Derivatives

A Devastating Critique of the Worst of Frankendodd: The SEF Mandate

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On the day of its passage, I proclaimed the Swaps Execution Facility (SEF) Mandate to be the Worst of Frankendodd. Somewhat later, I called the Made Available for Trade (MAT) process to be the Worst of the Worst. Nothing that has happened since has led me to change my mind. To the contrary.

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MAC Trading “McUpdate”

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Roughly 3 months ago I wrote an article on MAC contracts where I gave a brief history of these standardized derivatives, preached all of the wonderful benefits of them, and discussed why the buyside should be flocking to them.  I then proceeded

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MAC Trading “McUpdate”

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Roughly 3 months ago I wrote an article on MAC contracts where I gave a brief history of these standardized derivatives, preached all of the wonderful benefits of them, and discussed why the buyside should be flocking to them.  I then proceeded

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From Birth to Adulthood in a Few Short Years: HFT’s Predictable Convergence to Competitive Normalcy

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Once upon a time, high frequency trading-HFT-was viewed to be a juggernaut, a money-making machine that would have Wall Street and LaSalle Street in its thrall. These dire predictions were based on the remarkable growth in HFT in 2009 and 2010 in particular, but the narrative outlived the heady growth.

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Our Top 10 Blogs of 2014

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Those of you that read my articles will know that I often write about “What the Data Shows” in the context of Swap Data Repositories and Swap Execution Facilities. Given that it is the time of year for many of

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EU: NFCs Face Challenges Calculating, Monitoring Clearing Thresholds

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For Financial Counterparties (FCs) in the EU, EMIR mandates clearing and reporting on over-the-counter (OTC) derivatives. EMIR exempts Non-Financial Counterparties (NFCs) from parts of reporting and clearing requirements—with one important caveat: NFCs’ positions in proprietary trades must remain within a pre-defined clearing threshold.

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Fed’s Dec. 2014 Senior Credit Officer Opinion Survey (SCOOS): balance sheet tightening, margins and volatility

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The December 2014 Senior Credit Officer Opinion Survey (SCOOS) on Dealer Financing Terms has been released. As is usually the case, the interesting parts are the special questions.

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Initial Margin and Swap Pricing

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Welcome to 2015 everyone! I thought I’d start the year with some simple thoughts on Initial Margin, before later applying these to what may (or may not!) be charged when dealers quote on a compression run that we identified using

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Year End Turn Rates

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The year-end turn-rate (or the turn-of-the-year rate) is the interest rate for the period between the last business day of the year until the first good business day in the next year. For example, in the US the 2014 turn

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December Volumes in Interest Rate Swaps

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Following-on in our monthly review series, let’s take a look at how volumes developed during the month of December. The results are quite surprising in the end. USD IRS On-SEF From our October review, we know that October 2014 was…

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