MFA Comment Letters

Topic: portfolio compression

MFA Submits Letter to SEC on Proposed Capital, Margin, and Segregation Rules02.22.13


MFA submitted a comment letter to the Securities and Exchange Commission (SEC) on its proposed rules on “Capital, Margin, and […]

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Topics: Securities and Exchange Commission SEC, margin, capital, segregation, Security-Based Swap Dealer, Major Security-Based Swap Participant, capital requirements, broker-dealer, risk, security-based swaps, customer collateral, Dodd-Frank Act, CFTC, Commodity Futures Trading Commission, Private Funds Managers, Investor Protection, regulation, international regulatory standards, efficiency, capital formation, liquidity, collateral, margin requirements, market participants, variation margin, netting, margining, Financial Industry Regulatory Authority, FINRA, international harmonization of regulations, regulatory arbitrage, federal register, bilateral exchange of variation margin, best practices, counterparty risk, systemic risk, risk management, portfolio margining, securities, cross-product master netting agreements, initial margin, financial system, asset class, counterparties, prudential regulators, leverage, derivatives, tri-party custodial arrangements, customer protection, omnibus segregation, default, fellow customer risk, legal segregation with operation commingling, LSOC, swap dealers, Major Swap Participant, Individual Segregation, buy-side firms, non-commercial end-users, hedge funds, credit risk, capital inefficiency, transparency, Basel Committee on Banking Supervision, International Organization of Securities Commissions, IOSCO, Working Group on Margining Requirements, central clearing, compliance, registered clearing agencies, mandatory clearing, compliance date, two-way margining, reform, collateral management, asymmetrical initial margin exchange, pension, endowments, university endowment, financial crisis, "too big to fail, too interconnected to fail, American International Group, AIG, House Committee on Financial Services, Ben Bernanke, Federal Reserve Board, 111th Congress, financial contagion, financial institutions, asymmetry, portfolio reconciliation, portfolio compression, Swap Trading Relationship Documentation, swap dealer, collateral management stystems, trading costs, complexity, settlement risk, credit default swap, CDS, OTC derivatives, forwards, repurchase agreements, Value at Risk, VaR, financial instrument, cross-margining, Options Clearing Corporation, Chicago Mercantile Exchange Holdings Inc., New York Portfolio Clearing LLC, LCH.Clearnet Ltd., customer replicability, proprietary information, reconciliation, market risk, haircuts, Cash Flow, pro-cyclical effects, creditworthiness, multiplier, customized risk management tools, sell-side firms, liquidation time horizon, product type, market practice, ISDA, U.S. dollar, settlement, money market instruments, eligible collateral, capital charge, Lehman Brothers, bankruptcy, bankruptcy estate, third-party custody arrangement, enhanced protections, Notice of Exclusive Control, Investment Company Institute, ICI, White Paper, Securities Industry and Financial Markets Association, SIFMA, liquidation, Federal Reserve Bank of New York, tentative net capital, dealers, Eric Chern, Chicago Trading Company, \, operational risk, Security-Based Swap Transactions, Darrell Duffie, Federal Reserve Bank of New York Staff Report No. 424, ICE Clear Europe Limited, segregation model, DCO, derivatives clearing organization, portability, insolvency, out-of-the-money, operational and legal commingling, default segregation model, MF Global Inc., Peregrine Financial Group, Fraud, investment risk, Russell Wasendorf, accounting, operational costs, Broker, Dealer, ISDA Margin Survey 2012, European Commission, European Parliament, Council of the European Union, central counterparty, CCP, trade repositories, commodity broker, Bart Chilton, Division of Clearing and Intermediary Oversight, Robert Wasserman, independent third party custodian, state bank regulator, state and federal laws,

MFA Submits Letter to ESMA on Draft Technical Standards on OTC Derivatives08.05.12


MFA submitted a comment letter to the European Securities and Markets Authority (“ESMA”) in response to its Consultation Paper on “Draft Technical […]

