Interest Rate derivatives

LCH.Clearnet Ltd’s (LCH.Clearnet) market leading over-the-counter (OTC) interest rate swap (IRS) clearing service, SwapClear, has commenced clearing IRS trades for Landesbank Baden-Württemberg (LBBW). This brings the total number of SwapClear clearing members to 60.

ICAP, the world’s leading interdealer broker, announced today that it has successfully added Australian dollar interest rate options fixings to its mid-price matching platform DerivX and has executed trades during the session.   

The International Swaps and Derivatives Association, Inc. (ISDA) today announced the publication of an in-depth discussion and analysis of the impact of electronic execution requirements on over-the-counter (OTC) derivatives markets that were mandated by the Dodd-Frank Act. 

The paper, “Costs and Benefits of Mandatory Electronic Execution Requirements for Interest Rate Products,” was developed by ISDA staff and consultants in conjunction with NERA Economic Consulting, which assisted with research and analysis.

SunGard has enhanced its suite of middle- and back-office derivatives solutions to support the clearing of Eurodollar and U.S. Treasury Futures via New York Portfolio Clearing, LLC (NYPC), a derivatives clearinghouse and joint venture between The Depository Trust & Clearing Corporation (DTCC) and NYSE EURONEXT.

Newedge USA, LLC, a global leader in multi-asset clearing and brokerage, announced today that it has successfully brokered and centrally cleared its first dealer-to-client interest rate swap transactions at the International Derivatives Clearinghouse LLC (IDCH), a derivatives clearing organization owned by the International Derivatives Clearing Group, LLC (IDCG) and regulated by the U.S. Commodity Futures Trading Commission.

LCH.Clearnet Ltd (LCH.Clearnet), which operates the world’s leading interest rate swap (IRS) clearing service, SwapClear, is to begin using the overnight index swap (OIS) rate curves to discount its $218 trillion IRS portfolio.

Kamakura Forecasts Based on Forward Rates Implied by Current Yields
Kamakura Releases 10 Year Monthly Forecast of U.S. Treasury Yields and Swap Spreads for May, 2010

TriOptima announced that it has posted the first public reports for the OTC derivatives interest rate swap market on the Global OTC Derivatives Interest Rate Trade Reporting Repository (IR TRR) webpage http://www.trioptima.com/irtrr. The total notional amounts outstanding for all interest rate derivative transactions reported by the G-14 financial institutions was $448.7 trillion with interest rate swaps the largest component at $322.2 trillion as of March 31, 2010.

TriOptima announced that banking regulators have received the first reports from the newly-launched OTC Derivatives Interest Rate Trade Reporting Repository (“the IR TRR”). Fourteen major financial institutions submitted data for their non-cleared OTC interest rate derivatives trade portfolios covering trades with G-15 institutions, buy side organizations and other financial and non-financial institutions.

For the first time USD 146 trillion of additional notional value potentially clearable

LCH.Clearnet Limited (LCH.Clearnet), the largest clearer of OTC products globally, today announced that its interest rate swaps clearing service for the buy-side has gone live. For the first time, institutional investors are able to access central clearing for OTC interest rate swaps via SwapClear, the only global clearing service for OTC interest rate swaps. This launch brings greater efficiency and security to the global market.