IRS

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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SGX Offers Exposure to Malaysian Ringgit and Thai Baht IRS

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SGX has added new cleared OTC IRS contracts in Malaysian Ringgit and Thai Baht IRS but settled in USD

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Interest Rate Swaps - SEF MAT Week 2

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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.

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CFTC confirms IRS SEF MAT live date of Feb 16

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Scott O'Malia, CFTC Commissioner

As expected, CFTC approved Javelin's MAT submission last Thursday Jan 17 and in effect booked a Feb 16 go live date. The background is at my previous post.  Since then Bloomberg also submitted a MAT submission in early December - limited for IRS to spot-starting benchmark fixed-float IRS in USD and EUR only.

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Will the CFTC disrupt Japan domestic IRS liquidity? | Japan update

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There are two Japan-related CFTC no action relief (NAR) deadlines approaching:

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MAT IRS Product Scope Consensus? | SEF CFTC Submissions Converge

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Perhaps a market consensus is starting to form on which products should be mandated on SEFs?

Why?   Javelin (in response to comments from CFTC and market participants) adjusted it's submission to move closer to those of TrueEx and TradeWeb.  (See Summaries of three MAT submission letters at the end for more details.)

Why not?  It's too soon to call a consensus because:

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Swap margin check in 10 millisecs

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Clarus Financial Technology today announced the release of its CHARM product, for pre-execution or pre-clearing acceptance checks of Interest Rate Derivative trades. CFTC Regulation 1.73 states that Clearing FCMs accepting orders for automated execution on a SEF, need to use automated means to screen orders for compliance with risk-based limits. CFTC Regulation 1.74 establishes STP requirements for FCMs, SEFs and DCOs and notes that a near-instantaneous acceptance or rejection of each trade provides certainty of execution and clearing, reduces costs and decreases risk.

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SEF Volumes for Week 4 | ClarusFT

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Four calendar weeks are in the books.  A common trend is emerging.  The story is really the same as last week.

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SDRFix, what do we mean when we say transparent? | ClarusFT

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Following on from my article on SDRFix, a Progress Report Two weeks after launch, I wanted to explain what we mean when we say that SDRFix is publicly available and transparent. The publicly available, requires no deep explanation. However transparent is a much used word in our industry and often open to wide interpretation. For our interpretation, please see

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Javelin the first SEF to submit MAT determination request

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Javelin SEF, LLC has provided its determination of Made Available to Trade (MAT) of certain Interest Rate Swaps made pursuant to Parts 37 of the Rules of the Commodity Futures Trading Commission on 18 October 2013.

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