Tearing up the market: FCMs hail new compression techniques

Advances by vendors and increased competition set to unlock more trades for tear-ups

Banks sometimes seem less interested in putting on new swaps trades these days than finding ways to clean up old ones.

Compression has been hailed as the saviour of the cleared interest rates derivatives market for its ability to achieve staggering reductions in banks’ notional exposures to central counterparties. So-called risk-less compression – the tearing up of offsettable trades without any change in net risk – already takes place daily on an industrial scale within clearing houses

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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