How FCM’s survived Brexit
aka “Is being an FCM viable?” I was curious to see how FCM’s performed on Friday June 24th. How much cash did they have to throw at the business to sustain the market volatility on behalf of their clients? Thankfully, I recalled coming across some FCM disclosure documents that listed out various gory details. Sure enough, […]
BREXIT – Day Four, What is Trading?
All seems calm in the markets overnight. We’ll continue to update this blog throughout the day with observations on volumes and prices as activity picks up. Just hit F5 to refresh. End of Day GBP Wrap-Up Better late than never….we’ll close this blog with a review of what traded in GBP on the 29th June. […]
BREXIT – The Impact on Swap Margin
Given the large moves in Swap rates that we highlighted in our BREXIT Day One and Day Two blogs, I thought it would be interesting to look at the impact on Swap margins. Cleared IRS 10Y Lets start by using CHARM to calculate the IM of 10Y par vanilla swaps in EUR, GBP and USD. Showing that on 23 […]
BREXIT – Day Three, What is Trading?
This blog will be updated throughout the day, so please remember to refresh the page (just hit F5). Following on from our BREXIT -What is Trading after the Result? Day One, and Day Two blogs, we will again be keeping a close eye on trade prices and volumes reported to US SDRs. 18:17 LON – […]
BREXIT – Day Two, What is Trading?
This blog will be updated throughout the day, so please remember to refresh the page (just hit F5). Following on from our BREXIT -What is Trading after the Result? Day One, which was last updated on Friday 24 June at 21:15pm after NY close, we will again be keeping a close eye on trade prices […]
BREXIT – What is Trading after the result? Day One
This blog was updated frequently throughout the day. Now that the UK trading day is done and dusted (21:06), we’ll call it a day. The final GBP swap volumes should include all of the DMO-close related trades that have gone through the SDRs, and we’ve finished with a USD update just after 4pm New York time. Thanks for following today. See […]
Risk Participation Agreements: What Are They?
We were recently asked to find evidence of Risk Participation Agreements (RPA) in the public swap data. If you are like me, your first question is “what is a risk participation agreement?” Having now done a bit of research on the topic, I thought it worthwhile to share my findings. And also answer the question […]
FRTB – Internal Models or Standardised Approach?
Following on from my article on Fundamental Review of the Trading Book – What You Need to Know, I wanted to look at the pros and cons of the Internal Models Approach over the Standardised Approach. Background In January 2016, the Basel Committee on Banking Supervision (BCBS) published its Standards for Minimum Capital Requirements for Market Risk; also known […]
Brexit: FX Option and FRA Analysis
With the referendum just around the corner, it would be amiss if we did not update our analysis of EUR/GBP and GBP/USD FX Options ahead of the vote. We also take a look at GBP FRA activity, particularly the FRA switch over the 24th June. EUR/GBP and GBP/USD activity From SDRView Res, we can compare activity since […]
Swap Futures: 2016 Progress
I’ve been optimistic about swap futures for a few years now. But every time I go look for evidence, I walk away thinking “maybe next year”. We’ve written about swap futures a few times before. The quick bullet point list of why one would be optimistic on these products: They replicate Vanilla OTC swaps nicely They […]