Harmonisation of the Unique Product Identifier (UPI) - guidance issued by CPMI-IOSCO

An important paper on the allocation of a Unqiue Product Identifier to all OTC derivatives products. A foundation on which regulatory reporting and statistical analysis would be greatly improved.

Understanding BIS Derivatives Statistics

The most recent BIS data, at the end of June 2016 is here: http://www.bis.org/publ/otc_hy1611.htm and the BIS press release on their data is here: http://www.bis.org/press/p161110.htm

Notionals continue to go up, but compression is racing to bring them down. The analysis by ClarusFT below gives a perspective on the accuracy of the data.


US overtakes UK in OTC Volume | BIS Triennial Survey

The BIS published their trienniel survey today which shows a change in the balance of OTC business activity to the US from the UK:

Are remaining G-SIB shortfalls of Basel III capital more problematic than it seems?

At an eight month lag to the base reported data it is based on, BCBS's half yearly Basel III monitoring report was published recently looking at banks' progress towards meeting Basel III capital and liquidity rules.  On the surface the report seems to have a pretty positive message. Reading between the lines and combining with other information there is a more interesting story behind the numbers on what it will take to meet the minimum ratios.  

Will leverage ratio cause an FCM concentration crisis?

Risk magazine editor Duncan Wood makes a good point in his article The invisible incentives of clearing (subs. required) - the FSB / BIS ignored leverage ratio effects in concluding that incentives are in place for clearing both on banks self-clearing their trades and on FCMs clearing trades for clients.  In this post I look at the FCM capital cost problem and whether changes to bank capital rules alone can deliver an economically sustainable future for FCMs.

Double MPOR under Basle 3 | Collateral Disputes Carry a High Cost

In the Basle 3 rules, page 40, (see bcbs189 below)  you see this:

41 (ii). If a bank has experienced more than two margin call disputes on a particular netting set over the previous two quarters that have lasted longer than the applicable margin period of risk (before consideration of this provision), then the bank must reflect this history appropriately by using a margin period of risk that is at least double the supervisory floor for that netting set for the subsequent two quarters.


The Size of the OTC Market | End Dec 2013

The latest BIS report on volumes in the OTC market shows two opposite trends for Rates and Credit derivatives

How Big is OTC really? Part 2: OTC shrank 20% in H1 2013

OTC shrank by ~20% in six months: from $25tn at end 2012 to $20tn market value by end H1 2013. Not yet clear why.

Collateral Management | The Next Big Challenge

Now that Reporting for Europe has come into effect I am looking further into the next challenges that await for us just around the corner and I would like to share some thoughts in this post and in others coming soon on what I believe will be one of our major headaches the years to come. 

Weekly Roundup | US & International Regulation | 18 January 2014

US Regulation: The Volcker Rule

Agencies Issue Final Rules Implementing the Volcker Rule

Five federal agencies on Tuesday issued final rules developed jointly to implement section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Volcker Rule”). CFTC Press Release: Agencies Issue Final Rules Implementing the Volcker Rule.