November 20, 2013 Newsletter
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November 20, 2013


Issue Spotlight

Recent Developments


ABS Vegas momentum continues to be incredibly strong, with 120 sponsors to-date and a host more in process. We already have close to 2,000 participants registered, over half of which are investors and issuers. Rooms at The Cosmopolitan are already sold out, with the overflow block of hotel rooms at the Aria also selling fast. Don’t miss the chance to be part of the Structured Finance Industry’s largest conference. Click here to register for ABS Vegas 2014.

Please submit your speaker nominations now; note that priority consideration will be given to current SFIG members. A member may self-nominate, or submit on behalf of a non-member.

Click here for the ABS Vegas 2014 Speaker Nomination Form. Click here for the conference agenda.


On November 13, 2013, SFIG members and staff met with Gary Barnett and Erik Remmler, Director and Deputy Director of the Division of Swap Dealer and Intermediary Oversight, respectively, at the Commodity Futures Trade Commission (CFTC). The purpose of the meeting was to discuss possible no-action relief for swap providers that fail to comply with CFTC regulations that may become applicable to legacy swaps with a special purpose vehicle, solely as a result of actions taken by the parties to address actual or anticipated credit rating downgrades of swap providers. SFIG believes that the requested relief would not frustrate the purpose of, or policy behind, the relevant CFTC regulations. In contrast, if the relief requested is not granted, it likely would have serious adverse economic consequences on investors and swap providers. For any questions regarding this issue, please contact Sairah Burki at


SFIG would like to wish everyone a Happy Thanksgiving this week as no newsletter will be distributed next Wednesday.


In recent months, the Commodity Futures Trading Commission (CFTC) has promulgated several proposed and final rules relevant to the securitization industry. Most recently, on November 15, 2013, the CFTC approved rules (November 15 Rules) to establish additional standards for systemically important derivatives clearing organizations (SIDCOs). On November 5, 2013, the CFTC approved two rule proposals (November 5 Proposals): (i) proposed rules expanding the scope of the CFTC’s speculative position limit requirements for futures, options and swaps (Position Limits Proposal) and (ii) a separate proposal addressing the aggregation of positions across accounts with common ownership or control (Account Aggregation Proposal). Each of the November 5 Proposals will be open for public comment for a period of 60 days following its publication in the Federal Register. On October 31, 2013 the CFTC adopted final rules with respect to the segregation of initial margin for uncleared swaps (Initial Margin Rules).

Standards for SIDCOs – U.S. Treasuries Rule

The November 15 Rules established additional standards for SIDCOs. The November 15 Rules require a SIDCO that is involved in activities with a more complex risk profile, or that is systemically important in multiple jurisdictions, to maintain sufficient financial resources. Under the November 15 Rules, the SIDCO’s financial resources must be sufficient to enable the SIDCO to meet its financial obligations to its clearing members notwithstanding a default by the two clearing members (including their affiliates) creating the largest combined financial exposure for the SIDCO in extreme but plausible market conditions (a Cover Two Requirement). The November 15 Rules also prohibit a SIDCO from using assessment powers (i.e., committed but unfunded resources) in calculating its financial resources available to meet the Cover Two Requirement.

The November 15 Rules, together with the existing derivatives clearing organizations rules, establish CFTC regulations that are consistent with the Principles for Financial Market Infrastructures (PFMIs) and would allow SIDCOs to continue to be Qualifying Central Counterparties for purposes of international bank capital standards.

The November 15 Rules include substantive requirements relating to governance, financial resources, system safeguards, special default rules and procedures for uncovered losses or shortfalls, risk management, additional disclosure requirements, efficiency, and recovery and wind-down procedures. In addition, the November 15 Rules include procedures by which derivatives clearing organizations other than SIDCOs may elect to become subject to these additional standards.

As part of the November 15 Rules, the CFTC approved a rule (Treasuries Rule) aimed at ensuring that Treasuries pledged as collateral for swaps and futures trades can be instantly converted to cash. Under the Treasuries Rule, the clearinghouses would be required to back Treasury bonds with credit lines.

