In Eris, LDX, Listed Swap Futures, LSF, OTC Swaps

Over the past year, I’ve been speaking to buy-side UK and European clients and discussing issues they might not be aware of yet instead of challenges they are currently facing, with the aim to bring best practises from a variety of sources on the latest developments to incorporate in their business and add value; whether it’s trading practises, collateral optimisation or pre-trade total cost analysis (TCA).

At first, I was interested in understanding which clients were Category 2 and 3 across Europe as I wanted to discuss their readiness to clear. I found a number of interesting outcomes, and for me, the most interesting were some clients actively reducing their OTC Swap exposure to below category 2 thresholds so the company / fund didn’t have to comply with EMIR by 21st  December 2017.

I began to look more actively at what alternatives to OTC IRS and CDS products are out there and was made aware of Listed Swap Futures (LSF) and the dif- ferent formats they come in; Constant Maturity Swap, Delivery Swap Futures and Cash Settled. The case for LSF are well documented, and some of the main advan- tages can be summarised as the following:

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