News and Notes

CloudMargin, collateral management, IHS Markit, RBC

December 9, 2019 — RBC Investor & Treasury Services (I&TS), part of Royal Bank of Canada (RY on TSX and NYSE), today announced the launch of its Collateral Management service.…

BIS: The cost of clearing fragmentation

December 12, 2019

BIS, CCP, cost basis

We find that the average CCP basis for dollar swap contracts was around 2 basis points during our sample period. This is economically significant as it translates into a daily…

SEC’s Dalia Blass speaks on affiliated securities lending

December 10, 2019

affiliated lending, mutual funds, sec, Securities Lending

Keynote Address — 2019 ICI Securities Law Developments Conference Dalia Blass Director, Division of Investment Management Washington D.C. Dec. 3, 2019 Affiliated Securities Lending As we work to modernize asset…

Tradeweb annual review says 35% of GBP interest rate swaps now indexed to SONIA

December 10, 2019

interest rate swaps, LIBOR, SONIA, Tradeweb

Tradeweb Markets has published its 2019 Year in Review chronicling the most important fixed income market milestones of the year, along with commentary from senior leaders on how trends like…

EquiLend launches Swaptimization platform

December 10, 2019

Equilend, Swaps, Total Return Swaps

EquiLend, the global technology company for the securities finance, collateral and swaps industries, today launched the Swaptimization platform to automate the total return swaps (TRS) market. Building off of EquiLend’s…

RepoClear clears first Variable Rate Repo indexed to €STR

December 10, 2019

€STR, LCH, Repo, RepoClear

RepoClear has successfully cleared its first Variable Rate Repo (VRR) trade indexed on the Euro short-term rate (€STR). -Credit Suisse among the first participants to clear the new rate at…

ESMA values EU derivatives market at €735TN

December 10, 2019

ESMA, OTC derivatives

The European Securities and Markets Authority (ESMA) the EU’s securities regulator, today publishes its second Annual Statistical Report (Report) analysing the European Union’s (EU) derivatives markets. The Report, based on…

BIS documents role of top four lenders in US repo market

December 9, 2019

BIS, US repo

September stress in dollar repo markets: passing or structural? This box focuses on the distribution of liquid assets in the US banking system and how it became an underlying structural…

Independent dealer association calls for diversity, decrease in concentration in US repo markets

December 9, 2019

Independent Dealer and Trader Association, Repo, US

White Paper on the Repo Market Affecting U.S. Treasury and Agency MBS Independent Dealer and Trader Association The goal of this White Paper is to foster a greater understanding of…

BIS paper: Euro repo market functioning: collateral is king

December 9, 2019

BIS, Europe, Repo

Repo markets play a major role in redistributing liquidity and collateral between financial institutions. A unique transaction-level database reveals how the euro-denominated repo market has performed since the mid-2000s. We…

Reuters: cracks in the regulatory wall against possible revisions to capital rules

December 6, 2019

Quarles, Repo, Reuters, US Treasury

U.S. regulators signal openness to rethinking practices that caused repo market woes In a potential win for the banking industry, two top U.S. regulators on Wednesday signaled they may be…

Get the weekly SFM update – our December 6 newsletter is online

December 6, 2019

Top Stories: If the Swiss National Bank can trade repo on SIX, why can’t the Fed trade repo on FICC? (Premium); Collateral convergence: J.P. Morgan’s Ed Corral on how triparty…

ESAs reinforce that OTC derivative fallbacks should not create legacy contract obligations

December 5, 2019

benchmark reform, European Supervisory Authorities, non-cleared derivatives margin

The European Supervisory Authorities released a statement on the introduction of fallbacks in OTC derivative contracts and the requirement to exchange collateral. ESAs are aware of the possible interplay between…

ESMA publishes final report for bilateral margining, amendments conform to BCBS-IOSCO

December 5, 2019

BCBS IOSCO, ESMA, non-cleared derivatives margin

This final report presents new draft regulatory technical standards (RTS) on the risk mitigation techniques for OTC derivative contracts not cleared by a CCP (bilateral margining) that the European Supervisory…

Tradeweb repo activity lifts slightly to $190.4bn ADV in November

December 5, 2019

Average daily volume (ADV) across rates, credit, equities and money markets for Tradeweb Markets was $693 billion in November 2019, an increase of 22% year-on-year. Average daily trades for the…

