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Netting and Offsetting: Reporting derivatives under US GAAP and IFRS
Historically, the Europe-based International Accounting Standards Board (IASB) has permitted significantly less balance sheet offsetting... Read more Netting and Offsetting: Reporting derivatives under US GAAP and IFRS
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OTC Commodity Derivatives Trade Processing Lifecycle Events
March 2011, the International Swaps and Derivatives Association (ISDA) Commodities Steering Committee (COSC) and Commodities... Read more OTC Commodity Derivatives Trade Processing Lifecycle Events
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Interest Rate Swaps Compression: A Progress Report
This paper describes a risk reduction practice, portfolio compression (compression), which is conducted in the... Read more Interest Rate Swaps Compression: A Progress Report
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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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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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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?