What is a Consolidated Tape?

Following on from last week’s blog, I realised maybe I had jumped the gun somewhat. Since the European Commission has now published their report (and a Consolidated Tape for derivatives is included), I thought it worthwhile to take a step back. What actually is a Consolidated Tape and what that might mean for Transparency in […]

Consolidated Tape: Don’t let perfection be the enemy of good for derivatives

Dutch regulatory have today stated with regards to European transparency data: Significant regulatory changes are needed to simplify the current fixed income post-trade deferral regime. Common data standards [are required], to set required data fields, and to agree on data access. Trading venues and APAs [need] to contribute the required data fields and supporting commercial […]

SOFR Swaptions – Week One Update

Last week we covered SOFR First in Swaptions and did so the day after the November 8th commencement date. Now that we have more data, let’s look at what this shows. Week One – SOFR Swaptions In SDRView Researcher, we select USD Swaptions and categorize by reference index as IBOR or RFR. Showing that in […]

IM Model Validation for UMR under EMIR – Backtesting

Last week the EBA published a consultation paper on its  its draft Regulatory Technical Standards (RTS) on Initial Margin Model Validation (IMMV) under the European Markets Infrastructure Regulation (EMIR).  This is an important and long awaited publication, particularly for the hundreds of firms in the EU that are complying with UMR IM requirements as of Sep 2021 […]

SOFR First in Swaptions

This is not quite our normal “LIVE BLOG” type of announcement for SOFR First in Swaptions (and other non-linear derivatives). I tend to think that Options markets like to make things (unnecessarily?) complicated, and so there are a number of moving parts to look at for SOFR First in USD Swaptions. In Summary November 8th […]