The CFTC’s New Clearing Mandate 2016
The CFTC has published a proposal for a new Clearing Mandate It covers IRS trading in 9 additional currencies We take a look at the detail of the proposal, the data and the timelines involved The Proposal The CFTC has just proposed additional Interest Rate Swaps for clearing. There is a one-hundred-and-eight page rule proposal, which you are free […]
Fundamental Review of the Trading Book – What You Need to Know
In January 2016, the Basel Committee on Banking Supervision (BCBS) published its Standards for Minimum Capital Requirements for Market Risk; also known as the Fundamental Review of the Trading Book (FRTB). These new standards replace parts of the Basel 2.5 reforms, which were introduced in 2009 to address the material undercapitalisation of trading book exposures during the […]
May 2016 Swaps Review – Volume Down, SEF Compression & AUD OIS Up
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in May 2016. First the highlights: On SEF USD IRS in May 2016 volume was 10% lower than May 2015 The lower volumes we saw in April have continued in May USD SEF Compression volumes were up from April and similar to May 2015 USD Swap Curve pivoted up […]
Mandatory Execution and Clearing Hits Mexico
A couple weeks ago, we noticed some notable changes in the Mexican Peso swap market. When I began asking around, I discovered that mandatory clearing had hit Mexico. Why then write a blog about it? Well, it has become clear that I’m not the only person that hadn’t been told mandatory clearing had hit the 15th […]
Fed meetings and OIS Volumes
Volumes in FOMC dated OIS swaps surged past $1.3 trillion last month Only 57% of this volume was cleared at a CCP, which is surprising We interpret the price action via the Clarus Fed Pulse Index Paying FOMC dated OIS structures now looks attractive Amir last week highlighted the surge in USD OIS Volumes we […]
SBSDR Part 3: Our SEC Comments
I reported on the progress of SBSDR’s a couple times over the past month, both here and here. Notably, May 31 2016 was the final day to comment on the ICE Trade Vault SBSDR application, which is the only application that has been made available to the public with a request for comment on the […]
USD OIS Swap Volumes Surge
I last looked at USD OIS Swap Volumes in August 2015 and given that there is talk of a second Federal Reserve rate hike in June or July, I thought it would be interesting to look at what has been happening to volumes. First the highlights: USD OIS volumes are massively up and now comparable to […]