Resources
SWAPS CLEARING & COLLATERAL
- CME CDS Margin Presentation
- CME Cleared Derivatives
- ICE Eligible Collateral List (xls download)
- SIMM Framework – ISDA
- ICE Initial Margin
- LCH Main Website
- LCH Eligible Collateral List
- LCH X-Currency Swap Eligible Collateral
- LCH Initial Margin
- CCP’s & Regulatory Oversight
- BIS Collateral Requirements for OTC Derivatives
- CCP Initial Margin Presentation
- Collateral Handbook JP Morgan
- Collateral Discounting – Rethinking Interest Rate Risk (Numerix)
- Collateral & Credit Issues
- ISDA Best Practices for Collateral Processing
- Implications for Asset Managers (Dodd Frank)
- Economics of Collateral (LSE)
- Optimizing Collateral
- Pricing Derivatives – Adjustments Under Collateral Agreements
- Collateral Management – A Unified Approach
RISK MANAGEMENT – CREDIT RISK
- CVA – An Overview
- CVA For Derivatives
- CVA – Organizational Framework
- CVA – Measuring Mark-to-Market (pdf)
- CVA Survey (pdf)
- CVA Internal Ratings Based Approach to Credit Risk
- Funding Valuation Adjustment (FVA)
- CVA & Basel III
- CVA & END USERS
DERIVATIVE PRODUCTS – SWAPS
- CME Compression Via Coupon Netting
- Swaps Compression to Manage Leverage Ratios
- Compression: Three Steps to Maximize Capital Savings
- Compression to Reduce Leverage Ratios and Manage Risk
DERIVATIVE PRODUCTS – CREDIT DEFAULT SWAPS
DOCUMENTATION LINKS
DERIVATIVE PRODUCTS SWAPS PRICING ( AFTER CTA)
SWAP EXECUTION FACILITIES LINKS
STATISTICS LINKS
- BIS Semi-Annual Survey
- BIS OTC Derivatives Survey
- BIS Triennial Global FX Survey
- BIS Triennial IRS Survey
- CDS Outstanding
- CME Cleared Derivatives Stats
- End Users Margin Survey – March 2014
- ISDA All Stats
- ISDA Historical Stats
- ISDA Netting Benefit
- ISDA Swaps Data
- Swaps & CDS Data & Charts
- LCH Global Volume Stats
- LCH Volume Stats
- DTCC Swaps Stats
VOLATILITY LINKS