FRTB – Revisions to market risk capital requirements
The BCBS published a Consultative document in March 2018 with the title ‘Revisions to the minimum capital requirements for market risk” and in this article I look at the details. Background In January 2016, the BCBS published the standard Minimum capital requirements for market risk ( “January 2016 standard”), designed to address a number of structural shortcomings in […]
MIFID II Data – APA Market Share
MIFID II transparency is still falling well short of what the market needs. We can only estimate APA market share using a highly manual process. Our team have gathered data from the 5 largest APAs. We look at market shares across Sovereign Bonds. Same old gripes As we all know, MIFID II transparency is still […]
SONIA Market March 2018
The new SONIA benchmark becomes effective 23rd April 2018. The average maturity of a SONIA swap has doubled in 2018. Is this increase in duration evidence of a behavioural change in markets? SONIA Reform Regular readers will know that SONIA has been subject to a Consultation by the Bank of England, with the intention of […]
Libor OIS – What is Going On?
Libor OIS spreads have been widening. Trading volumes across these products have also shown a spike in activity. We look at price-volume charts and DV01 figures for OIS swaps. We also update our CHF SARON OIS volumes, where a total of CHF37.5bn has now traded versus this new index. Libor OIS Spreads Last week, it […]
NDF Clearing February 2018
We update our NDF Clearing Analysis. A minimum of 17% of the market is now cleared. Clearing volume can account for up to 30% of volumes in some currency pairs. Uncleared Margin Rules continue to motivate clearing. All Time Record Volumes Cleared NDF volumes continue to grow at an impressive rate. Since we last looked […]
Swaps Data: Clearing’s $750 billion funding requirement
My monthly Swaps Review in Risk Magazine looks at the most recent CPMI-IOSCO CCP Quantitative Disclosures for the majority of CCPs to show that: Initial Margin required is > $500 billion The breakdown by CCP of this figure How IM is held, Gov Bonds, Cash, Other Variation Margin, daily average > $10 billion Default Resources […]
Overview of the Hong Kong Trade Repository
Hong Kong started interim trade reporting in August 2013, with Legislative vetted rules implemented on 10 July 2015. Unlike other jurisdictions in Asia, HKMA built the trade reporting solution themselves. The Hong Kong Trade Repository (HKTR) was built by their subsidiary Hong Kong Interbank Clearing Limited (HKICL). HKICL also built/manages Hong Kong’s payment infrastructure on […]
MIFID II Data – Bond Trading
We analyse sovereign bond trading volumes from Bloomberg and Tradeweb APAs and MTFs. Tradeweb APA sees the largest volume of trades. MTF market shares are roughly 50/50 between these two D2C platforms. 67% of German Bund volumes were executed on-venue. Only 18% of French OAT volumes were executed on-venue. Bond Trading by Venue Armed with […]