A paper explaining how CCPs allocate losses to members in a default.
Interesting paper on how a CCP achieves protection.
UniCredit, plus DBS in Singapore and Nordea in Sweden have all adopted a "don't trade with the US" approach to Dodd Frank. TJ Lim, Head of Capital Markets at UniCredit announced their strategy at the ISDA AGM last week.
With OIS rates below low, in some cases the interest on your cash posted under a CSA can go negative, i.e. you pay to post. ISDA has been working on a clarification on this, and might issues a protocol.
Three separate items which together indicate a concerted strategic move by NASDAQ into fixed income electronic execution partnering with "horizontal" derivatives CCPs:
In an environment where bilateral and cleared trades are more appropriately risk mitigated through bilateral margin, CCP margin and guarantee funds and Basel III capital, fragmentation costs and increases in systemic risk due to regulatory clearin
Goldman and JP have started to support EU banks lobbying against the Fed proposal to require US banks to hold more capital
Last month, I posted a blog titled "Analysis of Pricing of Cleared and Un-Cleared Swaps from the US DTCC SDR"
For the many who couldn't attend this years ISDA AGM, below is a round up of the key stories. If any of the attendees have anecdotes, incriminating pictures or gossip, please send it over.
The following articles describe the announcement made by ISDA and SIFMA jointly at the Singapore ISDA meeting today: Risk.net
It seems that what until now has only been an open sceptisism on Mr Gensler's side, is now considered to be the strongest indication that regulators are more than eager to replace LIBOR with an alternative benchmark. As Mark Carney, the future Ban
The CME SDR sprang a leak,story here affecting DE Shaw & others. Update: more from Reuters, it was futures data not OTC, 500 trades.
A really good piece on the importance of data and their critical role to the efforts of regulators and market participants to ensure that the financial markets are underpinned by a robust infrastructure in order to monitor and offset risk effectiv
A few days ago I did this post on Elisse Walter's speech on regulation of cross-border OTC derivatives. On A
New kid on the block (of SEFs).... Javelin Capital Markets has announced that it has opened an office in London and will register as a SEF once the SEF rules are finalized.
Sunil Hirani who created CreditEx, now part of ICE, has built a new trading market TrueEx, and registered as a Designated Contract Market (DCM) with the CFTC.
He really is a Nutt. I wish banning cocaine in banks was the regulatory response to 2008 - it would be much easier to implement.
I saw this speech by Bart and couldn't be bothered to expose you all to his madness, but Noah did it for me, so read on...
It has long been known in the financial industry that "spreadsheet risk" is a huge source of operational error.