We describe how to calculate Margin Valuation Adjustments under ISDA SIMM™. This is a simple four step process starting with Risk Projection and IM calculation. And concluding with present valuing the margin costs. We then compare the MVA adjustments for both cleared and uncleared swaps. What is a Margin Valuation Adjustment (MVA)? As Amir stated back […]
Daily Variation Margin flows between Clearing Houses and Clearing Members and between Clearing Members and their Clients are sizeable e.g. we know from LCH SwapClear’s CPMI-IOSCO Disclosures that the highest VM paid on a single day by all members to the CCP was $16 billion! As Clearing Houses make intra-day margin calls, Clearing members generally maintain […]
相対取引に係る証拠金を減らすために、バックローディングと言う賢明な選択がある。そこで清算参加者がいかにクリアリングを要する取引のために必要となるキャピタルを削減できるかについて、8月に記事を書いた。
Capital Markets have been at the leading edge of adopting software technology to gain advantage and increase automation, but in the recent past have fallen behind the curve compared to the infrastructure, practices and technologies used by the Tech sector. Background I remember like it was yesterday (actually 1990 
) using Cobol on an IBM Mainframe while […]
Back in August I wrote an article about how large, self-clearing firms can reduce the amount of capital required to support their cleared business by wisely choosing to backload margin-reducing bilateral trades. While I wrote that about large banks, there is an analogous case for trading firms that do not self-clear. In fact, we’ve been […]
We look at the FX data within the BIS triennial survey And show the evolution of NDF clearing since the UMRs came into force in September 10% of the market is currently being cleared, up from just 2% in April A background to NDF Data This blog will tie together a couple of themes from my recent blogs covering BIS […]
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in September 2016. First the highlights: On SEF USD IRS Septmber 2016 volume was 5% higher than August Curve trade volume was down and Outright up from prior month SEF Compression activity was a healthy $200 billion in USD IRS USD OIS Volumes at >$2.4 trillion, again exceeded […]
We look at the BIS Triennial Survey to calculate what percentage of global derivative markets are currently being Cleared. We use CCPView to look at trends in this data. The CFTC have recently published their Clearing Mandate for Additional Currencies, with other jurisdictions announcing clearing mandates for next year. We therefore look at the timelines for things to change. As more […]
Central Counterparties published their new CPMI-IOSCO Quantitative Disclosures, so we now have four sets of disclosures covering a whole year. Lets look at trends in the data, similar to my article on 1Q 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 […]
Last week saw the launch of a new futures exchange – LSE’s CurveGlobal. We have pulled the data for the first week, and I thought it appropriate to explore this market. The general overview of CurveGlobal: 30% owned by LSE Group. Remaining 70% owned by CBOE, BofA, Barclays, Citi, Goldmans, JPM, SocGen, BNP STIR (3-month […]
