Clarus Daily Briefing
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Entity Netted Notionals – Turning $179 trillion into $15 trillion
The Office of the Chief Economist at the CFTC, recently published the research paper “Introducing ENNs: A Measure of the Size of Interest Rate Swap Markets“, which I found very interesting. This paper argues that gross notional , a common measure of the size of swap markets, does not accurately represent the amount of risk […]