Margin Requirements for Non-cleared Derivatives
A new study funded by ISDA on Margin Requirements for Non-cleared Derivatives authored by Professor Rama Cont of Imperial College London, was the topic of much comment and debate at the ISDA AGM. It was also covered extensively in the press, see CFTC, Treasury officials boost ISDA push for IM revamp and ISDA faces member backlash […]
Benchmark Reform – An EONIA replacement is coming very soon!
Europe is deciding upon the Risk Free Rate to use in the future. There are three candidate rates – two are secured, and one is unsecured. We look at the details of the fixings and the volume data. There is an on-going public consultation which we would encourage our readers to respond to. Background Back […]
You Like the Clarus Blog, But what do we Sell?
Travelling around Asian financial centres, I frequently meet people that read the Clarus Blog and I often get asked “You have great blog articles and free research but what do you sell?”. In my article today, I will answer this question. First, Some Info Our weekly newsletter gets published, rain or shine, every Wednesday at […]
FRTB in Excel
FRTB Calculations directly from Excel. What-If analysis of new trades via quick trade entry. We use the CRIF format to make entry of trade portfolios simple. FREE 14-day trials available here. Background FRTB in Excel from Clarus calculates the capital requirements for your portfolio in Excel. We also check whether risk factors are modellable. The […]
Settle To Market – What You Need To Know about STM
Settle to Market is a recent innovation in derivatives trading. It has helped banks reduce regulatory capital and derivatives exposures. We look at STM in detail and compare it to collateralisation. The CFTC have also issued guidance on the subject. What You Need To Know Settle to Market (STM) treats Variation Margin at CCPs as […]
Swaps Data: Anatomy of a Wild Week in USD Swaps
My monthly Swaps Review in Risk Magazine looks at the recent market volatility resulting from Italian political events, which caused investors to move out of euros and into dollars and treasuries: 29th May, saw large falls in USD Swap Rates Swap volumes three times higher in major tenors How prices moved during the day Recovery […]
CCP Margin Calculation
Margin Calculations directly from Excel Are you using LCH SMART, CME CORE or ASX Online? Would you prefer to use Excel? For IM & VM Calcs, What-ifs, Optimize and more 14-day trials are available to members and clients Background CCPs provide software tools for their members and clients to estimate initial margin requirements. Generally these […]
FICC Markets Standards
Regulations can only take us so far in improving our markets. Industry Standards to cope with conflicts of interest are therefore being created by the FMSB and backed by all large market players. Swap-pricing tied to the issuance of new bonds is a complex area that the FMSB is creating Standards for. We take a […]