Tag Archives: derivatives

Corporate End Users Unfazed by Derivatives Reform

Earlier this year we spoke with just shy of 400 corporate treasurers about their use of interest rate derivatives.  Given this group of IRD users isn’t covered as closely from a market structure perspective as financial end users, I was excited to see what trends we could find within the interview responses.  So with the… Read More »

Package trade rules – can they do that?

On Thursday May 1 the CFTC released an eagerly awaited clarifying document outlining when and how package trades would be required on SEF.  Packaged transactions will be phased in by type from May 15th through November 15th, and to deal with the pre-trade credit checking issue (checking limits against each leg as opposed to the limit utilization… Read More »

Why SEF Volumes Don’t Matter (Yet)

On October 2 swap execution facilities (SEF) became official and started reporting trading volumes.  While this new level of transparency is exciting, today’s reported volumes don’t really matter.  In addition to the lack of reporting standards which complicate doing an apples to apples comparison (i.e. voice vs. electronic, D2D vs. D2C, FRAs vs. IRS), the… Read More »

Speaking at the OTC Derivatives Summit in NY: 2-day VAR vs. 5-day VAR

Today (Sep 17, 2013) I’m moderating a swap futures panel at the Institutional Investor Fixed Income Forum event in Westchester County.  For those of you keeping score at home that’s two swap futures panels in two days.  We have a great lineup (Citi, Vanguard and CME) but will be one less than expected.  Our CFTC… Read More »

SEF Surveillance

With so much focus on execution methods and block trade rules, little talk has been had about another SEF requirement: surveillance.  Keeping your market participants in line is no small task.  Here is what Javelin is doing to tackle the surveillance requirements.

Presenting to the CFTC on Swaps Liquidity Fragmentation (and Aggregation)

On Tuesday, December 13th I presented to the CFTC Technology Advisory Committee. Chairman Gensler and Commissioners O’Malia and Wetjan were all there. Each panelist, myself included, gave a 15 minute opening and then we participated in an open Q&A with the Chairman, Commissioners and the members of the TAC. Maybe I’m just optimistic, but it… Read More »