April 2013

'News' The Volatility of Low Rates | Raphael Douady | Riskdata Working Paper 03 April 2013 | Bill Hodgson

A paper for the quants, about how markets behave in a low interest rate environment, and how this relates to VaR, and therefore margin exceptions in clearing (or outside for that matter).

'Articles' Pro-Cyclicality, CVA and CCDS 03 April 2013 | Ben Larah

There's been some recent news surrounding EU legislators exempting corporates, sovereigns and pension funds from mandatory CVA capital requirements under CRD IV (see

'News' LCH to 'verticalise' their General Default Fund 03 April 2013 | Bill Hodgson

A note from LCH below explains that they intend to complete the process of aligning the default fund of each clearing business vertically, and end the horizontal approach of having a general default fund.

'News' LCH Default Waterfall Update | Invoicing Back 03 April 2013 | Bill Hodgson

LCH published a member note (here) regarding "invoicing back" which is component of resolving a default.

'News' Insight Investment Pioneers its own Client Clearing Agreement | Derivsource 03 April 2013 | Bill Hodgson

Insight have built their own legal framework to give their customers the best possible service once in clearing, read about it over at Derivsource.com.

'Articles' Finadium: Guide to Margining for Cleared Swaps vs. Futures | Securities Finance Monitor 03 April 2013 | Bill Hodgson

The post below is a trailer for a paid report, which itself looks interesting, but you need to be a subscriber.

'News' OTC Space Website Hacked | Fake Posts on April 1st 02 April 2013 | Bill Hodgson

I really don't know what happened on April 1st but a whole lot of fake posts reached the site, it's a mystery. Apologies to anyone who saw the stories below and might have used them believing them to be legitimate.

'News' Davis Polk | Swap Reporting Who and When? 02 April 2013 | Bill Hodgson

From DP: One key provision of the Dodd-Frank Act requires reporting of swap transactions. The Commodity Futures Trading Commission has finalized detailed regulations in this area that are being implemented in phases.

'News' Global Futures Volume Report | OTC Clearing and Regulations 02 April 2013 | Bill Hodgson

Global Futures Volume Report | OTC Clearing and Regulations. See page 22 of the PDF for volume change by exchange, quite interesting.

'News' 4sight | Collateral Optimisation ROI Whitepaper 02 April 2013 | Bill Hodgson

Collateral Management system vendor 4sight has published their views on the ROI when using collateral optimisation, the paper is on their news page below entitled "Collateral Optimisation Whitepaper", link below.

'News' One Year On: Obama press release: CFTC and SEC to be merged into the SRMA | The OTC Space 01 April 2013 | Bill Hodgson

Despite a year's worth of planning and preparation this idea still hasn't moved forward - without this happening I can't see much progress on CDS margining for ICE or rule making at the ex-SEC.

'News' Post Removed 01 April 2013 | Bill Hodgson

This post has been removed. If you arrived here via a google search, please disregard any materials regarding the FSB from this page.

'News' Avoiding the BCBS / IOSCO Margin Requirements for Bilateral Portfolios 01 April 2013 | Bill Hodgson

As everyone keeps saying, there will be unexpected outcomes from the new regulations, and one of them is about to turn the ISDA CSA upside down.

'News' Google Nose augments Google News 01 April 2013 | Bill Hodgson

A new service from google aims to add an olfactory aspect to web browsing, full details here: http://www.google.com/intl/en/landing/nose/.

'News' BaFIN briefing: EMIR II under development 01 April 2013 | Bill Hodgson

6355756-fake-stampContacts at BaFIN I met last week

March 2013

'News' The Squam Lake Group | Compensation Proposal 31 March 2013 | Bill Hodgson

A paper over here (see paper at the top here) applauding the UBS move on bonuses, and making it's ow

'News' Third Easter Repository | OTC Space Enters the Competition 31 March 2013 | Bill Hodgson

Press release: The OTC Space is proud to announce its launch into the crowded trade reporting space and believes it brings new thinking to the challenge: - Partnership with key leaders in managing 'big data', such as Facebook and Google - The wide

'News' Easter Egg | LSE applies to be a Trade Repository | UnaVista 30 March 2013 | Bill Hodgson

Easter seems to be the time to announce new TRs under ESMA, LSE got in on the act too. See story via link below.

'News' LCH.Clearnet Group - Member Notices - Circulars - 2012-12-31 Technology Incident 28 March 2013 | Bill Hodgson

The BoE report mentioned an LCH incident - it's on their website too, just not something we were all focussed on that night ;-) LCH.Clearnet Group - Member Notices - Circ

'News' Easter Present from ICE | Another EU Trade Repository 28 March 2013 | Bill Hodgson

ICE move into the EU TR Space and offer to store OTC and ETD derivatives using their upstream links with MTFs etc.