In the Spotlight
Federal Reserve Announces Agencies Finalize Large Bank Stress Testing Guidance: May 14, 2012, the Federal Reserve Board, the Office of the Comptroller of the Currency, and the Federal Deposit Insurance Corporation issued final supervisory guidance regarding stress-testing practices at banking organizations with total consolidated assets of more than $10 billion. The guidance outlines general principles for a satisfactory stress testing framework and describes various stress testing approaches and how stress testing should be used at various levels within an organization. The Federal Register notice can be found here.
SIFMA Dashboard
SIFMA’s Factsheet on Repo Market
SIFMA’s Factsheet on TBA Market
Dodd-Frank Implementation
SIFMA’s Complete Comment Letter Database (including all Dodd-Frank related comments)
SIFMA’s Comprehensive Database of Expected Rule-making Agenda of Dodd-Frank Law
Global Highlights
Bank of England Publishes Interest Report for May 2012: May 16, 2012, the Bank of England (BOE) released the Interest Report for May 2012. Specifically, it was noted that output had barely grown for a year and a half and was estimated to have contracted slightly in the past two quarters. The euro-area economy remained weak, but global activity overall continued to expand at a moderate pace. Further, CPI inflation stood at 3.5% in March 2012, down from a peak of 5.2% in September 2011. That fall reflected the effects of earlier increases in energy prices and VAT dropping out of the twelve-month inflation rate. The near-term outlook is judged to be somewhat higher than expected three months ago, with inflation now likely to remain above the 2% target for the next year or so. The full report can be found here.
European Central Publishes Euro Area Securities Issues Statistics for March 2012: May 14, 2012, the European Central Bank (ECB) released the euro area securities issues statistics for March 2012. Of note, the annual growth rate of the outstanding amount of debt securities issued by euro area residents increased to 4.6% in March 2012 from 4.3% in February. For the outstanding amount of quoted shares issued by euro area residents, the annual growth rate was 1.6% in March 2012, compared with 1.5% in February.
Federal Reserve Activities
Federal Open Market Committee Publishes Meeting Minutes: May 16, 2012, the Federal Reserve Board and the Federal Open Market Committee on Tuesday released the attached minutes of the Committee meeting held on April 24-25, 2012. The minutes can be viewed here.
Federal Reserve Announces Results of Auction of $3 billion in 28-day term deposits held on May 14, 2012: On May 14, 2012, the Federal Reserve conducted an auction of $3 billion in 28-day term deposits through its Term Deposit Facility. Following are the results of the auction:
- TDF Auction ID: A24
- Competitive Amount Offered: $3,000,000,000
- Competitive Amount Tendered: $10,871,250,000
- Competitive Amount Awarded: $3,000,010,000
- Non-Competitive Amount Awarded: $53,250,000
- Total Amount Awarded: $3,053,260,000
- Stop-Out Rate: 0.25500 percent
- Bid-to-Cover Ratio (Competitive Auction): 3.62
- Number of Bids Submitted: 51
- Number of Participants Submitting Bids: 30
Bids at the stop-out rate were pro-rated at 31.92 percent. Resulting awards were rounded to the nearest $10,000 except that all awards below $10,000 were rounded up to $10,000. The awarded deposits will settle on May 17, 2012, and will mature on June 14, 2012. The stop-out rate shown above will apply to all awarded deposits.
Read the General Counsel of Federal Reserve Scott Alvarez’s testimony before the Committee on Financial Services, U.S. House of Representatives on Settlement Practices.
New York Fed Liberty Street Economics Research Blog
FRBNY Treasury Securities Purchases Since April 30
Treasury Securities Purchases Since March 2009
FRBNY Releases May Tentative Outright Treasury Operation Schedule:
Across all operations in the schedule listed below, the Desk plans to purchase approximately $45 billion and sell approximately $43 billion in Treasury securities over the month of May.
Federal Reserve’s Regulatory Reform Webpage: The Federal Reserve published a new timeline of prospective rulemakings (related to Dodd-Frank implementation) planned for April to June 2012, found here.
Market Operations/Systems
FICC Announces Notice of Rule Filing Approval: May 17, 2012, the Fixed Income Clearing Corporation (FICC) announced that on May 15, 2012, rule change SR-FICC-2012-03 was approved by the Securities and Exchange Commission (SEC). The rule amends the rules of the Government Securities Division (GSD) of the Fixed Income Clearing Corporation (FICC) to expand the existing one-pot cross-margining program between FICC and New York Portfolio Clearing, LLC (NYPC) to include eligible positions held by GSD Netting Members and NYPC Clearing Members for “Market Professionals.” The effective date of this rule change will be announced via a subsequent Important Notice.
