March 2013

'News' Netting rules and balance sheets, US accounting Rules 12 March 2013 | Bill Hodgson

I came across this story which I need to read more, but it's an interesting analysis that US banks have a favourable accounting treatment which may attract change.

'Articles' VAR versus expected shortfall - Risk.net 09 March 2013 | Bill Hodgson

Given the report about the unsuitability of Expected Shortfall and back-testing, here's an article from 2007 by Risk which explains more.

'News' 300 Experts Drive Forward Progress on LEIs 08 March 2013 | Bill Hodgson

See the quote below, read the PDF, then enjoy your weekend. 300? WTF. Sorry. Update from the FSB: http://www.financialstabilityboard.org/publications/r_130308.pdf

'News' Read Scott O'Malia's Take Down of Today's CME-1001 Ruling 07 March 2013 | Bill Hodgson

Scott O'Malia doesn't mince his words, he's critical in a forensic take-down of the process for defining the reporting requirements within his own organisation. He abstained from the vote regarding CME-1001, his press release explains why.

'News' Exclusive: Deutsche Börse EMIR Reporting Service: TREMIR 07 March 2013 | Bill Hodgson

Exclusive to The OTC Space for now, a new reporting service from Deutsche Börse to facilitate accurate reporting of ETD and OTC business executed or cleared within the DB group.

'News' CFTC Approves CME 1001 - Will DTCC Sue? 07 March 2013 | Bill Hodgson

DTCC (Larry Thompson) may go after the CFTC or CME if he feels there is a case, with CME automatically delivering cleared OTCs into their own SDR. But, on rule 1001 they put this:

'News' OMX - Trade Reporting Service 06 March 2013 | Bill Hodgson

NASDAQ OMX intend to provide it's members connectivity into the other TRs such as DTCC or REGIS-TR to route ETD & OTC reporting data, sort of a consolidated feed service. See link below.

'News' DTCC › Public SDR Now Covers All 5 Asset Classes 06 March 2013 | Bill Hodgson

The DTCC public SDR portal now shows trades from Rates, Credit, Equities, FX and Commodities. Have a look at Fixed-Fixed IR Swaps - can anyone explain what purpose a fix-fix swap serves? Is it like a currency swap without the notional exchanges?

'News' Big Bang for IRS? Standardised Coupons Coming? 05 March 2013 | Bill Hodgson

Like the "big bang" for CDS which moved them to standard coupons, "The nonbinding proposal would see some of Wall Street's biggest customers trade interest-rate swaps on the same payment dates and coupons, rendering the contracts more like futures

'News' Nasdaq OMX de-merger 04 March 2013 | Bill Hodgson

I got a letter in the post alerting me to the fact that the clearing business in Sweden will become a standalone legal entity. They reference EMIR but it would make a sale easier?

'News' Further Update to the ESMA Timeline 04 March 2013 | Bill Hodgson

Tom at Capco sent in a re-re-revised ESMA / EMIR timeline, see the usual page. Official Timeline for EMIR | The OTC Space.

'News' SDR Interactive Views | Clarus Financial Technology 04 March 2013 | Bill Hodgson

Based on the data published by DTCC, ClarusFT has put together an interactive query database tool, see link below. DDR Views | Clarus Financial Technology.

February 2013

'News' CME FX NDF Clearing Notionals 08 February 2013 | Bill Hodgson

Notional outstanding for NDFs at CME appears to have tailed off to zero. This can't be what was hoped for. OTC FX Clearing Service.

January 2013

'Articles' Latest CCP & SDR Status Charts as of Feb 2013 08 January 2013 | Bill Hodgson

Here is the status of CCPs and SDRs for OTC products. Data for the CCPs is from the respective websites, data for the SDRs is from the recent FSB (mid-2012) progress report. Click on the charts to enlarge. Update on Feb 13th

December 2012

'Articles' OTC Margin Models Landscape 05 December 2012 | Bill Hodgson

Given today's story at Risk Magazine about SwapClear tuning their IM model for a low interest rate environment, it's interesting that more or less all the other CCPs use a similar model (for Rates), and perhaps will be looking again at whether the

November 2012

'News' Another SDR emerges 30 November 2012 | Bill Hodgson

I found another Swap Data Repository, to add to the list updated recently. If you need to ensure you report to all relevant SDRs, you need to know the full list.

'News' Jon Corzine Caused MF Global’s Bankruptcy and Put Customer Funds at Risk. 16 November 2012 | Bill Hodgson

The House of Representatives Financial Services Committee investigation into the collapse of MF Global has published it's report, the publication is

October 2012