Interest Rate Derivatives Products and Recent Market Activity in the New Regulatory Framework

Forthcoming: Handbook of Fixed-Income Securities, First Edition, Edited by Pietro Veronesi

97 Pages Posted: 23 Dec 2014

See all articles by Christopher L. Culp

Christopher L. Culp

Johns Hopkins University - Institute for Applied Economics, Global Health, and Study of Business Enterprise; Swiss Finance Institute; Compass Lexecon; Financial Economics Consulting, Inc.

Date Written: December 20, 2014

Abstract

Sweeping changes in financial regulation have occurred throughout much of the world following the global credit crisis that began in 2007. Shifts in the regulatory paradigm governing derivatives have been especially dramatic and have already altered the landscape for interest rate derivatives and participants in interest rate derivatives activity. This chapter reviews the products that comprise the global interest rate derivatives market, recent market activity across different products, currencies, and market structures (i.e., exchange-traded interest rate derivatives, non-cleared swaps, and cleared swaps), and the new regulations governing interest rate derivatives in the United States and Europe. The chapter also documents the bifurcation in liquidity for certain non-dollar swaps (especially EUR-denominated swaps) that has arisen as a result of regulatory uncertainties involving the disparate international implementation of recent regulatory changes. A detailed Appendix presents a self-contained overview of the new regulatory framework itself.

Keywords: derivatives, regulation, swaps, cleared swaps, non-cleared swaps, interest rate derivatives, Dodd-Frank, EMIR

Suggested Citation

Culp, Christopher L., Interest Rate Derivatives Products and Recent Market Activity in the New Regulatory Framework (December 20, 2014). Forthcoming: Handbook of Fixed-Income Securities, First Edition, Edited by Pietro Veronesi, Available at SSRN: https://ssrn.com/abstract=2541170

Christopher L. Culp (Contact Author)

Johns Hopkins University - Institute for Applied Economics, Global Health, and Study of Business Enterprise ( email )

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Swiss Finance Institute ( email )

c/o University of Geneva
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Compass Lexecon ( email )

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