JPY Vanilla IRS out to 30 years
  • HKD, NOK, DKK, NZD, PLN, ZAR, HUF, CZK and SGD IRS out to 10 years
  • USD, EUR, GBP, CHF Overnight Index Swaps (OIS)

Other variations

  • Compounding Swaps
  • Amortizing / accreting, variable spread, variable fixed rate swaps in USD, EUR, GBP

Forward Rate Agreements

  • FRA in USD, EUR, JPY, CHF, DKK, NOK, SEK, PLN, CZK, HUF

Service features

  • T+0 Clearing
  • Trade Backloading – Legacy IRS portfolios can be cleared

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