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


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