The US Commodity Futures Trading Commission (CFTC) voted 4-1 yesterday on rules governing Swap Execution Facilities (SEFs), requiring buyers to request a minimum of two bids when trading swaps for the first twelve months and three for subsequent transactions. The initial proposals – articulated in 2011 – required requests for quotes (RFQs) to be sent to five dealers. Opponents claimed that the complexity made it more challenging to manage their exposures.

Until now, exchanges have possessed the authority to set their own thresholds for futures contracts, whereas swaps are subject to the scrutiny of CFTC thresholds.

These exchanges – also known as designated contract markets (DCMs) – have been criticized for having an unfair advantage when they offer similar and equivalent products to over-the-counter (OTC) swaps. The changing regulations now suggest that exchanges will be stripped of the ability to set block prices. Advocates espouse that the bill will allow OTC activity to SEFs to be more Dodd-Frank compliant, and cite the rules as helping to alleviate costly market impact. Wayne Pestone, Chief Regulatory Officer of FXAll was quoted as stating, “We believe two is an optimal model for an RFQ-based system – it significantly reduces the risk of information leakage and costly market impact while at the same time preserving choice in trade execution.” Advocates also tout the clarity the rules will now provide; helping to overcome one of the most prolonged and persistent complaints around Dodd-Frank.

What effects will the new rules have on swaps trading activity and exchanges?

Do you support or oppose the new rules, and if so, why? As always, weigh in below.

CFTC Commissioner Bart Chilton will be presenting at next month’s Trading Show Chicago. To find out more information, or register to attend click here.

Ram Ahluwalia,

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The presentation addresses key issues, including:

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Quant Invest New York 2013 is part of The Trading Show New York. For more information,download the prospectus here. Can’t wait until December? Check out The Trading Show Chicago, taking place this June.

Ernest participated in the section of day two about new modeling ideas, presenting a case study called “Are there leading indicators of risk? Evaluating traditional risk indicators and identifying new ones”.

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During Ernest’s presentation, he discussed discovering risk indicators in the FX markets, including:

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Deutsche Bank is an organization well used to considering quantitative investing from a global perspective, and last year they shared their expertise with other attendees in Toronto.

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View their 2012 presentation to learn more about:

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Interested in Canadian quant trading and investing? Check out this year’s Quant Invest Canada, taking place October 9-10 in Toronto.

Find out what they had to say here >

- Download their presentation to read on as TD discusses:
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Interested in Canadian quant investing and trading? Check out this year’s Quant Invest Canada, taking place October 9-10 in Toronto.

On day two of last year’s event, he gave a presentation titled “How can pension investors optimize Liability Driven Investment in an Asset Liability Management framework?”.

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Interested in Canadian quant trading and investing? Check out this year’s Quant Invest Canada taking place October 9-10 in Toronto.

On the first day of last year’s event, he gave a presentation titled “Algorithmic and high frequency trading in the global FX market”.

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In his presentation, Hany discusses:

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Interested in Canadian quant trading and investing? Check out this year’s Quant Invest Canada taking place October 9-10 in Toronto.

They gave a presentation on how to integrate quant into your Canadian and global portfolio, and we’re making it available for you to download now before we post it online.

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Check it out to hear what OMERS has to say about:

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Interested in Canadian quant trading and investing? Check out this year’s Quant Invest Canada, taking place this October in Toronto.

Gary Gensler, Chairman of the Commodity Futures Trading Commission, has spearheaded an effort to crack down on the loopholes that allowed the financial crisis to take place, but under pressure from Wall Street lobbyists, Gensler will allow many of the new rules to be weakened.

The rules will allow banks to continue to negotiate deals over the phone, a practice critics say is hard to monitor, and lower the number of quotes investors need to get before entering a swap to move away from bilateral trading. Derivative brokers such as ICAP Plc, GFI Group Inc and Tullett Prebon Plc, which sign up for the bulk of trading between banks, had lobbied hard to retain so-called voice-broking, the core of their business.

But there is concern that traders, having essentially dodged the regulatory bullet from the CFTC, will return to the dangerous habits that caused the crisis in the first place. The swaps market’s appeal for speculators, as the New York Times pointed out today, is precisely what caused it to balloon out of control soon after its inception.

Portions of this article were originally published on Yahoo! Finance by Reuters. Read the full article here.

On the second day of the conference, Taha gave a presentation titled “How to hedge tail risk and manage extreme risk for fund of hedge funds”.

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His presentation addressed the following questions:

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Interested in Canadian quant trading and investing? Check out Quant Invest Canada, taking place this October in Toronto.