News and Notes

Initial Margin, triCalculate, TriOptima

TriOptima, a leading infrastructure service that lowers costs and mitigates risk in OTC derivatives markets, today announced that it has launched triCalculate IM Analytics which provides crucial insight into the options for…

ISLA clarifies SFTR launch date of Q2 2020

January 15, 2019

ISLA, SFTR

In relation to a previous ISLA communication on the SFTR reporting RTS, in which we suggested that the Council of the EU had extended the period to scrutinize the relevant…

ICMA: End of 2018 European repo market relatively uneventful

January 15, 2019

Europe, ICMA, Repo

Today ICMA has published a briefing note on the European repo market at 2018 year-end. The note documents and analyses repo market behaviour through 2018 year-end. Compared with the previous…

BIS publishes Minimum capital requirements for market risk

January 15, 2019

Basel Committee, BCBS, capital requirements, Market Risk

The standard has been revised to address issues that the Basel Committee identified in the course of monitoring the implementation and impact of the framework. This final standard incorporates changes…

OCC Launches Renaissance Initiative to Modernize Technology Infrastructure

January 14, 2019

OCC, Options Clearing Corporation

To better serve its stakeholders and the users of the U.S. equity options and futures markets, OCC, the world’s largest equity derivatives clearing organization, today announced the Renaissance Initiative, a…

The Hill: Cyberattack on Treasury bonds could be the missing ingredient for next economic crisis

January 14, 2019

cybersecurity, treasuries

Trust is the fuel that makes the global financial system work — yet thanks to sophisticated operations by foreign government hackers who are increasingly willing to target that system, the…

BIS: On money, debt, trust and central banking

January 14, 2019

BIS, monetary system, money

This essay examines in detail the properties of a well functioning monetary system – defined as money plus the mechanisms to execute payments – in both the short and long…

TriOptima Sets New triReduce Record: $250 Trillion Gross Notional Value Compressed at LCH SwapClear During 2018

January 14, 2019

LCH Swapclear, TriOptima

TriOptima, the leading multilateral compression provider that lowers costs and mitigates risk in OTC markets, today announced that it has set a new record for its triReduce portfolio compression service.…

Charles River and AcadiaSoft team up for margin call automation

January 11, 2019

Anna Reitman

AcadiaSoft, automation, Charles River Development, Margin, State Street

Charles River Development, a State Street Company, and AcadiaSoft have announced a business alliance to automate communication of margin calls and collateral estimates between counterparties in the Charles River Investment…

Get the weekly SFM update – our January 11 newsletter is online

January 11, 2019

Headlines: BIS report: central banks continue to explore their own cryptocurrency issuance; Could Chinese banks become an important liquidity source for Western banks? (Premium); Update on our Frankfurt event, “The…

BoE Consultation Paper: Credit risk mitigation: Eligibility of financial collateral

January 10, 2019

Bank of England, collateral, credit risk mitigation

Overview In this Consultation Paper (CP), the Prudential Regulation Authority (PRA) sets out its proposed changes to Supervisory Statement (SS) 17/13 ‘Credit risk mitigation’ to clarify expectations regarding the eligibility of…

ISLA: European Council extends scrutiny period for SFTR

January 10, 2019

ISLA, SFTR

The European Council has extended the formal scrutiny period of the Reporting Technical Standards (RTS) in respect of the SFTR by three months. In practice, this implies that the scrutiny…

DTCC to provide derivatives trade reporting in Switzerland

January 8, 2019

DTCC, Switzerland, trade reporting, Trade Repository

The Depository Trust & Clearing Corporation (DTCC), the premier post-trade market infrastructure for the global financial services industry, today announced that it has received regulatory approval from the Swiss Financial…

Fed blog: Coming to Terms with Operational Risk

January 7, 2019

Federal Reserve Bank of New York, Liberty Street Economics, operational risk

Operational risk is currently a major risk category for U.S. bank holding companies, and it has grown both in dollar terms and relative to other risks in recent years. As…

ETF.com: Get Ready For Zero Fee ETFs

January 5, 2019

ETFs, Securities Lending

A flat U.S. stock market and losses in the U.S. bond and most international markets mask what has been another impressive year for ETF inflows of approximately $280 billion as…

DataLend: Securities Finance Industry Generated $9.96 Billion in Revenue in 2018

January 3, 2019

DataLend, Securities Lending

NEW YORK (January 3, 2019)—The global securities finance industry generated just under $9.96 billion in revenue for lenders in 2018, according to market data provider DataLend. It was a record…

OCC seclending CCP activity up 3.9% in Dec 2018 year over year

January 2, 2019

OCC, Options Clearing Corporation, Securities Lending

OCC’s securities lending CCP activity was up 3.9 percent in new loans from December 2017 with 107,214 transactions last month. For the year, stock loan activity increased 17.2 percent from…

