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Safe Assets: Made, Not Just Born by Robert N. McCauley :: SSRN
Official reserve managers have a big stake in the debate over safe assets: their portfolios just about define such assets. This paper conveys the message that reserve managers need not worry about a shortage of safe assets.
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MetLife executes $250 million SOFR-linked repo
MetLife has recently executed a $250 million repo trade linked to the secured overnight financing rate (SOFR), but the insurer’s hedging chief says technology issues have held up its use of the rate in derivatives transactions.
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Top CCPs add $79 billion to liquidity pool in 2018
Liquidity buffers at 10 of the largest central counterparties grew by $79 billion in aggregate in 2018 as the firms loaded up on easy-to-sell securities, expanded credit lines with banks and fattened deposit accounts.
tags: Derivatives Plumbing
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LCH discounting switch tipped to help SOFR swap market
LCH’s plan to adopt the US secured overnight financing rate (SOFR) as the benchmark to value cleared swaps and pay interest on cash collateral will boost SOFR swap use, but clarity on fallback language is needed for the market to prosper, market participants say.
tags: LIBOR Plumbing Derivatives
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Goldman welcomes Basel’s rationalisation drive
A senior Goldman Sachs official in Asia has praised efforts by financial regulators to make global regulation more coherent, to avoid hurting banks’ ability to serve their clients.
tags: Plumbing Derivatives Swaps Regulation
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Hong Kong goes slow on swaps trading mandate
Fears over disrupting global trade lie at the heart of Hong Kong’s cautious approach towards introducing a swaps trading mandate, according to a senior official from the Securities and Futures Commission.
tags: Plumbing Regulation Swaps
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EU permissions regimes could reduce no-deal risks
The patchwork of new European permissions regimes could reduce the risk that UK-based entities will be unable to trade with EU clients on day one of a no-deal Brexit, but it is not a long-term solution, regulatory experts say.
tags: Regulation Plumbing Derivatives Brexit
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High costs limiting CNY corporate swaps market
The trading of interest rate swaps between banks in China’s onshore market has grown, but the dealer-to-client market on the mainland still faces cost hurdles, according to William Shek, head of credit and rates for Asia-Pacific at HSBC.
tags: Derivatives Swaps Plumbing
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CFTC official warns on Sef rule overhaul
The incoming CFTC chairman is likely to continue with attempts to reform rules governing swap execution, according to commissioner Rostin Behnam – however he warns against a full-scale overhaul of the framework.
tags: Liquidity Plumbing Derivatives
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US Treasury won’t issue SOFR notes until at least 2020
The US Treasury department will not begin issuing floating rate notes (FRNs) linked to the secured overnight financing rate, or SOFR, until it completes a planned overhaul of its auction system.
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Confusion dogs start of Europe’s new securitisation rules
New issuance of European securitisation has come to a near standstill as originators, issuers and investors grapple with unfinished rules over risk retention and disclosure.
tags: Plumbing Securitization Regulation
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Progress on the Transition to Risk-Free Rates
Vice Chair for Supervision and Chair of the Financial Stability Board Randal K. Quarles At the Financial Stability Board Roundtable on Reforming Major Interest Rate Benchmarks, Washington, D.C.
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The Future of Clearing | The World Federation of Exchanges
“The WFE has published a joint report with Oliver Wyman examining the post-crisis developments that have shaped the current clearing landscape, along with forward-looking recommendations on how to build the CCP of the future.”
tags: Plumbing Derivatives
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CDS: A Parable About How Smart Contracts Can Be Pretty Dumb
Credit default swaps–CDS–are a hybrid. They have payoffs that are contingent on both an event (e.g., bankruptcy) and a price (the price of defaulted debt). Both contingencies have proved very problematic in practice, which is one reason why CDS have long been in such disrepute.
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CFTC official warns on Sef rule overhaul
“The incoming chairman of the Commodity Futures Trading Commission (CFTC) is likely to continue with attempts to reform rules governing swap execution, according to commissioner Rostin Behnam – however he warns against a full-scale overhaul of the framework.”
tags: Plumbing Derivatives Liquidity
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Sytemic Research Council on CCP Resolution
CCPs must increase their loss absorption capacity and contribute to a common global fund to provide support when a single CCP’s resources proves inadequate. This would pool some risk and give CCPs incentives to monitor each other’s financial health.
tags: Plumbing Derivatives
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Derivatives Are Still Too Dangerous – Bloomberg
In a crisis CCPs can go from sources of stability to contagion propagators. So do they have ample resources? The evidence isn’t encouraging… However, the Systemic Risk Council has made some useful proposals.
tags: Plumbing Derivatives
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Swaps data: cleared volumes and CCP market share
Cleared US dollar swap volumes are down 14% on a year ago, while euro swaps volumes are 35% higher. While LCH continues to dominate both US dollar and euro interest rate swap clearing, its rivals are gaining ground.
tags: Plumbing Derivatives
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Blockchain Firm Digital Asset and ISDA Eye Smart Contract Use in Derivatives Trading
Digital Asset is collaborating with ISDA to develop a new tool that can support the use of smart contracts for derivatives trading. The collaboration focuses on creating interoperable technical solutions that advance standardization to allow for greater automation of derivatives trade management.
tags: SmartContracts Plumbing Derivatives Blockchain Fintech
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ISDA 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. Deliverable currency NDFs have also experienced dramatic increases but with much smaller clearing percentages.
tags: Plumbing FX Derivatives
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