Aggregation of Position Limits

The Position Limits Proposal replaces the CFTC’s Part 151 rules, which were adopted on October 18, 2011, and vacated by the US District Court for the District of Columbia on September 28, 2012 in International Swaps and Derivatives Association v. United States Commodity Futures Trading Commission.

Consistent with the approach taken in the vacated Part 151 rules, the Position Limits Proposal identifies 28 core referenced futures contracts and applies aggregate position limits on a futures equivalent basis across all “referenced contracts”—i.e., futures, options or swaps that are: (i) directly or indirectly linked to the price of a core referenced futures contract; or (ii) based on the price of the same underlying commodity for delivery at the same delivery location(s) as that of a core referenced futures contract. The Position Limits Proposal imposes separate position limits for spot-month contracts, non-spot-month contracts and an overall limit applied across all spot and non-spot contract months for all referenced contracts.

The Position Limits Proposal establishes separate spot-month limits for physically delivered and cash-settled futures, options and swaps and includes preliminary spot-month limits based on the futures exchanges’ current spot-month limits. These limits become effective 60 days after final rules are published in the Federal Register and thereafter are adjusted, at least every other calendar year, to a level no greater than one-quarter of the deliverable supply. The Position Limits Proposal includes a conditional exemption from the spot-month limits allowing a person to own or control up to five times the spot-month limit for cash-settled contracts, if the person does not also hold or control spot-month positions in the physically delivered contract and additionally makes daily reports to the CFTC.

The Position Limits Proposal also establishes single-month and all-months-combined position limits for all referenced contracts. These levels adjust at least once every other year and are set in an amount equal to the greater of (i) 10% of the first 25,000 contracts of the average all-months-combined aggregate open interest, plus 2.5% of the average all-months-combined aggregate open interest in excess of 25,000 contracts; (ii) the spot-month limit; or (iii) 1,000 contracts for agricultural contracts or 5,000 contracts for exempt commodities.

Exemption for Bona Fide Hedging Positions

Under the Position Limits Proposal, the definition of bona fide hedging in CFTC Regulation 1.3(z) is replaced by a new definition in CFTC Regulation 150.1. With the following exceptions, the proposed definition of bona fide hedging is substantially similar to the current definition:

  • positions used to offset pass-through swaps are now included in the definition of bona fide hedging;
  • the process for obtaining an exemption for a non-enumerated hedging position changes; and
  • the CFTC’s interpretation of the “economically appropriate” component of the bona fide hedging definition affects a market participant’s ability to separately hedge its long and short positions.

As with the existing definition, bona fide hedging positions must be incidental to commercial cash, spot or forward operations and be established and liquidated in an orderly manner.

Under the Position Limits Proposal, hedges for an excluded commodity are required to be: (i) economically appropriate to the reduction of risks in the conduct and management of a commercial enterprise and fall within an enumerated hedging category; or (ii) recognized as a bona fide hedging or risk management position by the rules of a designated contract market or swap execution facility. Appendix A of the Position Limits Proposal provides guidance for risk management exemptions.

Under the Position Limits Proposal, bona fide hedging positions for physical commodities are required to:

  • represent a substitute for transactions in the physical marketing channel;
  • be economically appropriate to the reduction of risks in a commercial enterprise;
  • arise from the potential change in value of certain assets, liabilities or services; and
  • fall within one of the enumerated hedging categories in CFTC Regulation 150.1 or qualify as an offset to a pass-through swap.

To qualify as an offset to a pass-through swap, the position must be held to reduce the risks of a swap that, at the time of the transaction, qualifies as a bona fide hedge for the counterparty. The exemption does not apply to risk-reducing positions that are held during the spot month or the last five trading days of an expiring contract.

The Position Limits Proposal identifies the following types of enumerated hedging positions:

  • long positions used to hedge owned inventory and fixed-price purchases;
  • short positions used to hedge fixed-price sales;
  • long positions used to hedge unfilled anticipated requirements;
  • long or short positions used to offset price risk by an agent that is responsible for marketing cash market positions;
  • short positions used to hedge unsold anticipated production;
  • long and short positions used to hedge offsetting purchase and sales at unfixed prices;
  • short positions used to hedge anticipated royalty payments; and
  • long or short positions used to hedge expected receipts or payments due under service contracts.

