Following on from my blog post of Week One, I wanted to provide an update after Week Two and also ask the question whether the Cleared trade activity is going to CME or LCH? Lets start with a few charts. Cleared USD Swap Weekly Notionals from May 6 to June 21. (Click to Enlarge) Uncleared USD […]
Under the Dodd-Frank Act, the CFTC issued Part 43 of its regulations to implement the real-time reporting mandate. This has a requirement for “real-time public reporting”, which is defined as “to report data relating to a swap transaction, including price and volume, as soon as technologically practicable after the time at which the swap transaction […]
Following on from my blog post of Day 3, I wanted to provide an update of Week One and also take a longer view; the Year to Date. First two points of note: As Daily Swap volumes can fluctuate widely, it is generally better to look at weekly or monthly figures. We are observing trends and […]
Today ClarusFT (and OTC Space) announce the result of our competition to predict the impact of the Dodd-Frank Act mandatory clearing deadline of June 10th. The question we posed was the following: What do you predict will be the gross notional remaining of Uncleared USD IR Swaps FixedFloat in the week of 10th – 14th June 2013, as reported to […]
Following on from yesterdays article, I wanted to provide an update on Day 3, June 12. Firstly that the Cleared trade count has increased substantially on June 12, to 1,302, an increase of 35% from the June 11 figure of 965. Secondly that the Uncleared figure has remained low at 157 trades. These figures start […]
Category II firms were required to clear Interest Rate Swaps from June 10th. As his deadline impacted a lot more firms than the prior March 11th, I decided to look at the data. Firstly the reported Uncleared USD Swap daily trade counts. This shows a drop of 44% on June 10th, from the week earlier […]
Last week I presented Value at Risk to a meeting of the CFA Institute. The brief was to provide an introduction to Value at Risk, why it is used in capital markets, how is it calculated, strengths and weaknesses. As such it needed to provide an introduction, some detail and an analysis, all in 1 hour […]
As we have just enhanced our SDR View tool to show Credit trades from DTCC DDR, I thought I would look into the CDS Index trading activity and how it had been impacted by the first Dodd-Frank Act mandatory clearing deadline of March 11, 2013 and the second upcoming deadline of June 10, 2013. Starting […]
Yesterday was the end of our competition to predict the impact of the Dodd-Frank Act mandatory clearing deadline of June 10th. The question we posed was the following: What do you predict will be the gross notional remaining of Uncleared USD IR Swaps FixedFloat in the week of 10th – 14th June 2013, as reported to […]
