Central Counterparties recently published their latest CPMI-IOSCO Quantitative Disclosures and in this article I will highlight what the data shows, similar to my article on 4Q 2016 trends. Background Under the voluntary CPMI-IOSCO Public Quantitative Disclosures by CCPs, over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk and more […]

We replicate the transparency calculations published by ESMA, using SDR data on EUR Swaps. EUR swaps are the second largest IRS market, and yet do not benefit from real-time trade level reporting. Our data shows that most of the EUR IRS curve is “liquid”, with ADV >€50m. SDR data calibrates realistic pre-trade transparency thresholds at €50k […]

SIMM for Excel performs ISDA SIMM™ Initial Margin calculations from Excel. Free 14-day trials are available for all financial firms. Reconcile ISDA SIMM calculations. Perform pre-trade analysis of your bilateral trades quickly, simply, reliably. The functions calculate Initial Margin across a whole portfolio. Users can also create CRIF sensitivities from trade-level details. Functions That Won’t Kill Excel Our […]

Continuing with our monthly Swaps review series, let’s look at volumes in June 2017. Summary: SDR USD IRS price-forming volume > $2.1 trillion gross notional, similar to a year earlier SEF Compression activity in USD IRS > $300 billion, 51% higher than a year earlier On SEF IMM Roll volume > $60 billion USD OIS price-forming volume was > $2.7 trillion, again […]