Cross Currency Swaps – how much margin will they need?

We look at the Standardised Schedule of Initial Margin for non-centrally cleared derivatives Cross Currency Swaps are a large part of the uncleared market that we did not look at last week We therefore take a look at the July volumes to estimate Initial Margin requirements for cross currency swaps Margin Requirements for non-centrally cleared derivatives The […]

非清算商品にかかる証拠金、ISDA SIMMとFRTB SA





Bachelier Model: Fast Accurate Implied Volatility

“An industrial solution” – provides computation to near machine precision for option prices over an extremely large range! Fast and analytic in nature, employs rational polynomials to determine implied BpVol. Follows the Bachelier model; that is, dF = σdW. A new method for computing implied BP Vol (basis point volatility) analytically has come to light. It is described by […]

Uncleared Margin, ISDA SIMM and FRTB SA

As September 1, 2016 is the first date for the implementation of margin requirements for OTC Derivatives that are not cleared by a clearing house, I thought it would be interesting to re-visit this topic. Background My article Final US Rules on Margin for Non-Cleared Swaps, written in Oct 2015, summarises the US rules and compliance […]

30% of The Euro Swap Market Is Standardized ?

I was pulling some data recently out of SDRView and stumbled across some interesting metrics in EUR and GBP swaps.  It would seem there has been a proliferation of standardized swaps, traded amongst the US-named business and reported to SDRs. GET OUR BEARINGS To begin, let’s get our bearings and terminology straight.  To do so, […]

FCM Rankings – Q2 2016

It’s time to update our analysis of FCMs.  The data from our last report showed a few things: The number of FCM’s reaching a 14-year low Any growth in pledged collateral being in “Cleared Swaps” A concentration of margins within the top firms, including 96% of swaps being cleared by the top 10 firms. Let’s see what, if […]

Compression and SPS in MXN Swaps

The MXN IRS market saw over MXN 6trn compressed in July 2016 This compression activity was from the first TriOptima run in MXN at CME, resulting in a large notional reduction MXN markets also see significant volumes in Single Period Swaps – which are equivalent to FRAs in all but name For on-SEF Compression, all of the […]

Swap Clearing Activity in Asia

Last month, news broke that Shanghai Clearing House was to launch FX Options clearing on August 1.  The news inspired me to check for any data that might be out there.  Sadly, as of today, there doesn’t seem to be any hard data to back this up.  However I remained inspired enough to take a general […]