ISLA publishes EU seclending markets manifesto with 5-year priorities

December 5, 2019

ISLA, Securities Lending

ISLA represents the common interests of the securities lending and financing industry in Europe and beyond. With 45% of its membership based in the EU27, and its other members committed…

Japan’s Government Pension Investment Fund halts equity securities lending program

December 3, 2019

Japan, Securities Lending

As part of its stewardship responsibilities, GPIF requires its asset managers to enhance the long-term value of investee companies by conscientiously exercising voting rights for all the shares they hold,…

OCC seclending CCP activity declined 17.6% in Nov 2019 year over year

December 3, 2019

CCP, OCC, Securities Lending

OCC’s securities lending CCP activity decreased by 17.6 percent in new loans from November 2018 with 92,138 transactions last month. Year-to-date stock loan activity has decreased 5.38 percent from 2018…

European banks transact on DLT-based seclending platform

December 3, 2019

Commerzbank, Credit Suisse, Deutsche Borse, DLT, HQLAx, Securities Lending, UBS

Deutsche Börse and HQLAᵡ successfully launched their jointly developed Distributed Ledger Technology (DLT) solution for frictionless collateral swaps in the securities lending market. The live transactions were executed by Commerzbank,…

Bloomberg: E*Trade Sued Over Interest on ‘Hard-to-Borrow’ Short Sales

November 29, 2019

E*Trade Financial Corp. was sued by a pair of investors who claim they were charged “shockingly high” undisclosed interest rates on short sales of so-called hard-to-borrow securities. The investors, who…

Get the weekly SFM update – our November 29 newsletter is online

November 29, 2019

Top Stories: Treasurers with machines: automated hedging in the FX market; SIX Digital Exchange gears up infrastructure for institutional crypto (Premium); China’s digital currency project: why you should pay attention…

ICMA survey warns on CSDR’s mandatory buy-in regime for European bonds

November 28, 2019

The International Capital Markets Association (ICMA) has released the results of a survey-based study intended to assess the impact of the CSDR mandatory buy-in regime on the European bond secondary…

Basel Committee publishes consultation paper on revisions to the CVA risk framework

November 28, 2019

The Basel Committee on Banking Supervision has published a consultative document on revisions to the credit valuation adjustment (CVA) risk framework. It seeks the views of stakeholders on a set…

ISLA Publishes SFTR Report Modeller

November 27, 2019

ISLA, report modeller, SFTR

The International Securities Lending Association (ISLA), is delighted to announce the publication of its report modeller for SFTR. The modeller has been designed to allow ISLA members to construct an…

SGX enhances Securities Borrowing and Lending programme with introduction of variable rates

November 27, 2019

Securities Lending, SGX

Fixed rates to be replaced with competitive variable rates for over 450 securities With effect from 2 December 2019, Singapore Exchange (SGX) will replace the fixed rates for its Securities…

ESMA releases consultation response on aligning MiFIR to EMIR REFIT

November 27, 2019

EMIR Refit, ESMA, MiFIR

The European Securities and Markets Authority (ESMA) has today published the responses it received to its consultation on aligning the Markets in Financial Instruments Regulation (MiFIR) requirements to the changes introduced by…

ISDA: Key Trends in the Size and Composition of OTC Derivatives Markets in the First Half of 2019

November 27, 2019

ISDA, OTC derivatives

The latest data from the Bank for International Settlements (BIS) over-the-counter (OTC) derivatives statistics shows that OTC derivatives notional outstanding increased in the first half of 2019 compared with the…

Basel Committee issues guiding principles for the operationalisation of a sectoral countercyclical capital buffer

November 27, 2019

Basel Committee, Countercyclical Capital Buffer, sectoral countercyclical capital buffers

The Basel Committee on Banking Supervision today published guiding principles for the operationalisation of a sectoral countercyclical capital buffer (SCCyB). The SCCyB is a tool that can be used to…

FSB updates Regulatory framework for haircuts on non-centrally cleared securities financing transactions

November 26, 2019

FSB, Haircuts, securities finance

This document sets out a revised framework for haircuts on non-centrally cleared securities financing transactions. As in the October 2014 Framework Document, it consists of recommendations on: (i) qualitative standards…

First automated repo trade confirmation in US as Citadel, J.P. Morgan tap MarketAxess engine

