Today BCSB IOSCO put out a press release announcing two significant changes to the UMR timeline: A one-year extension, to Sep-21 for the final UMR implementation phase for firms with > $8 billion of aggregate average notional amount (AANA) of un-cleared derivatives. An new phase for firms with > $50 billion of AANA on the […]
Several regulators and central banks have written to the CEOs of firms in their jurisdictions to emphasise the fact that Libor cessation is very real. In most cases (UK, EU, Switzerland and Australia) a written, often board-approved response is required. In other cases, the response is left open (USA, HK and Singapore) and firms were […]
The Alternative Reference Rates Committee (ARRC) hosted a vendor workshop recently at the Federal Reserve Bank of New York, which I attended and in this article I cover some of the key points from the workshop. Required SOFR interest rate characteristics Required trade economics and processing for SOFR-based derivatives and cash instruments Compound in arrears […]
The case for a Term Risk Free Rate (TRFR) to support the transition of cash instruments and products has been made by BoE and US ARRC over the past year. The TRFR is defined as a rate known in advance (similar to the current Libors) but based on RFRs in the relevant currency.
But the issue of how to construct an IOSCO-compliant TRFR has been a challenge for market participants and benchmark administrators.
SOFR traded notional hit $50bn in monthly notional for the first time. We take a look at the details of some of the block trades that drove this notional higher. LCH data shows that the amount of risk traded has been between $4m and $10m DV01 during May and June. We show how our data […]
The Swedish Banker’s Association is looking to introduce an Alternative Reference Rate for SEK markets. At the moment, STIBOR is the underlying index for SEK swaps. There are on-going consultations to introduce a Risk Free Rate in Swedish markets. We take a look at the details. SEK Markets Today As it stands today, there are […]
In this article we look at cloud security. With all the hype around Cloud, it’s easy to make assumptions as to what it can do, but security is an area where making assumptions can prove very costly, both financially and reputationally. This blog will look at the cloud security model, security features offered by cloud […]
Following on from his Cross Border Swaps Regulation 2.0 whitepaper from last October, CFTC Chairman Giancarlo gave some updates in his speech at the recent FIA IDX in London . He is leaving the SEF cross-border proposals to be turned into proposed rules and voted on by his successor as Chairman – Heath Tarbert. On […]
Cloud is now ubiquitous, but not all clouds are the same. In this blog we will look at the different types of cloud – Private, Public, Hybrid and Multi-Cloud, and think about their suitability and use in financial organisations. Private Cloud Private clouds are facilities created for a single organisation: they may be provided as […]
The Default at Nasdaq Clearing has re-invigorated industry discussions on default management practices and we are now seeing the fruits of these labours. For example CCP12 recently published a CCP Best Practices Paper and LCH published Best Practices in CCP Risk Management. Today I will look at the BIS CPMI-IOSCO “Discussion paper on central counterparty […]