References in periodicals archive ?
We assume that all fixed-for-floating swaps are plain vanilla and that they are therefore subject to central clearing and initial margins reflecting a 99.7 percent confidence threshold for five-day losses.
We can conclude that the price sensitivity of the CMT swap is similar to the price sensitivities of fixed-for-floating swaps on a five-year Treasury rate and a ten-year Treasury rate.[15] Using the data in Exhibit A4, the chart on this page offers a graphic representation of the concept of separability.