Initial Margin Attribution

Initial margin is an important portolio measure Attributing it to constituent business units is not simple Diversification benefit between units is a key concept The choice of methodologies can align or mis-align incentives An example explains what you should know Initial Margin and Diversification Benefit IM is a portfolio risk measure and one that is […]

Libor Reform – What You Need to Know

Libors and Risk Free Rates are going through a period of change. Regulators and industry working groups are identifying their preferred Risk Free Rates in preparation for a post-Libor world. Over the next 4 years, derivatives market liquidity will transition into products referencing Risk Free Rates instead of Libors. This will impact new trades and […]

Introducing Our Daily Briefing, Direct to your inbox

Introducing the new Clarus Daily Briefing. Curated market information direct to your inbox. Swap rates, volumes and Central Bank rate expectations every day. Make sense of daily trading activity in less than 2 minutes. We offer a free two-week trial before your paid subscription starts. Daily Market Commentary We always aim to improve the general […]

Margin for Non-Cleared Derivatives

Uncleared Margin Rules (UMR) for IM have now been in force for one year The ISDA Margin Survey 2017 provides a snapshot of IM delivered and received $47.2 billion and $46.6 billion respectively, between Phase One firms (March 31, 2017) I look at how the figures compare to an $800 billion estimate from 2012 What […]

CME Halts CDS – Where’s The CDS Business?

Last week, CME announced it would end it’s clearing offering for Credit Default Swaps, and instead focus it’s effort on other innovations in clearing services for Interest Rate and FX, including: FX Options launched by 2017 year end Interest Rate swaps for 3 more currencies – CNY, CLP, and COP by early 2018 Further capital […]

ISDA SIMM 2.0 – What You Need to Know

ISDA SIMM version 2.0 is coming in December 2017. Re-calibration and new risk factors will mean Initial Margin changes for all portfolios. SIMM for Excel gives you the tools to understand and model these changes. Quickly compare before/after SIMM levels in Excel. Drill-down into Counterparty and Risk Factor levels. Perform your own analysis and optimisation […]

MiFID II: Why Research is in the News

There have been many recent articles on Banks having to charge for Research as required under MiFiD II, see here, here and here, so I thought I would look into the detail. Inducements The relevant text in the EU Commission Delegated Directive is in Chapter IV: Inducements, the title providing a clue to the intent. This Chapter […]

Free Trials, Analytics, Data and More

We now offer self-registered free trials for a number of new products. This is something we have always done for our Data products. A pre-requisite is that a product has to be so well designed that a user can access and starting using, without having to read a user guide and he/she can use with […]

FX NDF Package Transactions

Today, I looked at packages of FX NDF trades on the SDR, expecting to be able to find some basic packages, or even just logical groupings of trades such as: FX NDF Swaps.  These would have a near & far leg, and the price differs by some forward points. Par Forwards.  These are a structure […]

VM Big Bang – Impact on FX Markets

The six month reprieve from UMRs expired 1st September. We look at trading in uncleared markets in the past six months to see if anything changed. The number of uncleared IRS trades has shrunk by 50% as the regulations took hold. Products with no cleared alternatives continue to trade bilaterally. Volumes have continued to be […]