Tag: swaps

swaps

CLS Data Shows Dip in FX Volumes

The average daily volume (ADV) submitted to CLS in April was $1.52 trillion, down 5% from the ADV of $1.6 trillion that it reported in March.

The ADV of spot FX trades submitted to CLS was $435 billion in April 2017, down 5.8% month-on-month and down 8% year-on-year.

The ADV of swaps trades submitted to CLS was $988 billion in April, down 4.9% from the previous month, but up 1.2% compared to April 2016.

Similarly, the ADV of forwards trades submitted to CLS was down month-on-month, but up year-on-year. CLS reported an ADV of $93 billion for forwards products in April, down 2.1% from March, but up 24% compared to April 2016.

CLS Volumes Up for March

The average daily traded volume (ADV) submitted to CLS was $1.6 trillion in March, up 6.7% from February. This figure also represents a 9.6% increase from the $1.46 trillion ADV recorded for the same period a year ago.

At $462 billion in ADV, spot volumes were up 8.1% month-on-month, but down 1.3% year-on-year for March.

In contrast, swap volumes in March reached $1.04 trillion ADV, a 14% increase from the year before and a 6.2% increase from February.

Meanwhile forward volumes, at an ADV of $95 billion, were up 3.3% month-on-month and up 17.3% year-on-year, in March.

FX Turnover Slows Further in October

Data from the world’s FX committees reinforces the sense that April was a minor outlier in FX turnover, with all but one centre reporting a slowdown in activity from April 2016 to October 2016.
In April 2016 – coincidentally the month of the Bank for International Settlements’ (BIS) Triennial Survey of FX Turnover – there was a late spike in activity as the Bank of Japan surprised markets through its inactivity on monetary policy, leading to yen volumes soaring. This spike has largely been reversed in the latest surveys.

Buy Side Calls for Swaps Trading Innovation

Representatives of buy side firms called for greater innovation and flexibility around swaps execution at the SefCon VII event in New York on January 18, hosted by the Wholesale Markets Brokers’ Association, Americas, and organised by Profit & Loss.

Speakers at the event explained that swaps trading has not changed much for the buy side since the introduction of Swap Execution Facilities (SEFs), with most buy side firms executing their swaps transactions via a request for quote (RFQ) format. The only difference now, they said, is that the RFQ occurs on an electronic platform rather than via the phone.

Dodd-Frank Act: Is Change Coming?

Bill Shields, chief compliance officer at GFI Swaps Exchange, talks to Profit & Loss about how swaps regulations could change in 2017.

Profit & Loss: Are you expecting significant changes to swaps market regulations under a Trump administration?

Bill Shields: In large part this will depend on who is leading the Commodity Futures Trading Commission (CFTC). Commissioner Christopher Giancarlo could be named as the long-term head of the agency, and he put out whitepaper outlining a lot the SEF rules that he would like to change or eliminate. If these changes were enacted it could get rid of many of the artificial barriers to trading that the CFTC put in place that weren’t necessarily required by Dodd-Frank. In addition, Commissioner Giancarlo, has spoken about the need to modernize the CFTC’s regulatory regime.

The Future of OTC Market Structure

Scott Fitzpatrick, CEO of Tradition SEF, talks to Profit & Loss about the ways in which the swaps market structure has – and hasn’t – evolved since the introduction of Swap Execution Facilities (SEFs).

Profit & Loss: Has the launch of SEFs three years ago actually precipitated any major changes in the structure of the swaps market?

Scott Fitzpatrick: From an infrastructure perspective, you could argue that an increased level of efficiency has been introduced into the post-trade processing of swaps transactions. Whether it’s the centralization of processing through SEFs adopting a straight-to-clearing model or the direct reporting to the Swap Data Repositories (SDRs), and provision of daily trading activity files, there is a transparency and fluidity in the post-trade environment that did not exist prior to the introduction of the SEF regulations and the creation of the accompanying infrastructure.

CFTC Hands SocGen Fine for FX Reporting Failure

The US Commodity Futures Trading Commission (CFTC) has fined Société Générale $450,000 for failures in the reporting of certain FX transactions.

The CFTC says that the French bank failed to properly report certain NDF transactions to a swap data repository (SDR), and failed to report to an SDR a large number of FX swap, FX forward, and NDF transactions in a timely manner, in violation of the Commodity Exchange Act (CEA) and CFTC Regulations.

herefore, the CFTC announced an order today requiring Société Générale to pay a $450,000 civil monetary penalty and to cease and desist from committing further violations of the CEA and CFTC Regulations.

CFTC Approves System Safeguards, Japanese Swaps Rules

The US Commodity Futures Trading Commission (CFTC) has approved two final rules for system safeguards testing requirements, as well as a comparability determination for Japan’s margin requirements for uncleared swaps.

By a unanimous vote, CFTC Commissioners approved final rules for system safeguards testing requirements for designated contract markets, swap execution facilities, swap data repositories, and derivatives clearing organisations.

“Cybersecurity is a top concern for American companies, especially financial firms. These rules are a good step forward in addressing these concerns,” said Commissioner Sharon Bowen in a statement today.

CFTC Report Provides Little Clarity on Swaps Rules

The Commodity Futures Trading Commission (CFTC) has issued its final report on the de minimis threshold for swap dealer registration, yet it remains unclear whether the Commission will make changes to this threshold. The current de minimis threshold for swap dealer registration of $8 billion is scheduled to decrease to $3 billion in December 2017, […]

TrueEX Launches BRL Execution Tool

Interest rate swap trading platform TrueEx has added Brazilian real (BRL) interest rate swaps execution with clearing through CME, to its platform. The new offering allows BRL swaps traders to clear, execute new risk, terminate or compact positions and process their positions directly at CME, the company says in a statement. It also enables them […]