May 2014

'News' First USD IRS Trade Cleared at Eurex 22 May 2014 | Ricky Maloney

News Flash: Eurex clears our first USD IRS and also becomes the second largest OTC CCP in Europe.

'News' 8th ESMA Q&A on EMIR 22 May 2014 | Bill Hodgson

The ESMA EMIR Q&A has been updated to version 8, the new or modified questions are listed below. They seem to be addressing 'long tail' issues and don't appear to create any new operational implementation details.

'Articles' How Ready Are Firms for Mandated European Clearing? | Make Your Voice Heard 20 May 2014 | Bill Hodgson

One of the questions which many in Europe would like to understand, is how ready (or not) firms are to participate in central clearing, especially now that ESMA are working through the regulatory process to begin mandatory clearing.

'Articles' Moving from VaR to ES | What Difficulties are Involved? 19 May 2014 | Ben Larah

According to a Risk Magazine article (subscription required), medium-sized financial institutions are going to have a tough time moving from Value at Risk (VaR) to Expected Shortfall (ES) for the purposes of calculating trading-book capital requirements.

'News' RBS to Wind Down OTC Client Clearing Business 19 May 2014 | Bill Hodgson

The only way cost is going for OTC products is up - and the result will see structural changes to the firms operating in the OTC market.

'Articles' Tail-Wagging-the-Dog | Structured Products Edition 16 May 2014 | Ben Larah

A recent article in

'News' Procyclicality of Risk Based Initial Margin Models | Bank of England Research 16 May 2014 | Bill Hodgson

The Bank of England have published a study into the way IM models work when reacting to stressed market conditions, comparing models such as VaR, Historic Simular VaR and HSVaR with an Exponentially Weighted Moving Average (EWMA) filter.

'News' ISDA and FIA Europe Publish European Cleared Derivatives Execution Agreement 15 May 2014 | Maria Leontiou

The International Swaps and Derivatives Association, Inc.

'Articles' Demystifying FVA 14 May 2014 | Ben Larah

There has been some confusion recently over Funding Value Adjustment (FVA).

'Articles' 2014 Glossary of Financial Terms | Sapient 12 May 2014 | Ben Larah

Sapient Global Markets' annual Glossary of Financial Terms is one of the industry's most comprehensive guides to the latest terminology for capital and commodities markets. 

'News' Shield Bug and Pasque Flower 09 May 2014 | Bill Hodgson

I had to post this photo - it's the second Shield Bug I've got a good photo of - those of you who've received a business card from me may have seen the other, a green variety on an Echinacea.

'News' LSEG Looking to Compete with CME Deliverable Swap Futures 09 May 2014 | Bill Hodgson

LSE Group moving into Swap Futures?

'News' CFTC Announced Package Trade MAT Phasing 08 May 2014 | Jon Skinner

CFTC unveiled its approach to removal of the package trade exemptive relief on the SEF MAT obligation.   The short term focus is on MAT swap vs mandated cleared swap package and swap spreads vs US Treasuries.

'News' EMIR Front-Loading Move From ESMA 08 May 2014 | Bill Hodgson

Front-loading, the obigation to move trades into clearing retrospectively is a major problem for pricing OTC trades. ESMA has written a letter / proposal to the European Commission to try and defuse this unexpected consequence of EMIR.

'News' European Trade Reporting "Has Gone Quite Well" | Chairman of ESMA 07 May 2014 | Bill Hodgson

A speech by Steven Maijoor, Chair, European Securities and Markets Authority comments on European Regulation and future challenges to market reform.