Frontloading fears remain despite Esma guidance
Dealers say they still do not know how to price swaps that could be caught by so-called frontloading requirements in Europe – under which a trade that has already been executed may have to be sent to a clearing house months or years later. That is despite new guidance provided by the European Securities and Markets Authority (Esma) on December 20, which narrows the window of uncertainty.
The guidance came in the form of Esma's periodically updated Q&As on the European Market Infrastructure
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