Initial Margin, Compression Volumes and why the time to Optimise is now
CCP disclosures show that total Initial Margin held at CCPs is increasing, mainly driven by increasing IM held by clients. We see a steady increase in the number of client accounts at CCPs, which is likely a key driver of Client IM heading higher. Compression volumes from the SDRs have hit recent records, and triOptima […]
Cross Currency Swap Volumes
EUR/USD, GBP/USD and JPY/USD are the big three in Cross Currency Basis swaps. The maturity profiles of the three markets are very different to each other. We can confidently state that JPY/USD is a short-end market, EUR/USD a medium term one and GBP/USD long-end. ICAP are dominant in the SEF market, with BGC increasing market […]
Sep 2017 Swaps Review in 16 Charts
Continuing with our Swaps review series, let’s look at volumes in September 2017. Summary: SDR USD IRS volumes similar to prior months USD IRS SEF Compression and Rolls with much higher volumes USD OIS volume subdued and down to similar gross notional to IRS Our new Daily Briefing for USD Swaps is now available EUR IRS and OIS volume up from […]
Bitcoin Meets OTC Derivatives
I attended the FIA event last week in Chicago. Much of the same stuff. Bank capital, swaps regulation, clearing, MIFID. And the obligatory panel on bitcoin. Over the past couple years, Bitcoin panels in our industry have tended to start out with the moderator making clear “we’re not going to talk about bitcoin the currency, […]
Public Hearing RE: Examining the 2017 Agenda for the Commodity Futures Trading Commission
Congressman Collin Peterson cited our recent blog, “MIFID II transparency will leave us in the dark”, during a committee hearing in Washington. The session in the public hearing was recorded and is available below. The Clarus citation is around 24m02.
SA-CCR Calculator
SA-CCR for Excel calculates the Standardised Approach for Credit Risk Use it to reconcile your calculations Or assess the impact of moving to SA-CCR And perform pre-trade what-if analysis Free 14-day trials are available for all financial firms. Background In March 2014, the Basel Committee on Banking Supervision published bcbs279, the Standardised Approach for measuring Counterparty […]
Swaps Data Review: Basis Swaps Galore
My Monthly Swaps Data Review for Risk Magazine was published last week. This looks at some of the less well traded IRD products: In USD, EUR, GBP, JPY, AUD, CAD Basis Swaps USD FedFunds and Libor 1m v3m Cross Currency Inflation Swaps Caps and Floors Exotics Please click here for free access to the full […]
Trade Validation: A simple version of FpML rule IRD12
Trade representations in CSV or FpML often have issues with stubs. FpML validation rule IRD12 has simple alternative for a wide range of cases. A form of FpML IRD12 can be represented in XPath for a wide range of cases. During proof-of-concept trials we are often asked to load up a prospects portfolio; either a […]
非クリアリング・デリバティブ取引のマージン
非クリアリングについての当初証拠金（IM）に係るルール（UMR）がスタートして1年経過した。
ISDAマージン・サーベイ2017は、IMについて差入れ・差出し額のスナップショットを公表している。
上記は2017年3月31日時点で、いわゆるフェーズ１対象金融機関の間でのやりとりで、それぞれ、472億米ドル（ドル）、466億ドルとなっている。
Summary Of Treasury’s Capital Markets Report to Trump
Shortly after Trump became president, true to his campaign promises to “roll back regulation”, he issued an executive order for a review of the American Financial system, with some core principles around making regulation smarter and fostering growth, among others. The US Treasury is responding to this order by providing 4 reports covering Banking, Capital […]