Derivatives Update: Dodd-Frank Protocol 2.0 Now Open & Update on Treasury Market Practices Group Forward MBS Recommendation
A few updates of note:
1) Dodd-Frank Protocol 2.0 Open - As of March 22nd, Dodd-Frank Protocol 2.0 is open for adherence. More information is available here.
2) Further Guidance Issued by TMPG on Initiative to Margin Forward Agency MBS - On March 27th, the Treasury Market Practices Group of the New York Fed issued additional guidance on its initiative to various delayed delivery trading of agency mortgage-backed securities. Of note, the TMPG delayed its recommended compliance schedule from early June to year end 2013. There are also clarifications as to:
a) the type of MBS trading subject to margining (TBAs, ARMs, specified pools, and CMOs); and
b) the forward period that will subject a trade to margining (greater than 3 days for CMOs and greater than 1 day for TBAs, ARMs and specified pools.
The guidance is available here.
Also, you can read our original article on the TMPG's recommendation here.
3) Swap Reporting - As of now, the swap reporting rules go into effect on April 10th (as if you all did not know). Although, it is widely expected that there will soon be a barrage of well-reasoned requests from nearly every corner of the market for delays. We believe that this delay is needed, especially for non-swap dealer market participants, and entirely consistent with existing deferral patterns for other aspects of Title VII implementation. But, only time will tell.
Good day. Good endurance. TSR