Under the Position Limits Proposal, current exemptions granted under CFTC Regulation 1.47 for swap risk management will be revoked with respect to all swap positions entered into after the effective date of the final rules. Proposed CFTC Regulation 150.3 allows market participants to request an interpretive letter concerning the applicability of an exemption or exemptive relief for risk management practices that do not fall within an enumerated exemption.

Under the Position Limits Proposal, the CFTC has the authority to grant a financial distress exemption that allows a person to acquire or take control of positions in the event of a potential default, bankruptcy or acquisition of an entity experiencing financial duress without violating the federal position limits.

The Position Limits Proposal includes guidance that may limit the ability of commercial enterprises to separately hedge their long and short cash market exposures. Under the Position Limits Proposal, in order for a position to be economically appropriate to the reduction of risks in a commercial enterprise, the enterprise is expected to take into account all inventory or products that it owns, controls or has contracted to purchase or sell at a fixed price.

Under the Position Limits Proposal, designated contract markets and swap execution facilities must adopt position limits at a level no higher than the federal limit for all referenced contracts, but position accountability requirements may be adopted in lieu of position limits for excluded commodities, as well as for physical commodities that are not subject to a CFTC position limit. A designated contract market or swap execution facility that adopts position accountability levels may be required to adopt spot-month limits in certain circumstances. The CFTC proposal also requires designated contract markets and swap execution facilities to adopt aggregation rules and bona fide hedging exemptions that are at least as stringent as the CFTC requirements. The Position Limits Proposal allows designated contract markets and swap execution facilities to adopt risk management exemptions for excluded commodities.

Revised Account Aggregation Requirements

Also, on November 5, 2013, the CFTC voted to propose the Account Aggregation Proposal which consists of amendments to the CFTC’s rules requiring the aggregation of certain accounts for purposes of complying with CFTC speculative position limits. The Account Aggregation Proposal continues the current practice of evaluating positions on the basis of both ownership and control. These rules require the aggregation of all positions in accounts in which a trader either (i) holds a direct or indirect ownership of 10% or more, or (ii) controls trading, by power of attorney or otherwise. As summarized below, the Account Aggregation Proposal notably retains (with some modifications) many of the “disaggregation” exemptions that are available under existing CFTC Regulations and also creates certain new exemptions.

  • Independent Account Controller Exemption. The Account Aggregation Proposal retains the independent account controller exemption, which provides that an “eligible entity” is not required to aggregate client positions controlled by an authorized “independent account controller” (which terms are defined in substantially the same manner as under the CFTC’s current rules). The Account Aggregation Proposal clarifies that this exemption is applicable only to the positions of the eligible entity’s clients (and not the eligible entity itself) and is not available for physically delivered commodity contracts during the spot month. Persons utilizing the independent account controller exemption are required to file a notice with the CFTC.
  • Passive Pool Exemption. The Account Aggregation Proposal also retains the exemption for certain limited partners, shareholders and similar types of passive investors in commodity pools, including an investor that is a principal or affiliate of the pool operator, provided the principal or affiliate meets certain criteria to demonstrate its independence and fulfills a newly proposed filing requirement.
  • FCM Customer Trading Programs. The Account Aggregation Proposal retains an existing exemption for customer trading programs offered by a futures commission merchant (FCM) if a person other than the FCM (or its affiliates) directs the trading in such an account, but imposes a new filing requirement for FCMs that rely upon this exemption.
  • Owned Entity Exemption (10% to 50% Ownership). Under proposed CFTC Regulation 150.4(b)(2) as set forth in the Account Aggregation Proposal, a person whose ownership or equity interest in another entity is between 10% and 50% is not be required to aggregate its positions with that entity’s positions if such person files a notice with the CFTC and both parties: (i) do not have knowledge of each other’s trading decisions; (ii) trade pursuant to separately developed and independent trading systems; (iii) have established written information barriers that include documented routing procedures, security procedures and separate physical locations to maintain independence; (iv) do not share employees that control trading decisions; and (v) do not share risk management systems.
  • Owned Entity Exemption (Greater Than 50% Ownership). Under the Account Aggregation Proposal, a person with an ownership interest of greater than 50% is permitted to apply to the CFTC for an aggregation exemption if: (i) the applicant does not and is not required by US generally accepted accounting principles to consolidate the owned entity under the applicant’s financial statements; (ii) the applicant’s trading is independently controlled; (iii) each representative of the applicant on the owned entity’s board certifies that he or she does not control the trading decisions of the owned entity; and (iv) the owned entity’s positions are held for bona fide hedging purposes or do not exceed 20% of the position limit. However, this exemption is not automatic, and the CFTC has the authority to grant or deny these applications. The owned-entity exemption also applies to higher-tier entities (such as upstream holding companies) that comply with the applicable requirements.
  • Underwriting and Broker-Dealer Activities. The Account Aggregation Proposal provides an exemption for a broker-dealer that acquires an equity interest in an entity as a result of certain underwriting or market-making activities.
  • Information-Sharing Prohibitions. The Account Aggregation Proposal includes a new conditional exemption where aggregation creates a reasonable risk of violating applicable laws governing the sharing of information between the aggregated entities. To utilize this exemption, a person must file a notice with the CFTC that includes, among other requirements, a written memorandum of law explaining why the sharing of information creates a reasonable risk of violating applicable law.
  • Identical Trading Strategies. The Account Aggregation Proposal also clarifies that these various exemptions do not apply to any person that holds an ownership interest or controls the trading of more than one account or pool with substantially identical trading strategies.

