April 2015

'News' Centralised solutions for Reporting | ESMA 03 April 2015 | Maria Leontiou

Here comes a press release from ESMA announcing the launch of centralised data projects for MiFIR and EMIR.

'Articles' Pure Agency: Reducing Client Clearing Bank Capital Burdens 02 April 2015 | Jon Skinner

With adjustments to Basel III nearing completion, it's not clear whether client clearing ROE can be rendered sustainable by clearing fee increases alone.  Here I look at a way to reduce capital burdens of bank clearing members by eliminating client-driven exposures whilst keeping banks providing client clearing - the Pure Agency client clearing model.

'News' Looking at ACER’s “REMIT Quarterly” 02 April 2015 | Energy Trading Regulation Feed

ACER recently issued their first “REMIT Quarterly” (here) which is a newsletter giving updates about progress and issues around the REMIT Initiative.

March 2015

'News' ESMA updates list of authorised CCP and Public Register – LCH.Clearnet Ltd extends services 31 March 2015 | ESMA Feed

The European Securities and Markets Authority (ESMA) has published today an update of its list of central clearinghouses (CCPs) which are authorised under the European Markets Infrastructu

'News' Collateral Management Whitepaper - Is Collateral Optimisation a Big Data Problem? 31 March 2015 | Samantha Hodgson

There is currently something of a big data revolution taking place as processing speeds increase and hardware costs decrease. Many banks already perform pre-trade data runs, generating millions of scenarios when performing Monte Carlo simulations to calculate CVA.

'Articles' Targeted clearing mandate exemptions could reduce systemic counterparty risk 31 March 2015 | Jon Skinner

With regard to systemic counterparty risk reduction the bank regulators' minimum capital, liquidity reserve and margin levels are a major incentive.  The current fine-tuning debate and regulatory rule adjustment are understandable given the financial implications.  

By contrast the lack of discussion of clearing mandates might imply they are a straight systemic counterparty risk win through promotion of consolidation, netting and margining in CCP facing portfolios.  Unfortunately it is not that simple - clearing mandates also entrenching bilateral counterparty risk by limiting key risk reduction techniques.

Here I explore these limitations and suggest some solutions.

'News' ESMA publishes updated EMIR Q&A - No 12 31 March 2015 | ESMA Feed

The European Securities and Markets Authority (ESMA) has today issued the 12th update of its Q&A document on the implementation of the European Markets Infrast

'News' Comet 1 | The Photos 27 March 2015 | Bill Hodgson

See what you missed

'Events' 4th Annual Risk EMEA 2015: Risk & Regulation Congress - 15% Discount for OTC Space Users 26 March 2015 | Samantha Hodgson

With financial institutions increasingly adapting to regulatory demands and expectations, risk professionals face additional burdens to ensure industry standards are upheld alongside further challenges with emerging risks.

'Articles' The Systemic Risk, or Not, of Commodity Trading Firms 23 March 2015 | Streetwise Professor Feed
'Articles' SA-CCR: risk-sensitive FCM capital but still no IM offset 21 March 2015 | Jon Skinner
Regulators have declared their intent to implement the Standardized Approach for measuring Counterparty Credit Risk (SA-CCR) in critical parts of Basel III capital rules.  This starts to go live at the beginning of 2017 for default fund capital and the leverage ratio implementation will follow.  
Here I take a high-level view of the effects on capitalization of clearing members house and client portfolios and whether capital rule changes are likely to make client clearing a commercially sustainable business.
'Articles' The SEC Weighs in on Swaps Reporting – Part 2 19 March 2015 | George Bollenbacher

In my last article I reviewed the SEC’s final and proposed rules on transaction reporting by market participants. In this article I will look at the final rule on SDRs, and make some observations on the effectiveness of current and future reporting regimes.