November 25, 2019

automation, Citadel, J.P. Morgan, MarketAxess, Repo

MarketAxess facilitated the first repurchase agreement (repo) trade affirmation between Citadel and J.P. Morgan, marking the first automated confirmation through MarketAxess in the US. MarketAxess is the operator of an…

Reuters: U.S. banks cram for Fed risk test, with ripple effects in repo

November 25, 2019

Repo, Reuters, stress tests

New quarterly data from the biggest U.S. banks suggest that some will need to back away from short-term lending markets by year-end to avoid triggering requirements that they hold more…

Basel Committee publishes GSIB list and methodology

November 22, 2019

Basel Committee, GSIB

The Basel Committee on Banking Supervision today published further information related to its 2019 assessment of global systemically important banks (G-SIBs), including additional details underlying the scoring methodology. The publication accompanies the…

Get the weekly SFM update – our November 22 newsletter is online

November 22, 2019

Top Stories: US adoption of SA-CCR means easing for derivatives clearers and incremental liquidity for big banks; How Fnality is advancing wholesale blockchain settlement (Premium); The impact of direct agency…

Reuters: Return of short-selling bans: market protection or ‘war against truth’?

November 21, 2019

Reuters, Short selling

New moves to curb short-selling in some countries have set the stage for a renewed battle between free market advocates and authorities aiming to check investors they see as profiteers…

BME Clearing starts clearing repo trades on European sovereign debt

November 21, 2019

BME, Repo

BME Clearing, BME’s Central Counterparty (CCP), today started offering clearing of repo trades on sovereign bonds from several European countries, in addition to the clearing of Spanish sovereign debt repo…

Russia’s Sberbank completes full repo transaction on blockchain, gets patent

November 21, 2019

Sberbank is the first in Russia to have obtained a patent for a repo deals solution and an execution system that utilize distributed ledger technology. The solution was developed by…

Fed to continue repo liquidity operations at least through January 2020

November 20, 2019

Federal Reserve, Repo

Statement and Minutes of the Federal Open Market Committee October 29–30, 2019 The Committee also directs the Desk to conduct term and overnight repurchase agreement operations at least through January…

Fed blog: Monetary Policy Transmission and the Size of the Money Market Fund Industry

November 20, 2019

Liberty Street Economics, money market funds

In a recent post, we documented the transmission of monetary policy through money market funds (MMFs). In this post, we complement that analysis by comparing the transmission of monetary policy…

US regulators allow custodians to exclude central bank deposits for the Supplementary Leverage Ratio

November 19, 2019

Custodians, Supplementary Leverage Ratio, US

The federal bank regulatory agencies have finalized changes to a capital requirement for banking organizations predominantly engaged in custodial activities, as required by the Economic Growth, Regulatory Relief, and Consumer…

US regulators adopt SA-CCR

November 19, 2019

SA-CCR, US

Three federal bank regulatory agencies on Tuesday jointly announced a final rule updating how certain banking organizations are required to measure counterparty credit risk for derivative contracts under their regulatory…

DTCC launches beta of FRTB data service

November 18, 2019

ActiveViam, DTCC, FRTB

The Depository Trust & Clearing Corporation (DTCC), the premier post-trade market infrastructure for the global financial services industry, today announced the availability of a beta version of its FRTB Real…

SIX bids EUR 2.843 million for Bolsas y Mercados Españoles

November 18, 2019

BME, SIX

SIX Group AG (“SIX”), the Swiss financial markets infrastructure operator, today announced that it intends to make an all-cash voluntary tender offer for Bolsas y Mercados Españoles (“BME”), operator of…

ICMA to update its buy-in rules to support implementation of EU CSDR mandatory buy-in provisions

November 18, 2019

CSDR, ICMA

The International Capital Market Association (ICMA) will amend its Buy-in Rules to support the implementation of the EU Central Securities Depositories Regulation (CSDR) mandatory buy-in provisions. ICMA Buy-in Rules are…

Women in Securities Finance opens London chapter

November 17, 2019

Women in Securities Finance

Women in Securities Finance announced it’s kicking off a London chapter, which will be led by Harpreet Bains from J.P. Morgan and Ina Budh-Raja from BNY Mellon. The group’s mission…

Bloomberg: Powell Faces Doubt That Fed Really Has Repo Under Control

November 15, 2019

Bloomberg, Federal Reserve, Repo