Bank Asset/Liability Management: Eris Swap Futures vs Cleared OTC Swaps

In the latest BALM report, Ira Kawaller discusses the convergence of exchange traded futures and over-the-counter markets following Dodd-Frank legislation and the evolution of swap futures at CME Group that followed.

In addition to contract details and pricing conventions, Kawaller addresses GAAP accounting concerns for reporting entities, including preferred methods for prospective and retrospective effectiveness testing of swap futures.

The article concludes that while cleared swaps and swap futures can both serve the same economic functions with similar cash flow processing, futures will have a number of comparative advantages and effectiveness testing requirements should be easy to satisfy.


Click here to access the full article.