FICC Announces Notice of Rule Filing Submission: May 16, 2012, the Fixed Income Clearing Corporation (FICC) announced that on May 15, 2012, rule change SR-FICC-2012-04 was filed for accelerated effectiveness with the Securities and Exchange Commission (SEC). The purpose of the rule filing is to implement an adjustment to the calculation of the Government Securities Division’s (GSD) volatility margin by applying a multiplier (the augmented volatility adjustment multiplier (AVM)) to the “VaR Charge”, as defined in the GSD rules.
Of Interest
Treasury Releases International Capital Data for March: May 15, 2012, the U.S. Department of the Treasury released Treasury International Capital (TIC) data for March 2012. The next release, which will report on data for April 2012, is scheduled for June 15, 2012. The sum total in March of all net foreign acquisitions of long-term securities, short-term U.S. securities, and banking flows was a monthly net TIC outflow of $49.9 billion. Of this, net foreign private outflows were $57.7 billion, and net foreign official inflows were $7.8 billion.
DTCC Common Stock Reallocation Announced: May 11, 2012, the Depository Trust Company (DTC), National Securities Clearing Corporation (NSCC) and Fixed Income Clearing Corporation (FICC) announced that the DTCC common stock reallocation process will occur during the second quarter of 2012 and will be based upon the use of services of the Clearing Agencies from January 1, 2009 through December 31, 2011.
New Positions at SIFMA Posted to Career Center: New positions at SIFMA are now posted on our Career Center, a forum to connect jobseekers and employers/recruiters on opportunities within the securities industry. SIFMA is currently seeking a Vice President of Member Engagement to manage key aspects of the Association’s corporate membership recruitment efforts. We offer excellent benefit packages and salaries commensurate with experience. Check out the career center to learn more about this and other opportunities, post your resume, view new job listings, or view resumes/post a job.
SIFMA’s Pennsylvania + Wall Blog on “FATCA, Mortgages, China: A Busy Week for SIFMA”: This past week, SIFMA and representatives of our member firms testified (or submitted testimony) on many important issues—this blog post highlights three. First, Nicole Tanguy, Director and Tax Counsel at Citigroup Inc testified on behalf of SIFMA before the Internal Revenue Service on the need to push back some compliance deadlines for implementing the Foreign Account Tax Compliance Act (FATCA) from 2013 to 2014. In addition, SIFMA submitted testimony to the Conference Committee of the California State Legislature outlining serious concerns with pending mortgage servicing legislation. Finally, SIFMA’s David Strongin testified before the House Financial Services Subcommittee on International Monetary Policy and Trade on market access in China and progress made in the Strategic & Economic Dialogue (S&ED) on how to ensure a level playing field for SIFMA member firms currently doing business in China.
FDIC’s New Webpage on Financial Reform Law: FDIC and Financial Regulatory Reform: Specific initiatives page can be found here.
List of Failed Banks and Bank Failures in Brief
Helpful Data/Schedules and Websites
Tentative Auction Schedule of U.S. Treasury Securities: Please note the U.S. Treasury Department’s Tentative Auction Schedule. The past week’s auction results can be found at TreasuryDirect, separated by type of Treasury security.
Quarterly Summary of All Treasury Issuance:
Federal Reserve Statistical Releases and Historical Data and Fed Surveys and Reports
U.S. Flow of Funds Accounts: These data are released during the second week of March, June, September, and December.
Federal Reserve Balance Sheet Data: The H.4.1 statistical release (“Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks”) is typically published every Thursday at 4:30 p.m. ET. A breakdown of total reserves can be found below (updated weekly):
The U.S. Department of the Treasury Rates Data: Please see Treasury’s website for its daily Yield Curve Rates, Bill Rates, Long-Term Rates, Real Yield Curve Rates, and Real Long-Term Rates.
Treasury Yields and Fed Fund Rate (monthly):
Commercial Paper Rates and Outstanding: The daily commercial paper release will usually be available before 11:00 a.m. EST. Also note the Selected Interest Rates - H.15 data (Daily | Weekly).
FICC’s Fails Data Chart for U.S. Treasury securities trades: The chart shows the par value of transactions in the U.S. treasury securities market that involve fails, viewable on a daily, monthly or annual basis.
FRBNY’s Tri-Party Repo Reform Task Force Statistics on US Tri-Party Repo Market: Includes a breakdown by collateral and margin data.
Treasury International Capital Data for March
Publications
SIFMA’s Advocacy and Educational Website: Visit www.investedinamerica.org and http://www.capitolinterest.com/ to learn more.
Events/Meetings
MRA Task Force: Meeting to be held on May 30th at 3:30 p.m.
Please visit SIFMA’s Upcoming Conference and Events webpage
Calendar
SIFMA’s New 2012-2013 Market Close Recommendations
DTC Releases Anticipated Holiday Schedule: 2010-2015 Money Market Instrument and London Settlement
DTC’s Anticipated 2012 Holidays
CME’s Full 2012 Holiday Calendar and Related Notices
FICC’s 2012 Holiday Schedule for GSD and MBSD
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