News and Notes

automation, CSDR, MeritSoft, Taskize

Meritsoft, a Cognizant company, and Taskize, a Euroclear company, are integrating their automated fails operational workload offering and global operational task management solutions to provide an end-to-end Central Securities Depositories…

BBH: NAV oversight during extreme market volatility

June 18, 2020

BBH, constant NAV, floating NAV

If the past few months of turbulence has taught us anything, it’s that oversight accuracy becomes more important during times of market volatility. With the twin challenges of March’s significant market…

Eurex clears first interest rate swap transaction from Japan

June 17, 2020

Eurex, interest rate swaps, Japan

First Japanese financial institution clears OTC interest rate swap transaction at Eurex Clearing out of Japan Further potential for Eurex Clearing to see increasing activity in euro clearing Eurex Clearing…

Negative US interest rates: FT says Bloomberg telling terminal users to consider Bachelier options model instead of Black-Scholes

June 16, 2020

Bachelier, Black-scholes, negative rates, options

From the FT: Bloomberg recommended that users switch to a new model “as a preventive measure” to ensure that pricing functions on interest rate options or similar derivatives continue to…

ESMA’s working group on euro risk-free rates recommends voluntary compensation for legacy swaption contracts affected by the discounting transition to the €STR

June 16, 2020

€STR, alternative risk free rates, ESMA

• Working group recommends voluntary compensation for legacy swaption contracts • Market participants advised to contact swaption counterparties to discuss and decide on voluntary compensation • No single preferred option…

Montréal Exchange Launches CORRA Futures

June 15, 2020

Canada, Montreal Exchange, Repo

Montréal Exchange (MX), Canada’s derivatives exchange, today announced the launch of CORRA Futures, a new three-month futures contract based on the Canadian Overnight Repo Rate Average (CORRA) benchmark. The launch…

Bank of Canada becomes administrator of Canadian Overnight Repo Rate Average (CORRA)

June 15, 2020

Bank of Canada, CORRA, Repo

The Bank of Canada is now the administrator of the Canadian Overnight Repo Rate Average (CORRA) and will post today the first rate calculated using an improved methodology. The Bank…

FT: CalPERS to adopt up to 20% leverage in new portfolio strategy

June 15, 2020

In a presentation to the Calpers board, Ben Meng, chief investment officer, said the giant fund would take on additional leverage via borrowings and financial instruments such as equity futures.…

IHS Markit, Pirum release report on SFTR for asset managers

June 15, 2020

asset managers, IHS Markit, Pirum, SFTR

SFTR reporting requirements for asset managers, pension and insurance funds along with hedge funds is due to start in October 2020. There is a huge amount of complexity and risk…

Man Group makes argument for shorting based on ESG

June 12, 2020

ESG, Man Group, Short selling

What does responsible investing need to do to become fully mature? Go short. June 2020 To some, responsible investment is a goody-goody exercise. You buy some stocks that you think…

Fed blog: How Fed Swap Lines Supported the U.S. Corporate Credit Market amid COVID-19 Strains

June 12, 2020

Federal Reserve, Liberty Street Economics, swap lines

The onset of the COVID-19 shock in March 2020 brought large changes to the balance sheets of the U.S. branches of foreign banking organizations (FBOs). Most of these branches saw…

P&I: Lothian adopts automatic recall of stock for annual meeting votes

June 12, 2020

Lothian, Securities Lending, voting

Lothian Pension Fund, Edinburgh, will automatically recall shares out on loan so fund executives can vote the entire holding of any stock at annual general meetings. The £8 billion ($9.9…

Fed to slowly raise repo rates

June 12, 2020

Federal Reserve, Repo

Wematch and Pirum Systems announce go-live with Bank of America on their integrated service on Securities Lending

June 12, 2020

Bank of America, Pirum, Wematch

Wematch and Pirum have partnered to develop a fully integrated front to back service solution for clients using the Wematch platform. The first end to end securities finance transactions were…

BoE blog: what role did margin play during the Covid-19 shock?

June 12, 2020

Bank of England, coronavirus, derivatives, Initial Margin, Margin, Variation Margin

As markets reacted to Covid-19 in March 2020, some markets saw their largest price moves in 30 years. Price volatility also rose sharply. This resulted in a large increase in…

Get the weekly SFM update – our June 12 newsletter is online

June 12, 2020

News and Notes, Uncategorized

weekly update

Top Stories: How bank treasury managers allocate balance sheet and implications for repo (Premium) ; Globalization is changing, and so too are priorities in outsourcing risk (Premium); Webinar replay: Current…

ESMA renews decision requiring net short position holders to report positions of 0.1%+

June 11, 2020

The European Securities and Markets Authority (ESMA) has renewed its decision to temporarily require the holders of net short positions in shares traded on a European Union (EU) regulated market…

