Futures

Industrial Change in the OTC Derivatives Market

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This is a follow up to my piece "CFTC guidance on SEF access may be a game changer for OTC market infrastructure" here.

Executive Summary

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Eurex Cross-Product Margin | The Quantitative Benefits

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Eurex Clearing, Europe’s leading clearing house, today published the study “The Future of Central Clearing – Maximizing capital and cost efficiency through an integrated cross-product CCP clearing service”. The study was supported by and commissioned to Oliver Wyman, a leading global management consulting firm.
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CCPs Revise Margin Models | Esma

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According to a Risk Magazine article (subscription required), some European CCPs are revising their margin models in order to comply with Esma regulations regarding the effects of procyclicality on margin requirements.

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Futures reporting delay "will not take place" says EC's Pearson - Risk.net

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As hinted at yesterday, it appears that the only option available to delay ETD reporting is for ESMA not to approve any TR until the many data format and structural issues are resolved.

"The decision has been taken that the deferral Esma suggested will not take place. ESMA is now engaged - and, I think, working - on a set of clarifications for the industry, through FAQs, to ensure the guidelines and guidance is out there as soon as possible for industry to start working on its systems," said Patrick Pearson

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Cross-margining at CME slowed by practical challenges - Risk.net

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Interesting commentary on combining futures into an OTC portfolio at CME

The margin savings on offer are also lower than the eye-catching figures of 70–80% in CME marketing material. While that is theoretically achievable, dealers say a more realistic number is 30–40%.

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CME SDR data leak

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The CME SDR sprang a leak,story here affecting DE Shaw & others. Update: more from Reuters, it was futures data not OTC, 500 trades. Story here

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The week that was (issue of 22 April 2013)

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Dear all, Highlights of last week include:

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Bloomberg sues CFTC over derivatives rules - FT.com

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What's the difference if you take interest risk wrapped in a bond, a swap or a a future? BBG starts the process of exploring the sense in the CFTC deciding what's liquid in a default, and therefore how long the IM holding period should be.

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Swapfutures vs. swaps - buy-side views

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Some comments from buy side firms and SEFs on the CFTC's and CCP's differential treatment of economically equivalent swaps and swapfutures are contained here (Risk mag, subs). The gist is that margin advantage alone won't make a sudden large scale shift from OTC swaps to swapfutures happen overnight but will play out over a longer period of time, This is the first article I have seen noting the Basel III effects of the differential margin treatment.

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The week that was (issue of 8th April 2013)

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Dear all, Markit Acquires DTCC Stake in MarkitSERV: http://bit.ly/145hboz

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