CCP Disclosures 4Q 2016 – Trends in the Data
Central Counterparties recently published their latest CPMI-IOSCO Quantitative Disclosures and in this article I will highlight a few of the key trends, similar to my article on 3Q 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 […]
KRW and INR Swap Clearing
The CME have announced they are planning to clear Korean Won (KRW) and Indian Rupee (INR) interest rate swaps in the near future. I wanted to have a look at what these markets look like. So first things first, I grabbed all trades for non-G4 swaps on the US SDRs, year-to-date. Did this for both […]