Negative leaning WSJ article on securities lending vs. shareholder voting

June 10, 2020

Securities Lending, shareholders, voting, WSJ

How Investing Giants Gave Away Voting Power Ahead of a Shareholder Fight BlackRock, Vanguard and Fidelity were among the largest investment firms in GameStop that decided to forgo ballots by…

ESG high on the radar for Bank of England Securities Lending Committee

June 10, 2020

Bank of England, ESG, Securities Lending

Minutes of the Bank of England Securities Lending Committee 27 February 2020 Impact of Environmental, Social and Corporate Governance (ESG) on Securities Lending Markets The Committee discussed the potential challenges…

ECSDA requests postponement of CSDR

June 10, 2020

CSDR, ECSDA

On 8 June 2020, the European Central Securities Depositories Association (ECSDA) writes to request a postponement in the implementation of Settlement Discipline Regime (SDR), and Settlement penalties in particular, possibly…

BoE’s post-trade tech panel reviews “pinch points”, considers reforms

June 8, 2020

Bank of England, post-trades processing, technology

A recent report by the Bank of England’s Market Practitioner Panel focuses on post-trade processing, an area where Panel members see significant scope for improvements in efficiency and resilience. It…

ISDA and aosphere Launch E-contracts Service

June 8, 2020

contracts, e-contracts, ISDA

The International Swaps and Derivatives Association, Inc. (ISDA) and aosphere LLP have launched a new service that will enable users to quickly and efficiently assess issues relating to the enforceability…

Seclending prioritized as DLT post-trade project by JPX, JASDEC

June 7, 2020

blockchain, DLT, JASDEC, JPX, Securities Lending

Japan Exchange Group and Japan Securities Depository Center announced that they have selected three use cases for verification using a DLT test environment developed by JPX-led consortium in their pilot…

ESMA publishes final report on fair and reasonable (FRANDT) clearing terms under EMIR Refit

June 7, 2020

EMIR Refit, ESMA, FRANDT

The European Securities and Markets Authority (ESMA), the EU’s securities markets regulator has published its final report with technical advice to the European Commission (EC) on the fair, reasonable, non-discriminatory…

SGX announces launch of Singapore Single Stock Futures and signs MSCI Singapore licence agreement

June 5, 2020

SGX, Single Stock Futures

10 Singapore single stock futures contracts will be launched on Monday, 15 June 2020 Signs licence agreement with MSCI for Singapore index products Singapore Exchange (SGX) announced that it will…

Get the weekly SFM update – our June 5 newsletter is online

June 5, 2020

Top Stories: Global equity market rises may be showing a breakdown in price discovery; How institutional tokenization in Asia is shaping out mid-pandemic (Premium); Webinar replay: What the Next Generation…

Reuters: global firms consider moving treasury operations out of HK

June 4, 2020

Some global companies are considering shifting some of their treasury operations out of Hong Kong as the United States moves to end the city’s privileges, senior bankers said to Reuters.…

Tradeweb’s repo ADV up up 9.4% YoY to $231.4bn in May

June 3, 2020

electronic repo, Tradeweb

Tradeweb reported average daily volume (ADV) of $791.7 billion in May across its electronic marketplaces for rates, credit, equities and money markets. This is an increase of 7.2% year over…

BIS via ISDA: OTC derivatives notional down 12.8% from mid-year 2019 to end 2019

June 3, 2020

BIS, ISDA, OTC derivatives

The latest data from the Bank for International Settlements over-the-counter (OTC) derivatives statistics shows that OTC derivatives notional outstanding at year-end 2019 increased by 2.6% compared with year-end 2018 and…

OCC securities lending CCP volume flat in May 2020 year over year

June 1, 2020

OCC, Securities Lending CCPs

The average daily loan value at OCC in May 2020 was $74,424,510,160, a 0.72 percent increase compared to May 2019. Securities lending CCP activity decreased by 9.68 percent in new…

AcadiaSoft announces IM phase 5 soft launch to assist with UMR compliance

June 1, 2020

AcadiaSoft, Initial Margin, Phase 5, UMR

AcadiaSoft announced an industry-wide soft launch to help phase 5 firms stay on track for Uncleared Margin Rules (UMR) compliance ahead of the extended 2021 deadline. AcadiaSoft is an industry…

SIFMA: no compelling case for Fed to change CCAR/SCB status quo

June 1, 2020

CCAR, Federal Reserve, SIFMA, Stress Capital Buffer

The next few months will bring clarity to the extent and permanence of damage to the US economy. With all US states in various phases of reopening and some positive…

Federal Reserve releases results of survey of senior financial officers at banks about their strategies and practices for managing reserve balances

