Total Return Futures are establishing themselves as an alternative to swaps, and at our upcoming Finadium Investors in Securities Lending Conference in Paris on 24 September, we are gathering Crédit…Read More
The CME announced last week that it would be creating derivatives based on the new US Treasury repo index rate that could one day replace LIBOR. This is a good…Read More
Bank of New York Mellon and the CME have announced a collaboration to produce indices based on tri-party repo and futures contracts on those indices. This was long expected but…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
As a follow-up to our post last Thursday on the Global Financial Markets Association’s LIBOR conference, we wanted to revisit a topic that CFTC chairman Gary Gensler brought up: that…Read More
Last week ICAP and MTS announced a new series of repo indices, the RepoFunds Rate. These indices are based on overnight GC and selected collateral transactions on the BrokerTec and…Read More
The Wheatley Review on LIBOR released Friday was a strong indictment of LIBOR in its current incarnation but contained well-thought out proposals on where things go from here. The most…Read More
CFTC Chair Gary Gensler's speech to European Parliament – hinting at repo indices again as a benchmark
US CFTC Chairman Gary Gensler spoke before the European Parliament’s Economic and Monetary Affairs Committee yesterday by video. The testimony he gave focused on LIBOR, what went wrong and how…Read More
Liberty Street Economics Blog on bilateral and tri-party repo haircut differences: they can't explain it. We can.
On the FRBNY Liberty Street Economics blog there was post on Monday, September 17, 2012 entitled “The Odd Behavior of Repo Haircuts during the Financial Crisis” that caught our eye.…Read More
OneChicago, the US single stock futures exchange, released the news last week that its volumes through August had almost exceeded volumes for all of 2011. Meanwhile, NYSE Liffe’s Repo Futures…Read More