March 2014

'Articles' How Big is OTC really? Part 2: OTC shrank 20% in H1 2013 13 March 2014 | Jon Skinner

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

'Articles' Collateral Management | The Next Big Challenge 12 March 2014 | Maria Leontiou

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

'Articles' SEF MAT Week 3, Volumes Up and Up 12 March 2014 | Amir Khwaja

There have been a number of recent articles commenting on the lower volumes of USD Interest Rate Swaps, for example 

'News' EMIR Supervisors College Process Has Teeth | Eurex Clearing Announces Authorisation Delay 12 March 2014 | Bill Hodgson

Eurex Clearing's application to be recognized as CCP under EMIR has been temporarily set back...

'Articles' DTCC reporting suit proceeds - should CFTC concede? | Reuters article 11 March 2014 | Jon Skinner

A judged trimmed DTCC's lawsuit against CFTC's determination on CME rule 1001 but allowed the core of the action to proceed, according to a Reuters article.   Paradoxically the CFTC may be glad in the long run to concede the suit: if that is it serious about meaningful systemic risk information becoming available to it in any kind of reasonable time frame.

'Articles' Does Basel III create buy side liquidity risk? | IFR Article 10 March 2014 | Jon Skinner

IFR produced another article bemoaning the liquidity problems in the secondary credit bond market.  An illustrative statistic is bank inventory: 2007 US$235bn; now "a mere" US$37bn.  Aside from the day-to-day market liquidity challenge, have regulatory capital rules indirectly created a significant increase in buy side liquidity risk?

'Articles' How Money Moves Between Banks | Correspondent Banking and Such Like 10 March 2014 | Bill Hodgson

How does money really physically move between different banks in different currencies? It's not just a SWIFT message.

'News' The Many Ways to Compress a Portfolio | SwapClear Announcement 10 March 2014 | Bill Hodgson

There are many ways to reduce a portfolio and simply it for operational and economic purposes

'Events' TSAM Europe 2014 | 25th March | London 10 March 2014 | Bill Hodgson

Europe’s biggest event on buy-side strategy, performance, operations & technology

'News' SwapClear Segregation Models 07 March 2014 | Bill Hodgson

SwapClear announces it's four permutations of EMIR segregation models

'Jobs' Commodity Treasury Manager / Senior Manager 07 March 2014 | Bill Hodgson
Location: London
Start: ASAP
Salary / Rate: Negotiable 
Job role responsibilities:

Skills / experience required:

'News' Beware Your Position in the CCP Default Waterfall 07 March 2014 | Bill Hodgson

Members of the Korean Exchange surprised by the order in which a broker default was funded

'News' C2D vs D2D split preserved despite SEF MAT | Bloomberg article 05 March 2014 | Jon Skinner

It's worth reading this article: "Swaps revolution falling flat" from Bloomberg.  In a nutshell it says that after 2 weeks of SEF MAT, the split between dealer-to-dealer (D2D) and client-to-dealer (C2D) has been preserved.  I'm still wondering whether it will ever happen.

'Articles' EMIR after Reporting | What comes next? 05 March 2014 | Maria Leontiou

Just to start warming up for our next steps and in case you haven't had the time to notice, being fully occupied with EMIR Reporting after-implementation effects, there is another deadline fast approaching.

'Articles' Interest Rate Swaps - SEF MAT Week 2 04 March 2014 | Jon Skinner

Following my post last week, I took a quick look at IRS SEF MAT week 2.  It is unclear why there has been no post-MAT shift onto SEFs but perhaps we are seeing a post-MAT shift of EUR offshore.

'Articles' "Fixed rate full allotment reverse repo will become the Fed’s central policy tool" | Barclays research note 04 March 2014 | Jon Skinner

"We believe that the fixed rate full allotment (FRFA) reverse repo will become the Fed’s central policy tool" says Barclays Joe Abate in a research note last Friday.  I'm wondering if a Fed monetory policy shift from Fed Funds to FRFA rates will also prompt the shift of interest rate benchmarks from unsecured to secured funding rates.

February 2014

'Articles' UBS's first agency IRS execution on NEO | IFR article 28 February 2014 | Jon Skinner

The first IRS executed on UBS NEO agency exeuction platform happened last week.  Perhaps agency execution is off to a slow start but it's a start nonetheless.  Agency execution's success seems to partly depend on each SEFs relative implementation priorities and competitive strategy.

'News' DB adjusts legal structure | Fed intermediate holding company rules 26 February 2014 | Jon Skinner

FT reported (subs. required) and Reuters re-reported (free) that Deutsche Bank (DB) is adjusting its structure to curtail US balance sheet and the associated capital redundancies introduced by the new Fed intermediate US holding company rules.

'Articles' Seriously? Penny Davenport says....plus 10 steps to career success. 26 February 2014 | Penny Davenport

Did you watch the 2014 Winter Olympics? Its true that I am quite mad about sport (as long as I’m not doing it) but there is always something magical about the Olympic Games.