June 1, 2020

Balance sheets, Federal Reserve, IOER, Repo

February 2020 Senior Financial Officer Survey Key takeaways from the survey included the following: Survey respondents indicated that their LCLoR (lowest comfortable level of reserves), given the constellation of short-term…

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

May 29, 2020

Top Stories: Webinar replay: Technology, Operations and Market Structure in Securities Finance, FISL 2020 (Premium) ESG in securities finance isn’t just principles – it’s also culture and compensation (Premium); Wells…

Bloomberg and J.P. Morgan integrate data and workflow for post-trade efficiencies

May 28, 2020

Bloomberg, data management, J.P. Morgan, post-trades processing

J.P. Morgan’s Securities Services and Bloomberg announced their collaboration on a post-trade workflow through direct front-to-back process, product, and data integration. The combination of Bloomberg AIM, a buy-side order management system,…

ISLA publishes position paper on DAC6

May 28, 2020

DAC6, ISLA

The International Securities Lending Association published a new position paper on the EU Directive on Administrative Cooperation (DAC6). Produced in collaboration with Deloitte LLP, this paper is for participants in…

Research paper: Collateralized Networks

May 28, 2020

collateral, collateral management

Samim Ghamami University of California, Berkeley – Center for Risk Management Research; New York University (NYU); Goldman Sachs Group, Inc. Paul Glasserman Columbia Business School Peyton Young Government of the…

BrokerTec and TriOptima add UTIs for end-to-end repo workflow solution

May 28, 2020

BrokerTec, Repo, TriOptima

BrokerTec, a leading provider of electronic trading platforms and technology services in fixed income markets, and TriOptima, a leading infrastructure service that lowers costs and mitigates risk in OTC derivatives…

ICMA issues report on performance of the European investment grade corporate bond markets during the COVID-19 crisis

May 28, 2020

Corporate Bonds, CSDR, ICMA

A new report published today by the International Capital Market Association (ICMA) documents the performance of the investment grade secondary bond market in Europe during the last weeks of February…

ISLA Publishes Revised 2020 US Tax Addendum to GMSLA

May 27, 2020

GMSLA, ISLA

ISLA has now published the revised 2020 US Tax Addendum to the GMSLA 2010, along with supporting guidance notes. The new addendum provides a broader approach, covering Qualified Derivative Dealer…

BIS: Model risk at central counterparties: Is skin-in-the-game a game changer?

May 25, 2020

BIS, CCPs, skin in the game

We investigate how central counterparties (CCPs) manage counterparty credit risks. CCPs play a key role in clearing derivative trades. They stand between clearing members, insuring them against counterparty credit risks.…

Fed blog: Have the Fed Swap Lines Reduced Dollar Funding Strains during the COVID-19 Outbreak?

May 22, 2020

dollar liquidity, Federal Reserve, FX Swaps, Liberty Street Economics

The results show that, relative to other currencies, those currencies with announcements related to standing and temporary swap lines did not have significantly narrower FX swap basis spreads on and…

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

May 22, 2020

News and Notes, Uncategorized

weekly update

Top Stories: EquiLend Delves into Collateral Trading and Exposure Management The changing role of the hedge fund Treasury manager; Finadium: ESG is Changing Capital Markets: Services, Revenues and Outlook; DLT…

Reuters: PASLA ESG survey finds compatibility with securities lending

May 21, 2020

ESG, PASLA

Asset managers lending out of their securities can be compatible with investment on environmental, social and governance (ESG) principles, an industry body said on Thursday, adding it was working on…

Reuters: UK borrows at negative interest rate for first time

May 21, 2020

Bank of England, negative rates, UK Gilts

Britain sold a government bond with a negative yield for the first time, joining Japan, Germany and some other European countries in selling debt yielding less than 0%, reflecting the…

Northern Trust to liquidate Prime Obligations money market fund after withdrawals

May 20, 2020

Money Markets, Northern Trust

The Board of Trustees (the “Board”) of Northern Institutional Funds (the “Trust”) has determined, after consideration of a number of factors, that it is in the best interests of the…

Switzerland’s FINMA extends Leverage Ratio exemption of central bank assets

May 20, 2020

FINMA, Leverage Ratio, NSFR, Switzerland

In Guidance 06/2020 of 19 May 2020, FINMA adjusts the periods of various exemptions already granted. Clients are continuing to hold unusually large deposits with Swiss banks. FINMA is therefore…

Roll Call: House bills would let regulators study blockchain, backers say

May 20, 2020

blockchain, securities finance, US House

Two bills in the House would ensure that the Securities and Exchange Commission and the Commodity Futures Trading Commission could avoid transgressing [rules that block gifts] and still obtain access…

ECB’s SESFOD: financing collateralized by euro-denominated securities continues downtrend

May 20, 2020

coronavirus, ECB, non-cash collateral, SESFOD