US GCF Repo(R) rate hits 5.149% on last day of 2018; tri-party and SOFR up

January 2, 2019

GCF Repo, US

The US GCF Repo(R) market hit an astounding 5.149% for UST on December 31, 2018, up from 2.551% just the day before. We heard a high point of 6.125% in…

American Financial Exchange (AFX) celebrates third year anniversary with milestones in membership, volume and new products

December 21, 2018

AFX, American Financial Exchange

American Financial Exchange (AFX), a centralized, electronic, self- regulated, fully transparent platform launched in 2015 to directly reflect true unsecured funding costs for a nationally broad base of U.S. banks…

ESMA releases consultation paper on CSDR settlement fails reporting

December 21, 2018

CSDR, ESMA

In order to ensure the consistent application of Article 7(1) of CSDR3 and Article 14 of the Commission Delegated Regulation (EU) 2018/12294, ESMA has decided to issue Guidelines on the…

ICMA ERCC publishes revisions to the Guide to Best Practice in the European Repo Market

December 21, 2018

ERCC, Europe, ICMA, Repo

ICMA’s European Repo and Collateral Council (ERCC) is publishing revisions to its Guide to Best Practice in the European Repo Market (Guide). Written on the basis of detailed input from…

ECB working paper: Re-use of collateral: leverage, volatility, and welfare

December 21, 2018

collateral, ECB, re-use

We assess the quantitative implications of collateral re-use on leverage, volatility, and wel- fare within an infinite-horizon asset-pricing model with heterogeneous agents. In our model, the ability of agents to…

Working group on euro risk-free rates seeks market feedback on transition from EONIA to ESTER and ESTER-based term structure methodologies

December 21, 2018

ECB, Eonia, ESTER

Private sector working group publishes report on transition from EONIA to ESTER Working group launches consultation on determining ESTER-based term structure methodology as fallback for contracts linked to EURIBOR Market…

BIS: A key currency view of global imbalances

December 21, 2018

This study divides the world into currency zones according to the co-movement of each currency with the key currencies. The dollar zone groups economies that produce well over half of…

ISDA Publishes Final Results of Benchmark Fallbacks Consultation

December 20, 2018

The International Swaps and Derivatives Association, Inc. (ISDA) has today published a report summarizing the final results of a consultation on technical issues related to new benchmark fallbacks for derivatives…

Eurex Clearing expands distribution to clients of U.S. clearing members

December 20, 2018

Eurex Clearing, one of the world’s leading central counterparties, will offer clearing services for swap transactions to clients of futures commission merchants (FCMs) domiciled in the U.S., thus expanding its…

ARRC says $32 billion in SOFR-linked bond issuance to date, SOFR futures on the rise

December 20, 2018

ARRC, CME, SOFR, SOFR futures

As of December 12, SOFR cash issuance had reached $31.6 billion outstanding. With another issuance by the Federal Home Loan Bank yesterday, that brings the total to over $35 billion…

US FSOC annual report recommends focus on transitioning off LIBOR and monitoring leveraged loan risk

December 19, 2018

FSOC, leveraged loans, LIBOR, SOFR

The Financial Stability Oversight Council (Council) today published its 2018 annual report. The Council’s annual reports describe significant financial market and regulatory developments, potential emerging threats to U.S. financial stability,…

European Commission adopts conditional equivalence for CCPs and CSDs post-Brexit

December 19, 2018

Bank of England, Brexit, CCPs, CSDs, European Commission

COMMUNICATION FROM THE COMMISSION TO THE EUROPEAN PARLIAMENT, THE EUROPEAN COUNCIL, THE COUNCIL, THE EUROPEAN CENTRAL BANK, THE EUROPEAN ECONOMIC AND SOCIAL COMMITTEE, THE COMMITTEE OF THE REGIONS AND THE…

BME Clearing clears its first repo trades executed on BrokerTec

December 19, 2018

BME Clearing, BrokerTec, Repo

BME, through its BME Clearing subsidiary, has cleared its first repo trades executed on the anonymous dealer-to-dealer trading platform BrokerTec, owned by NEX Markets. The clearing of these transactions follows…

LIBOR replacement: FINMA publishes guidance

December 18, 2018

FINMA, LIBOR, Switzerland

The UK’s Financial Conduct Authority (FCA) has announced that it no longer intends to support the LIBOR benchmark interest rate from 2021 onwards. Alternative reference rates are therefore currently being…

Bank of England consultations on resolvability assessment framework

December 18, 2018

Bank of England, bank resolution, resolution authority

The Bank of England (Bank) and Prudential Regulation Authority (PRA) have today published proposals to further protect the economy and taxpayers from bank failure by putting in place the final…