Rules For Segregation Of Initial Margin For Uncleared Swaps

On October 31, 2013, the CFTC adopted the Initial Margin Rules. The Initial Margin Rules impose new obligations on swap dealers (SDs) and major swap participants (MSPs) that increase the notification and segregation requirements that are set out in Section 4s(l) of the Commodity Exchange Act. The notification to each counterparty that it has the right to require segregation of initial margin must now include the following information:

  • the names of one or more possible custodians, one of which must be a creditworthy non-affiliate and all of which must be independent of both parties; and
  • information about the price of segregation for each custodian identified (to the extent the SD/MSP has such information).

The Initial Margin Rules also contain detailed specifications concerning the manner in which the notification must be given. The preferred recipient of the notice is the “officer of the counterparty responsible for the management of collateral,” but if no such officer has been identified by the counterparty, the notification must be sent to the counterparty’s chief risk officer or, if there is no person with that title, to the counterparty’s chief executive officer or equivalent. SDs and MSPs must now obtain confirmation of receipt of the notice by the addressee and an affirmative response from the counterparty indicating whether the counterparty is exercising its segregation right. As to timing, the Initial Margin Rules state that notice may be given either on a swap-by-swap basis or once per calendar year. In practice annual notifications should be expected.

Under the Initial Margin Rules, if a counterparty does not elect to segregate initial margin, an SD or MSP must submit a report to the counterparty no later than the 15th business day of each calendar quarter on whether its back-office procedures relating to margin and collateral requirements were in compliance with the agreement of the parties during the preceding calendar quarter. A counterparty has the right to change its election at any time by written notice to its SD or MSP, but only for swaps executed after delivery of such notice.

The Initial Margin Rules dictate certain of the terms that must be included in the agreement covering a segregation arrangement elected by a counterparty. In particular, the Initial Margin Rules state that:

  • the segregated collateral must be held in an account designated as being for and on behalf of the counterparty;
  • withdrawal can be made only by agreement of both parties; and
  • any notice to the custodian for the purpose of obtaining exclusive control of the collateral must be given under oath and under penalty of perjury.

The Initial Margin Rules also limit the investments that can be made with segregated initial margin to those that are consistent with CFTC Regulation 1.25. They do not, however, specify the allocation of the out-of-pocket costs of establishing and maintaining these custodial arrangements. The right to segregation does not apply to variation margin, but a segregated account for initial margin can also be used to hold variation margin if the parties so agree.

The Initial Margin Rules are effective on January 6, 2014, and SDs and MSPs must be in compliance with them no later than May 4, 2014 for new counterparties and no later than November 3, 2014 for existing counterparties.

