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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Swap execution facility and trade compression؟

يُعرف أيضًا باسم: swap execution facility · trade compression

Definition 9.10 Markets II: Rates, FX and Credit · الفصل 9 — Interest-Rate Swaps

A swap execution facility (SEF) is a regulated trading platform for swaps in the United States; swaps that have been declared available to trade must be executed on one. Trade compression is the tearing up of offsetting swaps between several counterparties, replacing them by fewer swaps with the same net risk, so as to reduce gross notional, the number of trades and the capital and margin they consume.

A compression cycle. Three dealers hold three identical swaps in a circle: each pays fixed on one and receives on another, so none has risk, yet all three hold gross notional, margin and capital against it. Compression tears the cycle up. Real cycles involve many participants and swaps that match only approximately; the service finds the largest set of tear-ups that leaves each participant’s risk within its tolerances.
Figure 9.4. A compression cycle. Three dealers hold three identical swaps in a circle: each pays fixed on one and receives on another, so none has risk, yet all three hold gross notional, margin and capital against it. Compression tears the cycle up. Real cycles involve many participants and swaps that match only approximately; the service finds the largest set of tear-ups that leaves each participant’s risk within its tolerances.
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