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Quantitative Finance · Glosarium

Apa itu Clearing broker (swaps)?

Definition 28.4 Markets II: Rates, FX and Credit · Bab 28 — Getting Access: Rates and Credit

A clearing broker for swaps is a clearing member of a swap clearing house that clears its clients’ swaps, posts their margin to the clearing house, and guarantees their performance to it; in the United States it is a futures commission merchant registered for swaps.

Annual cost of access to Treasury repo and swaps against the repo balance, with swap notional twice as large, for three routes: renting (sponsored repo and a swap clearing broker), buying (direct memberships) and bilateral. Buying pays above USD 13.4 billion of repo. Illustrative costs; data: the chapter’s tutorial.
Figure 28.3. Annual cost of access to Treasury repo and swaps against the repo balance, with swap notional twice as large, for three routes: renting (sponsored repo and a swap clearing broker), buying (direct memberships) and bilateral. Buying pays above USD 13.4 billion of repo. Illustrative costs; data: the chapter’s tutorial.

Contoh

Example 28.6 (Three routes)

In the chapter’s illustrative model, renting costs USD 0.5 million a year fixed and 11.5 basis points a year per dollar of repo balance, including the swaps and funded margin; buying costs USD 8 million fixed and 5.9 basis points, including the capital in the clearing fund; bilateral costs 0.2 million and 18.5 basis points. A fund with USD 5 billion of repo and 10 billion of swaps pays 6.25 million a year renting, 10.95 million buying and 9.45 million bilaterally. Bilateral beats renting only below USD 0.43 billion of repo; buying beats renting above USD 13.4 billion (Figure 28.3).

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