Click here for the November 15 Rules. Click here for the November 5 Proposals. Click here for the Initial Margin Rules.


On November 21, 2013, the Federal Reserve Bank of New York (NY Fed) will conduct its first test of mortgage-backed securities (MBS) trading through FedTrade, its proprietary trading platform. The NY Fed has been developing the capability to conduct MBS transactions over FedTrade. To test this capability, the NY Fed will conduct an exercise consisting of a series of small value purchase and sale operations of agency MBS via FedTrade. The exercise will run through January 2014 and operations will not exceed $500 million in total.

The FedTrade platform is currently used to conduct the NY Fed’s permanent Treasury purchases and sales, repurchase and reverse repurchase agreements, and securities lending operations. FedTrade is being expanded in order to add the capability to conduct MBS operations. Results of the small value agency MBS exercise will be posted on the New York Fed’s website following the completion of each operation. The results will include the security types, total amounts accepted and submitted, and settlement months as well as other details.

Click here for additional details.



On November 16, 2013, Wayne Smith, mayor of Irvington, NJ, announced that the city will perform a legal study of the proposal to use eminent domain to buy mortgages that currently are in foreclosure. The New Jersey chapter of the American Civil Liberties Union supports the Irvington plan. Irvington is a city of 53,000 that neighbors Newark and has been hard-hit by foreclosures. Officials said nearly 1,800 homes have been foreclosed upon since 2008. The city has an unemployment rate of 12.4 percent, according to the U.S. Bureau of Labor Statistics.

Irvington would be the second municipality in the United States to plan to use eminent domain to help underwater homeowners; Richmond, California was the first. Richmond announced plans to use eminent domain to help underwater homeowners earlier this year and a lawsuit challenging the practice was dismissed by a California district court judge in September of 2013. Richmond has not yet used eminent domain with respect to foreclosures.

Click here for SFIG’s previous issue spotlight regarding eminent domain and the seizure of mortgage loans.


On November 15, 2013, the International Swaps and Derivatives Association (ISDA) distributed draft definitions to members for its new legal documentation for the credit default swap (CDS) market, with the aim of introducing the new contract on March 20, 2014.

The prospect of an overhaul of the CDS documentation was raised by dealers as early as 2011, but only gained traction following a series of high profile credit events over the past few years. The Greek debt restructuring in March of 2012 caused the industry to take notice of the very real danger that CDS holders may not be adequately compensated for losses sustained on bond positions. The new bail-in legislation for financials exposed further flaws in the old contract, which struggles to deal with events such as the nationalization of SNS Reaal, the Dutch financial institution, earlier this year.

The new documentation looks to fix these issues by allowing assets other than bonds to be delivered into CDS auctions for sovereigns and financials, while also introducing a new credit event to tackle bail-ins. Other amendments include allowing Solvency II-style debt to be delivered into auctions, introducing the concept of standard reference obligations and making changes to succession events to avoid previous controversies in this area.


On November 14, 2013, the Senate Banking Committee (SBC) held a hearing on the nomination of Janet Yellen (Yellen Nomination Hearing) as Chair of the Board of Governors of the Federal Reserve (Federal Reserve). The November 14 hearing did not include a vote. President Obama nominated Ms. Yellen in October of 2013 to fill the post that current Federal Reserve Chairman Ben Bernanke will vacate on January 31, 2014.

The SBC has scheduled a November 21 vote on the nomination of Ms. Yellen. If the banking panel approves Ms. Yellen, the full Senate would vote on her confirmation. Several Republicans threaten to place holds on her nomination, meaning she would require at least 60 votes to overcome the chamber's procedural hurdles. If she is confirmed by the full Senate, Ms. Yellen would become the first woman to lead the U.S. central bank.

Click here to view the Yellen Nomination Hearing.


On November 14, 2013, the Commodity Futures Trading Commission (CFTC), released guidance (November Guidance) that undermines a legal interpretation that banks relied on related to footnote 513 of the CFTC’s “Interpretive Guidance and Policy Statement Regarding Compliance with Certain Swap Regulations” dated July 26, 2013 (July Guidance). The Banks relied on footnote 513 of the July Guidance to keep swap deals off electronic platforms and away from the CFTC’s rules.