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Topics: European Securities and Markets Authority ESMA, over-the-counter derivatives, OTC derivatives, CCP, trade repositories, European Parliament, Council of the European Union, OTC derivatives transactions, central counterparty, EMIR, central clearing, systemic risk, transparency, collateral, segregation, regulatory technical standards, straight-through processing, OTC derivatives market, market participants, Dealer, portability, client protections, contractual relationship, clearing member, CPSS-IOSCO, CPSS-IOSCO standards, CCP governing bodies, margin valuation, margin, risk management, risk management framework, conflicts of interest, fiduciary duty, International Organization of Securities Commissions, IOSCO, proprietary trading tools, risk committee, derivatives contracts, derivatives, risk profile, interlocking governance arrangements, trading venues, Commodity Futures Trading Commission, CFTC, Securities and Exchange Commission, SEC, internal controls, over-collateralization, in-the-money swap, "delta" hedge, swaps, credit default swap, CDS, negative correlation, capital, trading costs, credit risk, indirect clearing, non-linear products, Europe, European Union, EU, administrator, omnibus account, default, principal basis, agency basis, gross basis, net basis, LCH Clearnet, indirect client, direct client, close-out, extraterritorial application of EMIR, extraterritoriality, risk mitigation, Dodd-Frank Wall Street Reform and Consumer Protection Act, Asia, regulatory arbitrage, Regulators, counterparty risk, duplicative regulation, mutual recognition, third country regime, interpretive guidance, Cross-Border, index, foreign exchange, Euro, currency, interest rate derivatives, EU Member State, non-cleared OTC derivatives, compliance, default fund, portfolio reconciliation, portfolio compression, self-regulatory organization, SRO, swap dealers, major swap participants, Derivative Contracts, bilateral non-cleared OTC derivatives transactions, execution, hedging, upfront payment, floating rate payment, coupon, maturity, bespoke non-cleared trades, security-based swaps, debt-security based swaps, total return swaps, settlement prices, Proprietary Trading Strategy, public disclosure, confidence interval, margin requirements, financial instrument, posted collateral, interest rate swaps, Stan Ivanov, Lee Underwood, variation margin, initial margin, Basel Committee on Banking Supervision, Basel III, liquidation horizons, bilateral counterparty credit risk, netting, transaction fees, liquidity fragmentation, affiliated market participants, money market instruments, credit institutions, stress testing, back testing,

Supervisory Commitment Letter on OTC Derivatives Initiatives03.31.11


The MFA, along with several other major financial institutions, submitted this letter to William C. Dudley of the Federal Reserve […]

