As July wound down, European market participants released some important news items. We look at Euro clearing moving to Frankfurt, UCITS funds and collateral and the FT’s article on SFTR.…Read More
We couldn’t let the week pass without acknowledging Bloomberg’s November 25th article by Tracy Alloway “The Ballad of the Repo Trader”. Published just before Thanksgiving, we wonder if a lot of people…Read More
There has been a lot of press about negative swap rates — where the fixed side of an interest rate swap (IRS) is lower than the equivalent maturity US Treasury.…Read More
Derivatives, Securities Financing and the Law of Conservation: Transforming Counterparty Risk into Liquidity Risk
A former physicist, now Wall Street risk and regulation quant, said at a recent conference that when thinking about regulation, he is reminded of the Law of Conservation. That is…Read More
The 2015 ISDA Margin Survey was just released. It is always a treasure trove of information and this year is no exception. We take a look. Continue readingRead More
A recent article published by the Office of Financial Research, Hidden Illiquidity with Multiple Central Counterparties, May 7, 2015, by Paul Glasserman, Ciamac C. Moallemi and Kai Yuan caught our…Read More
An April 23, 2015 article in IFR “Swaptions clearing raises CCP risk fears” by Helen Bartholomew continues a debate on what derivatives are appropriate for central clearing and which may…Read More
A short research piece by Orçun Kaya at Deutsche Bank, “Liquidity is key for the central clearing of derivatives” (March 12, 2015) is worth reading. Kaya looks at where central clearing…Read More
As banks figure out how to allocate capital and liquidity expenses, the cost of clearing swaps is going a lot higher….
We thought a recent article “How to avoid massive escalation in swap clearing costs” by Dominic Hobson on COOConnect was interesting and worth a post. It is part of a…Read More
On February 4th, the FSB issued a statement “FSB Chair’s Letter to G20 on Financial Reforms – Finishing the Post-Crisis Agenda and Moving Forward”. There were several interesting areas that…Read More
Nomura won an Insurance Risk innovation award for 2014 and we offer our congratulations. The interesting part is what they did to earn the award. This is part of an…Read More
Earlier in November there was an interesting article in IFR by Christopher Whittall, “Fixed income trading enters new era”. It was focused on the principal versus agency models in fixed…Read More
US regulators propose margin rules on non-cleared derivatives. Did they give non-financial end users a pass or not?
The underlying agenda of the regulators is to get as much of the derivatives market on cleared platforms. But they recognize that it isn’t going to be possible to get…Read More
Required Collateral on Cleared Derivatives at FCMs has been growing, but overall numbers remain remarkably low
Required Collateral for Cleared Derivatives reached just under $38 billion at the end of July, 2014 for the top 15 FCMs. Although the figures are up 73% since August, 2013,…Read More
What happens when derivatives trading has more volume than the underlying? Is this the future for bond markets? (Finadium subscribers only)
The short answer is that the markets get messy and uncertain; we’ve seen this before with Fed Funds and OIS. Now the same situation could occur with US Treasuries, Gilts,…Read More
OTC Derivatives Market Notional Tops $700 trillion. But Gross Credit Exposure — the number to watch — drops to $3 trillion.
The global derivatives market is undoubtedly large. In the BIS “Statistical release: OTC derivatives statistics at end-December 2013” (May, 2014) the total derivatives market, as of the end of December,…Read More
About a month ago we looked that National Futures Association published data on required collateral for cleared derivatives. We were pretty surprised how small the numbers were. We have a…Read More
This is our second post on the recently published ISDA 2014 Margin Survey. The part of the ISDA survey on collateral rehypothecation was really interesting. It all comes down to…Read More
A look at the new ISDA Margin Survey: cash vs. securities and who is doing the collateral optimization
ISDA has just published their 2014 Margin Survey. There is plenty to look at and discuss. In this post, we focus on the use of cash as collateral and who…Read More
Is the talk of enormous collateral needs — and an impeding collateral shortage — based on reality? We are starting to wonder…and have some interesting numbers to look at. Continue…Read More
An article in Institutional Investor dated February 10, 2014 “Outsourcing Collateral Management Can Be a Mixed Blessing,” by David Turner was interesting. It got us thinking….Continue readingRead More
ISDA published on February 5th a research note “Interest Rates Derivatives: A Progress Report on Clearing and Compression”. It is an interesting analysis on the progress made in clearing interest…Read More
“The roots of shadow banking” by Enrico Perotti: placing the blame for market collapse on repo's safe harbor provisions.
An article published in December 2013 by the Centre for Economic Policy Research “The roots of shadow banking” by Enrico Perotti of the University of Amsterdam, ECB and CEPR grabbed…Read More
The BIS released ”The OTC interest rate derivatives market in 2013” last week, authored by Jacob Gyntelberg and Christian Upper. There are some interesting things in the report on macro trends. The information…Read More
New York Portfolio Clearing to be consolidated into ICE Clear Europe…Is there more to it than cost savings?
A November 29th press release from ICE and DTCC “IntercontinentalExchange Group and DTCC announce plans for Interest Rate Futures listed on NYSE DTCC” grabbed our attention. Is this just about…Read More
A November 6th article in the FT “Regulators urge rewrite for derivatives contracts” by Sam Fleming caught our eye. The article is behind the pay wall, but we urge you…Read More
An article in efinancialnews.com by Anish Puaar called “Safety of collateral questioned after US Woes”, published Nov. 4th, makes some interesting points about the knock-on effects of a US government…Read More
The Bank of England may have gotten into the collateral transformation business…will the Fed follow?
Several news sources reported on last week’s speech by Mark Carney, the former Canadian central banker, now head of the Bank of England. Governor Carney spoke at a function celebrating…Read More
An article in www.hereisthecity.com made us laugh. It was called “The 15 banking jobs that will be the most secure over the next 7 years”. Continue readingRead More
ICMA's 25th Repo Survey is released, showing market growth. But the really interesting part is about Italian banks and CCPs.
ICMA has released their 25th European Repo Survey, reflecting the market as of June 2013. It shows a larger market, driven by LTRO repayments and greater confidence. But it foreshadows…Read More
So how are the CME Deliverable Swap Futures (DSF) doing? Are they living up to the hope (hype?) that as a margin-friendly alternative to cleared swaps they would take the…Read More