The November Guidance does not directly mention the footnote, but it states that if traders are based in the U.S. and arrange, negotiate or execute a deal -- even on behalf of an overseas affiliate -- they must comply with the CFTC regulations. The issue of footnote 513 arose in October of 2013 after Bloomberg News reported that several banks asked their swaps brokers to set up trades in the U.S. while booking them in affiliates overseas.

Click here for the November Guidance. Click here for the July Guidance.


The Board of Governors of the Federal Reserve (Federal Reserve) is considering a delay in the compliance date for the Volcker Rule, giving banks additional time to conform with its provisions. Banks are currently required to comply with the Volcker Rule by July of 2014.

The final rule is expected to be released in December of 2013. The Federal Reserve has the option of delaying the compliance date in one-year increments. Treasury secretary Jack Lew has pressured regulators to implement the rule by the end of this year.

Click here for last week’s Issue Spotlight regarding the Volcker Rule.


On November 12, 2013, President Obama announced that he intends to nominate Timothy Massad as the next Chairman of the Commodity Futures Trading Commission (CFTC). Mr. Massad, a Treasury Department official and former law firm partner, led the regulatory office that implemented the Troubled Assets Relief Program (TARP). Should he be confirmed by the Senate, Mr. Massad would replace current CFTC Chairman, Gary Gensler.

Confirmation hearings to consider Mr. Massad’s nomination will likely commence in the beginning of 2014, despite President Obama urging for an expedited approval. Additionally, CFTC Commissioner Bart Chilton recently confirmed that he would be stepping down from the agency “in the near future.” According to Bloomberg News, Sharon Bowen, the Acting Chair of the Board of Directors of the Securities Investor Protection Corporation (SIPC), is being considered as a possible replacement.

Once Chairman Gensler’s and Commissioner Chilton’s respective resignations are effective, the CFTC could have just two Commissioners (one Democrat and one Republican) remaining at the beginning of 2014.


On November 12, 2013, the Federal Reserve Bank of New York released a report (Federal Reserve Report) entitled "The Rising Gap between Primary and Secondary Mortgage Rates.” The Federal Reserve Report discusses the potential causes for the gap between primary and secondary mortgage rates that has widened from 2008 to 2012. The primary-secondary spread is the difference between mortgage rates for borrowers and yields on newly issued agency mortgage backed securities (MBS). The Federal Reserve Report lists multiple factors that contributed to a widening primary-secondary mortgage spread, including a rise in mortgage originators’ profits. The authors suggest that the rise in profitability was mainly driven by capacity constraints in the mortgage origination business, although pricing power exerted on borrowers looking to refinance likely also contributed to increased profits.

The authors further analyzed possible sources behind the increase in profitability. They concluded that capacity constraints likely played a significant role in enabling originator profits, especially during the early stages of refinancing waves. The authors concluded that pricing power owing to switching costs of borrowers looking to refinance could have been another factor sustaining originator profits.

Click here for the Federal Reserve Report.


On November 12, 2013, the Senate Banking Committee (SBC) conducted a hearing on the Consumer Financial Protection Bureau’s (CFPB) Semi-Annual Report to Congress (CFPB Hearing). CFPB director Richard Cordray was the sole witness at the hearing. This hearing marked Director Cordray’s first appearance before the SBC since his July confirmation as CFPB director.

The hearing focused on several key issues. Primarily, Director Cordray was questioned on the CFPB’s data collection activities. SBC members raised privacy concerns and Director Cordray defended the CFPB’s activities as necessary to fulfill the CFPB’s market monitoring and Congressional reporting obligations.

Other issues regarding certain CFPB rules were also discussed. Director Cordray stated that the CFPB will not be expecting compliance “perfection” when the CFPB’s new mortgage rules become effective in January of 2014. He indicated that “in the early months,” the CFPB will instead be looking for “good faith efforts” by companies to come into compliance. Director Cordray also indicated that the CFPB plans to issue proposed regulations on prepaid cards in the near future, and issue proposed changes, in conjunction with other federal agencies, to Military Loan Act regulations in the near future. Director Cordray concluded by noting that the CFPB is understaffed at only 80% of their target staffing levels.

