We have now had six SOFR swap trades hit the SDRs. Both Basis vs Fed Funds and Outright OIS has traded. All trades have been $50m and one year maturity. It looks like they were all cleared at LCH. The first swap was done on the TP-ICAP SEF.
Bill: ISDA put out an announcement on the new master agreements - I like the commentary from DRS if you click through to their blog post.
An important component of FX trading has always been trading with minimal latency - whether that was being the fastest to trade over the phone, the fastest to use and interpret pricing systems, or using the fastest technology to consume data, and
Bill: A long document, the gist of which is this: ESMA says, will the NCAs please not take any action to make Pension schemes clear their trades until the European rule making process completes the 'EMIR 2' / REFIT programme of work.
The checklist of post-crisis reforms now has neat ticks alongside each item. Clearing of standardized derivatives – tick.
Interbank offered rates (IBORs) play a central role in financial markets, and act as reference rates to hundreds of trillions of dollars in notional amount of derivatives and trillions of dollars in bonds, loans, securitizations and deposits.
The European Parliament votes to move forward with changes to EMIR
15 JUNE 2018
BY KEITH PRITCHARD
Without giving away the story in the FT - it seems that the Eurex scheme to provide incentives to clear Swaps in Frankfurt is beginning to bear fruit. Subscription needed, follow the link below.
Bill: I already know of one firm who has implementing the CDM on their roadmap - are there others?
Bill: The PDF provided on the ISDA website examines refinements to the way IM is calculated for uncleared business.
The September 2019 Uncleared Margin deadline (and the 2020 date) will bring many more firms in-scope for exchanging IM.
IHS Markit puts MarkitServ up for sale, the centre of CDS and IRS confirmation for almost the entire OTC market.
Why should firms be looking at SFTR now? What should be the main considerations for firms when deciding to delegate reporting or keep in-house? How can Regtek.Solutions help with reporting challenges?
There is mounting pressure to revisit a fundamental aspect of the IM calculation methodology. The BCBS-IOSCO 2015 framework mandates an IM determination based on a 99% VAR over a fixed 10 day liquidation horizon.
Get on down to the FIA IDX show in London, amongst the biggest capital markets events in the year. OTC Space and Brandex Publishing will be there, come and chat about our future plans.
The ISDA AGM generated a wave of content last week which we've assembled into one handy place. Most of the material is focussed on margin for non-cleared products given the changes due in 2019.
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