What is the Impact of the BGC Acquisition of GFI?
After a struggle over many months BGC succeeded in getting majority shareholder agreement for its hostile takeover of GFI as announced in the press recently. CME had pulled out shortly before so I had...
View ArticleEU Court Ruling on Euro Zone CCP Residency
The lawsuit from the British government in 2011 on euro zone CCP residency is coming to a ruling in the EU court Wednesday March 4th (according to this risk article – subs. required and this otcspace...
View ArticleWhy has Global Rates Client Clearing Open Interest Plateaued?
Client clearing open interest is steadily increasing right? One would be forgiven for thinking that client clearing open interest is steadily increasing given the 2013 CFTC clearing mandate which...
View ArticleClient Portfolios will Dominate CCP Risk
Using Client Open Interest figures we can project the share of CCP portfolio risk due to Clients once Clearing reaches a mature state. This will take several years as legacy non-cleared Rates...
View ArticleFXOptions Cleared Volumes Up in Q1 2019
FX Options clearing volumes data show a marked jump in Q1 2019 – quadrupling cleared notional outstanding from the end of 2018, unlike IR Swaptions and CDX Swaptions, which show little traction. In...
View ArticleISDA SIMM FX Optimisation and NDFs
Since Uncleared Margin Rules started to bite in September 2016, traditional NDFs have shifted markedly to clearing in response to UMR (see NDF Volume Data). Deliverable currency NDFs have also...
View ArticleISDA SIMM FX Optimisation: The Data and Alternatives
In my recent post on the same topic, I outlined how deliverable currency FX NDFs are being used to reduce SIMM FX delta, as opposed to a product traded in the usual sense. In today’s article I show...
View ArticlePortfolio Conversion of Libor to RFR trades
The closer we get to year end 2021, the more important the question of what will happen to existing LIBOR Swaps when and if LIBOR is no longer published or declared a non-compliant benchmark by the...
View ArticleOptimising IM in Swaptions
Whille writing my recent blogs on FX SIMM IM optimization (here and here), I wondered about progress on the Rates equivalent. I knew swaptions to be key and that Capitalab had focused on them from...
View ArticleGiancarlo looks to rescind CFTC Cross-border overreach
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...
View ArticleARRC Vendor Workshop June 28, 2019
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...
View ArticleFXD Counterparty Risk Optimization and Q2 2019 Volumes
FX Derivatives (FXD) participants face a tricky choice across a patchwork of clearing and uncleared optimization techniques, trading off funding and capital usage with infrastructure spend and...
View ArticleCompression in cleared Inflation Swaps
Since 2016, uncleared margin rules have driven a steady rise in cleared inflation swaps open interest and CCP IM. In July TriOptima announced their first cleared inflation swap compression run, so...
View ArticleSOFR Discounting for Cleared Swaps
CME and LCH propose to change USD Swaps discounting and Price Alignment Interest (PAI) from Fed Funds (EFFR) to SOFR on October 17th 2020. By creating SOFR discounting risk from that date, this change...
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