US funds fear inability to clear amortising swaps – Risk.net
A prohibition on taking cross-border risk could force some category two participants to stop trading amortising swaps from June 10 An inability to take cross-border risk could mean some US funds are forced to stop trading certain interest rate derivatives once the second over-the-counter clearing mandate comes into force from June 10.
Amortising swaps were built into SwapClear in 2011 – 2 years ago – because someone in the US office heard a clear message from the buy-side that these were behind a lot of the hedging activity with smaller firms who use OTC products. FpML has supported notional schedules on IRS trades for 10 years, and systems like Murex & Calypso have also supported the product for many years. With the launch of SwapClear LLC (date TBA), a wholly US based CCP, the buy-side will have somewhere to clear, and solves this problem. via US funds fear inability to clear amortising swaps – Risk.net.