Euribor Reform – What Is Going On?

European Money Markets Institute (EMMI) announced on Thursday 5th May that they will reconsider their plans to move Euribor to an entirely transaction-based fixing. It was previously expected that the current quotation-based system would change sometime this year to a transaction-based fixing. The EMMI now plans to look into creating a hybrid quotation/transaction fixing as […]

How Big Is The Asset Swap Market?

We identify Asset Swaps trading in USD and EUR in the SDR data. Different types of Asset Swap package are active across different markets. Understanding these differences allows us to examine the data accurately. In the US, about 15% by risk of Libor-based swaps are linked to Asset Swaps. In Europe, over 90% of non-standard Euribor-based swaps are […]

Swaps Data: ETD vs OTC, USD IRS, OIS and NDF

Highlights of this months Swaps Data Review article include: Initial Margin at LCH, CME, ICE, Eurex (as of Dec 31, 2016) ETD IM of $191 billion and OTC IM of $171 billion With ETD and OTC splits for each of the four CCPs LCH SwapClear Client IM for the first time just exceeded House IM SwapClear […]

Microservices for absolute beginners

After a career in Capital Markets enterprise software, I recently joined Clarus and other than their great blogs, my reason for joining is that I buy into the vision of cloud based technology as the future for our domain. Micro-services delivering sophisticated analytical computation, easily consumed into a firms existing infrastructure, applications and Excel, will be […]

マイクロ・サービス: FRTB モデリング・リスク・ファクターズ

FRTB規制は、ノン・モデラブルなリスク・ファクターは、キャピタルチャージにおいて、ストレス時のアドオンを賦課することを明示している
リスク・ファクターをモデラブルとするためには、持続的に利用可能であるリアル・プライスであるかどうかのテストにパスしなければならない