Swaps

SIFMA’s Asset Management Group (AMG) has prepared an information statement to address Article 15 of the EU’s Securities Financing Transaction Regulation (SFTR). Article 15 requires that, for arrangements involving the right of reuse of collateral or a title transfer collateral arrangements, the counterparty has been duly informed in writing by the receiving counterparty of “the risks and consequences that may arise in the event of the default of the receiving counterparty.” (See link to regulation).

SIFMA’s Asset Management Group (SIFMA AMG) has prepared a template client document that asset management firms can use to comply with new informational and disclosure obligations required to onboard clients for derivatives transactions. The “Derivatives Package” for use with clients includes a cover letter, a Derivatives Trading Client Questionnaire, a Derivatives Authorization, and a list of regulatory definitions used in the documents. Client completion and signing of the Derivatives Package provides asset managers with authority to set up an account for trading on the client’s behalf, to make required representations, and to adhere to the relevant industry Protocols without disruption of the management of the client’s account.

SIFMA’s Asset Management Group (AMG) prepared the following client classification outreach letter in order to assist asset managers helping their clients navigate clearing requirements in Europe pursuant to the European Market Infrastructure Regulation (EMIR).

SIFMA’s Asset Management Group (AMG) has prepared the following letter to aid asset managers seeking to comply with the exception provided for transactions with independent fiduciaries with financial expertise. The letter seeks confirmation that the manufacturer is not acting as an ERISA fiduciary, not providing advice to specific clients/categories of clients and that the counterparty meets the requirements of the institutional exception.

SIFMA’s Asset Management Group (AMG), working in collaboration with the International Swaps and Derivatives Association (ISDA), has helped to develop a new interest rate swap (IRS) contract structure with pre-defined, market-agreed terms. These Market Agreed Coupon (MAC) contracts should promote liquidity and enhance transparency in IRS trading. The MAC Contract is voluntary and is meant to complement bespoke IRS and deliverable interest rate futures.

The establishment of CUSIP numbers, a standardized method for identifying MAC contracts, will also serve to facilitate trading and transparency in the IRS marketplace.

• Press Release: SIFMA AMG Helps Develop New Market Agreed Coupon for Interest Rate Swaps (April 23, 2013)
• Press Release: SIFMA AMG and ISDA Announce that CUSIPs are Now Available for MAC Contracts (December 12, 2013)
• MAC Term Sheet
• MAC Rationale
• MAC Swap Confirmation
• Press Release: CME Group Serving as Administrator for MAC Swaps

The latest set of MAC coupons can be found on the CME Group MAC Standard page.

Please refer to the “MAC Term Sheet” for important information regarding these coupon rates. For any MAC related questions, contact: Elisa Nuottajarvi.