GFMA and ICMA recommend recalibrations and carve-outs in global SFT regulation

December 17, 2018

GFMA, ICMA, Repo

The GFMA and ICMA Repo Market Study: Post-Crisis Reforms and the Evolution of the Repo and Broader SFT Markets This report, The GFMA and ICMA Repo Market Study: Post-Crisis Reforms…

BIS: The geography of dollar funding on non-US banks

December 17, 2018

Where do non-US banks obtain the funding for the large amount of US dollars they lend? Traditionally, their branches and subsidiaries in the United States were a major source of…

BIS: Clearing risks in OTC derivatives markets: the CCP-bank nexus

December 17, 2018

BIS, CCPs, systemic risk

Systemically important banks and central counterparties (CCPs) interact in highly concentrated over-the-counter (OTC) derivatives markets. We outline the CCP-bank nexus to think about the endogenous interactions between banks and CCPs…

ECB to end Asset Purchase Program in 2018

December 14, 2018

ECB, Quantitative Easing

At today’s meeting the Governing Council of the European Central Bank (ECB) decided that the interest rate on the main refinancing operations and the interest rates on the marginal lending…

Get the weekly SFM update – our December 14 newsletter is online

December 14, 2018

Headlines: The buzz on Total Return Futures (Premium); Finadium’s report on US Repo Market at End of 2018; Are fiduciaries risking litigation by not electing scrip dividends or rights issues?…

Basel Committee seeks to reduce window dressing in the Leverage Ratio

December 13, 2018

Basel Committee, Basel III, Leverage Ratio, window-dressing

The Basel III leverage ratio standard comprises a 3% minimum level that banks must meet at all times, a buffer for global systemically-important banks and a set of public disclosure…

Euroclear: Asset Managers making securities lending mainstream

December 13, 2018

Euroclear, Securities Lending

While the global securities lending market all but closed in the aftermath of the global financial crisis, the past decade has seen it come back strongly. But according to buy-side…

European Commission adopts SFTR rules

December 13, 2018

European Commission, SFTR

Monitoring of financial stability risks outside the banking sector: Commission adopts package of rules to increase transparency in securities financing markets In an important step towards increasing the transparency of…

BNYM purchases Trading Apps’ agency lending IT and IP

December 13, 2018

BNY Mellon, Trading Apps

On November 29th, BNY Mellon purchased the agency securities finance software and associated intellectual property of Trading Apps, the UK-based provider of market-leading front-end software. The transaction will deliver substantial…

One of JPM’s EquiLend ownership positions sold to NBC

December 13, 2018

Equilend, NBC

The sale to National Bank of Canada was confirmed on media sites. According to EquiLend CEO Brian Lamb, “NBC is a strong supporter of fintech and automation in the securities…

WSJ: Investors sell short $10 Billion of bond ETFs

December 12, 2018

Bonds, ETFs, Short selling, WSJ

Warning lights are flashing in a corner of U.S. debt markets. Bond investors scrambling to protect themselves from losses are increasingly using bets against the largest junk-bond exchange-traded funds and…

Morningstar says benefits of securities lending to fundholders outweigh the risks

December 12, 2018

Morningstar, Securities Lending

Securities Lending: An Examination of the Risks and Rewards By Adam McCullough | 11 December 2018 Securities lending carries risk, but the risk entailed today is less than in the past. Increased…

LCH RepoClear hits €183tn in record year

December 12, 2018

RepoClear has already had a record year in 2018, clearing over €183 trillion ($207.7tn) in nominal over the year to date, across LCH’s UK and Continental Europe operations. Also: At…

DTCC partners with Xceptor for SFTR reporting data management

December 12, 2018

Anna Reitman

data management, DTCC, SFTR, Trade repositories, Xceptor

The Depository Trust and Clearing Corporation (DTCC) announced that it has partnered with Xceptor, a data-centric intelligent automation software provider. DTCC will incorporate Xceptor’s data transformation capabilities with the Global…

Basel Committee publishes Pillar 3 disclosure requirements – updated framework

December 12, 2018

Basel Committee, Basel III, Pilar 3

The Basel Committee on Banking Supervision has published today updated Pillar 3 disclosure requirements. These requirements, together with the updates published in January 2015 and March 2017, complete the Pillar…

ISDA Publishes 2018 Benchmarks Supplement Protocol

December 10, 2018

December 10, 2018 ISDA has today published the ISDA 2018 Benchmarks Supplement Protocol, intended to help market participants incorporate the ISDA Benchmarks Supplement into their interest rate, FX, equity and…

ISDA: Key Trends in the Size and Composition of OTC Derivatives Market

December 10, 2018

ISDA, OTC derivatives