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Topics: Federal Reserve Bank of New York G-14, buy-side institutions, signatories, Over-the-Counter, OTC, derivatives, OTC derivatives risk management, market structure, OTC Derivatives Supervisors Group, central clearing, bilateral risk management, transparency, Federal Reserve System, Commodity Futures Trading Commission, CFTC, Connecticut Banking Department, Federal Deposit Insurance Corporation, Federal Reserve Bank of Richmond, Autorite de Control Prudential, ACP, German Federal Financial Supervisory Authority, Japan Financial Services Agency, New York State Banking Department, Office of the Comptroller of the Currency, Securities and Exchange Commission, SEC, Swiss Financial Market Supervisory Authority, United Kingdom Financial Services Authority, Alliance Bernstein, Bank of America-Merrill Lynch, Barclays Capital, Blackrock Inc, Blue Mountain Capital Management LLC, BNP Paribas, Citadel LLC, Citi, Credit Suisse, Deutche Bank AG, D.E. Shaw & Co L.P., DW Investment Management LP, Goldman, Sachs & Co, Goldman Sachs Asset Management L.P., HSBC Group, International Swaps and Derivatives Association Inc, J.P. Morgan, Managed Funds Association, Morgan Stanley, Pacific Investment Management Company LLC, The Royal Bank of Scotland Group, Asset Management Group of the Securities Industry and Financial Markets Association, Societe Generale, UBS AG, Wells Fargo Bank N.A., Wellington Management Company LLP, Committee on Payment and Settlement Systems, European Commission, European Central Bank, European Securities Markets Authority, Financial Stability Board, Bank of England, international regulatory coordination, standardization, data reporting, flexibility, market regulation, global derivatives, reporting, G20, automated processing, uncleared transactions, disputed margin calls, steady state, standardization benchmarking, standardization matrix, standardization narrative, flow/activity data, quantitative stock, credit, equity, interest rates, column-wise functional area, Commodities Steering Committee, Commodities Major Dealers, CMD, Foreign Exchange/Currency Derivatives Major Dealers, Simple instruments, Complex Exotic Instruments, Financial Markets lawyers Group, FMLG, baseline metrics, Equity Derivatives Definitions, 2011 EDDs, Master Confirmation Agreements, MCA, Matrix Working Group, Transaction Supplement, Equity Steering Committee, ESC, operation efficiency targets, trade repositories, infrastructure providers, matching and confirmation, affirmation, lifecycle events, Credit Implementation Group, CIG, equity derivative, operational performance targets, electronically eligible conformations, platform convergence, trade lifecycle event processing, Equity Determinations Committee, EDC, Interest Rate Derivative, functionality, middleware platforms, granularity, Trade Date submission, currently eligible transactions, statutory clearing requirements, submission targets, uncollateralized payable, offsetting CDS hedge, direct buy-side clearing models, indirect buy-side clearing models, product pipeline, sovereigns, FRAs, amortizing swaps, HUF, CZK, SGD, enhanced financial safeguards, cross-currency swaps, caps, floors, European swaptions, inflation swaps, trade date repositories, enhanced clearing penetration, clearing agreement, client onboarding, client collateral, risk issues, compression requirements, margin requirement, liquidity, CPSS-IOSCO, credit default swap, CDS, ISDA Credit Derivatives Determinations Committees, DC, CCP, CDS central counterparties, ISDA 2011 convention on Portfolio Reconciliation and the Investigation of Disputed Margin Calls, ISDA 2011 Formal Market Polling Procedure, Dispute Resolution, portfolio reconciliation, collateral disputes, dispute reporting, prudential regulator, ISDA Minimum Market Standards for Portfolio Reconciliation, electronic messaging, portfolio compression, commodity derivatives, foreign exchange derivatives, interest rate derivatives, residual risk position, regular compression cycles, tear-up algorithms, compression MIS, automatic compression, FX derivatives, aggregate compression yields, trade repository infrastructure, market participants, international data standards, IGC Data Working Group, DWG, legal entity identifiers, LEI, FpML Standards Committee, tradable instruments, cost-recovery, standardized representation, unique product identifiers, Interest Rate Derivatives Trade Reporting Repository, IRRR, Request for Proposal, RFP, Phase II Repository Reporting Expectations, OTC Derivatives Regulatory Forum, ODRF, transaction level data submissions, trade pairing process, COSC, FXMD, International Organization of Securities Commissions, IOSCO, LEAP, EFET, ISDA, IETA, LMBA, copper records, Warehouse Trust, New "Gold" Products, Trade Information Warehouse, recovery lock transactions, client data confidentiality, EMIR legislation, FX Volatility Swap, Cross-Currency Guide, FX Novation Protocol, European Interdealer Index Swap, European Interdealer Fair Value Swap, EMEA EM Interdealer Options, Cash Flow Matching for Equity Derivative Transactions, Allocations, Trade Affirmation, Interoperability, MarkitSERV, MarkitWire, DTCC, Credit Derivative Tranche Transactions, Sukuk Corporate, ISDA Credit Derivatives Physical Settlement Matrix, Credit Derivatives 2010 Documentation Update Working Group, CDD, Small Bang Protocol, Restructuring Credit Event, Anglo Irish Bank Corporation Limited, novation consent, Novation Consent Platform, European MBS, Fixed Recovery Swaps, Swaptions on Indices, iTraxx Europe Untranched Swaption transactions, CDX Untranched Swaption transactions, NDOs, Vanilla Options, Simple Exotic Options, Core FX, NDFs, Continuous Linked Settlement system, CLS, dealer to dealer clearing, LCH.Swapclear, Rates TRR aggregate reporting, zero coupon swaps, single currency basis swaps, extending operating hours, end user clearing, ICE Trust, ICE Clear Europe, dispute resolution procedures, inter alia, Global Compression, CLS Aggregation Service, Core FX settlement processing, ODSG, Equity Derivative Reporting Repository, EDRR, trickle down effect,
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