The OTC Space | Tag Archive

Vote: Plans to replicate CCP IM Calculations

January 29, 2013 by Bill Hodgson 5 Comments

In the Exchange Traded Market, firms often use software like GMI or Rolfe & Nolan to replicate and reconcile the amount of IM a CCP calls for. In the OTC market this means having your own tools to run a Historic VaR, or similar IM model. My own opinion is that sooner or later users […]

Central Counter Party, Initial Margin

ccps, Initial Margin, otc market, otc products

Price Alignment Interest

October 5, 2012 by Bill Hodgson 15 Comments

For those that know what PAI is, the first part of this post can be skipped, the rest of the post is my understanding of why PAI is applied to OTC portfolios, and not Futures. This arose from a question at a training course I delivered, and was interesting to understand. What is PAI? Imagine […]

futures, interest, interest rate swap, isda, margin, npv, otc, otc products, pai, variation margin

ISDA Analysis of Year End Market Survey 2011

June 6, 2012 by Bill Hodgson 0 Comments

A new survey by ISDA using multiple data sources highlights the huge difference between the Notionals and Market Values of OTC trades, often misunderstood, such as on this info graphic. A commentary on the data is also here, which explains the meaning behind the BIS figures on the market values quoted. Once collateral is accounted […]

ISDA, Research

market values, new survey, otc products

Analysis of the new SwapClear – the membership gates are wide open

April 27, 2012 by Bill Hodgson 4 Comments

The membership framework at SwapClear has been in place in the early 2000s, linking the entry criteria to the default management procedure tightly. The announcement yesterday of a heavily revised framework opens the door to many more direct members, provided they can live with the new approach to default. Below I’ve done a rough comparison […]

ccp, clearing houses, clearing member, cme, credit exposure, default fund, eligible collateral, lch clearnet, otc products, rate swaps, swap dealer

Happy trainees

February 29, 2012 by Bill Hodgson 0 Comments

Last week I successfully delivered a three day course on central clearing to 11 individuals, with modules on Legal and Risk provided by Anna Iversen & Adam Ward at Amunet Partners, and Ed Selby at Lothbury Associates, respectively. You too can enjoy a full understanding of Clearing for OTC products, plus FpML or Rate Swaps […]

adam ward, otc products, rate swaps, shield bug

Dodd Frank & EMIR time line update

February 23, 2012 by Bill Hodgson 0 Comments

The effects of new regulation from the US and Europe are drawing closer, whilst rule making is still not complete, and unpredictable, the regulators deadlines are becoming more clear. UPDATE Nov 2nd: This post has been superseded by this one: http://theotcspace.com/2012/05/30/emir-compliance-dates-moved/ For dutch viewers: Emir Status En Tijdlijnen Background Since the collapse of Lehman Brothers in 2010, […]

electronic platforms, infrastructure regulation, otc derivatives markets, otc products

OTC Derivatives at LCH show 108% fee growth

February 10, 2012 by Bill Hodgson 0 Comments

The LCH annual report for 2011 (PDF here) shows that the majority of the revenue increase in revenue was from OTC products (SwapClear), a jump from €21.2m to €44.2m. This is explained by two factors, an increase in membership fee levels, and the growth in membership overall. CDSClear The following comment indicates a new growth […]

LCH.Clearnet

lch clearnet, otc products

Reuters Hysteria: CCPs to be next victim of the crisis

January 17, 2012 by Bill Hodgson 0 Comments

Reuters has posted an attention grabbing headline, but the article needs more research and depth to carry it’s argument. The original piece is here, the salient facts from the article are: “Clearing houses — the plumbers of high finance — could become the next casualties of the crisis as regulators insist that banks run their […]

clearing houses, diana chan, manmohan singh, otc products, risk models

ISDA to the G20: “Standardize This”

January 11, 2012 by Bill Hodgson 0 Comments

ISDA have highlighted the sentence in the G20 commitments that makes less sense than some, namely “All standardized OTC derivative contracts should be traded on exchanges or electronic trading platforms, where appropriate, and cleared through central counterparties by end-2012 at the latest.” For anyone involved in the OTC market for the past 10 years we’ve […]