RFRs – ISDA announce LIBOR fallback methodology
ISDA have announced a preliminary methodology for Libor fallbacks. This will be the RFR plus a historical spread. This announcement could have a pronounced impact on basis trading. Elsewhere, we have seen continued SOFR trading and the results of the BoE Term Sonia consultation. CLARUS01 already replicates this LIBOR fallback methodology. Risk Free Rates Everywhere […]
RFRs – OIS trades are getting longer!
OIS trading is seeing increasing activity in longer tenors in both USD and GBP. We look at tenor data out of LCH SwapClear to present the volumes in DV01 terms. We find that the amount of long-dated risk traded in 2018 is 2-3 times higher than in 2017. Our series on Risk Free Rates, looking […]
ISDA SIMM 2.1 – Are You Ready for Implementation?
ISDA SIMM 2.1 is effective December 1, 2018 Updated with a full re-calibration and industry backtesting Initial Margin will change for all counterparty portfolios Our Customers can check the impact leading up to the effective date And can be confident on implementing SIMM 2.1 on time If you are interested in joining them, we offer free […]
Swaps Data: Cleared vs Non-Cleared Margin
My monthly Swaps Review in Risk Magazine looks at: Initial margin for non-cleared OTC derivatives Initial margin for cleared OTC derivatives Growth rates in each of these Multilateral netting benefits Increasing Clearing Please click here for free access to the full article on Risk.net.
SA-CCR for US Banks
The US is introducing SA-CCR to calculate derivatives exposures in 2020. We look at the consultation. We compare add-ons under SA-CCR and the old CEM methodologies. Clarus offer FREE TRIALS of SA-CCR for Excel. SA-CCR Consultation The Federal Reserve, OCC and FDIC have launched a joint consultation on SA-CCR, the Standardised Approach to Counterparty Credit […]
15 Million ISINs and Growing
I last looked into ISINs for Derivatives in my article on MiFID II – Why ISINs for OTC Derivatives are Bad for Transparency, so as we approach the end of year let’s check on what has been happening on this. ANNA-DSB The ANNA Derivatives Service Bureau (DSB) website now provides a lot of interesting information, […]