Click here to view the CFPB Hearing.


On November 8, 2013, the U.S. Department of Housing and Urban Development (HUD) and the U.S. Department of the Treasury released the October edition of the Obama Administration's Housing Scorecard (October Housing Scorecard). This report—through a comprehensive analysis of home prices, purchases of new homes and sales of existing homes—concludes that the nation’s housing market is making important progress despite the overall economic recovery remaining fragile. HUD officials note that homeowners’ equity is at its highest level since 2007 and home prices are increasing steadily, perhaps indicating that the time is ripe for private capital to begin taking a larger role in the housing finance system.

The October Housing Scorecard also features key data on the impact of the Administration’s foreclosure prevention programs, specifically the Home Affordable Modification Program (HAMP). As of September, more than 1.2 million homeowners have received a permanent modification through HAMP, saving on average approximately $547 on their mortgage payments each month -- an almost 40% savings from their previous payment. This represents a total estimated savings of $22.9 billion in monthly mortgage payments since the inception of the program.

Click here for the October Housing Scorecard.


On November 8, 2013, the Committee on Payment and Settlement Systems (CPSS) and the Board of the International Organization of Securities Commissions (IOSCO) published the public responses to the consultative report on "Recovery of Financial Market Infrastructures" (Recovery Report). The Recovery Report, published in August of 2013, provides guidance to financial market infrastructures (FMIs) on how to develop plans to recover from financial threats that might prevent them from continuing to provide critical services to their participants and the markets they serve.

The Recovery Report sets forth an overview of some of the tools that FMIs may include in their recovery plans, including a discussion of scenarios that may trigger the use of recovery tools and a framework for evaluating recovery tools in the context of such scenarios. The Recovery Report requested FMI feedback on a number of topics that it addressed, including but not limited to: (i) guidance related to recovery plans, (ii) recovery planning and (iii) the relevant recovery tools to be used. Multiple FMIs, including the European Banking Federation, the Japanese Bankers Association and the London Stock Exchange Group, have responded with comments.

Click here for the published comments to the Recovery Report. Click here for the Recovery Report.


On November 7, 2013, the Bank for International Settlements (BIS) released its latest quarterly statistics on over-the-counter (OTC) derivatives markets for the second quarter of fiscal year 2013. The data shows that notional amounts outstanding totaled $693 trillion in the OTC market at end of June 2013. Interest rate contracts alone comprise the bulk of the global OTC derivatives market, with notional amounts totaling $577 trillion.

The total notional amount outstanding in the OTC market represents a substantial increase from the $633 trillion outstanding at the end of fiscal year 2012. This increase was driven in part by a further shift towards clearing through central counterparties (CCPs). When contracts are cleared through CCPs, notional amounts reported for the BIS surveys increase because one contract becomes two. Comparatively, the gross market value of OTC derivatives – that is, the cost of replacing all outstanding contracts at current market prices – declined between the end of fiscal year 2012 and the end of June 2013, from $25 trillion to $20 trillion.

Click here for the BIS report.



ABS Vegas 2014 – January 21-24, Las Vegas, Nevada.

Momentum is continuing to build. The preliminary agenda has been released and the speaker nomination process continues. SFIG is now accepting sponsorship contracts for this conference. If you are interested, please contact SFIG.

Click here for the preliminary agenda, the speaker nomination form and more information about the conference.



SFIG has a number of Committees and Task Forces meeting and working on many topics of interest to the securitization industry. Please visit our website for more information, including how to join.


SFIG is pleased to share this edition of its newsletter with our members, as well as our supporters in the structured finance community. To ensure that you receive future editions of the newsletter, please visit our website ( to learn about membership opportunities.


Contact Information

For all matters, please contact Richard Johns.

For Investor related matters, please contact Kristi Leo.

For ABS Policy related matters, please contact Sairah Burki.

For MBS Policy related matters, please contact Sonny Abbasi.


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