This report analyzes interest rate derivatives (IRD) trading activity reported in Europe. The analysis is based… Read more Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: First Half of 2023 and Second Quarter of 2023
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OTC Derivatives Market Analysis, Mid-2011
Analysis of the over-the-counter (OTC) derivatives market based on statistics as of June 30, 2011.
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Costs and Benefits of Mandatory Electronic Execution Requirements for Interest Rate Products
An in-depth discussion and analysis of the impact of electronic execution requirements on OTC derivatives... Read more Costs and Benefits of Mandatory Electronic Execution Requirements for Interest Rate Products
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Counterparty Credit Risk Management in the US Over-the-Counter (OTC) Derivatives Markets, Part II: A Review of Monoline Exposures
The counterparty credit risk exposure of 12 US bank holding companies and international banking companies... Read more Counterparty Credit Risk Management in the US Over-the-Counter (OTC) Derivatives Markets, Part II: A Review of Monoline Exposures
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Counterparty Credit Risk Management in the US Over-the-Counter (OTC) Derivatives Markets
This short paper examines the extent of counterparty credit losses and the efficacy of credit... Read more Counterparty Credit Risk Management in the US Over-the-Counter (OTC) Derivatives Markets
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A Note on the Impossibility of Correctly Calibrating the Current Exposure Method for Large OTC Derivatives Portfolios
The Basel Committee permits firms to use a variety of methods to calculate regulatory capital... Read more A Note on the Impossibility of Correctly Calibrating the Current Exposure Method for Large OTC Derivatives Portfolios
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2011 ISDA Operations Benchmarking Survey
The ISDA Operations Benchmarking Survey identifies and tracks operations processing trends in privately-negotiated, over-the-counter (OTC)... Read more 2011 ISDA Operations Benchmarking Survey
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OTC Derivatives Market Analysis, Year-End 2010
Analysis of the over-the-counter (OTC) derivatives market based on year-end statistics published by the Bank... Read more OTC Derivatives Market Analysis, Year-End 2010
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The Economics of Central Clearing: Theory and Practice, by Dr. Craig Pirrong, University of Houston
Regulations requiring the clearing of certain OTC derivatives through central counterparties (CCPs) are causing a... Read more The Economics of Central Clearing: Theory and Practice, by Dr. Craig Pirrong, University of Houston
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Documents (1) for ISDA Margin Survey 2011
Swap Execution Facilities: Can they improve the structure of OTC derivatives markets?
This paper discusses important issues associated with mandating the use of swap execution facilities (SEFs)... Read more Swap Execution Facilities: Can they improve the structure of OTC derivatives markets?