SA-CCR for US Banks
The US is introducing SA-CCR to calculate derivatives exposures in 2020. We look at the consultation. We compare add-ons under SA-CCR and the old CEM methodologies. Clarus offer FREE TRIALS of SA-CCR for Excel. SA-CCR Consultation The Federal Reserve, OCC and FDIC have launched a joint consultation on SA-CCR, the Standardised Approach to Counterparty Credit […]
15 Million ISINs and Growing
I last looked into ISINs for Derivatives in my article on MiFID II – Why ISINs for OTC Derivatives are Bad for Transparency, so as we approach the end of year let’s check on what has been happening on this. ANNA-DSB The ANNA Derivatives Service Bureau (DSB) website now provides a lot of interesting information, […]
Oct 2018 Swaps Review in 15 Charts
Today I will look at Swaps volumes in the most recent 3 months using the format of my Nov 2017 Swaps Review article. SDR USD IRS price-forming volumes are up 10% USD IRS On SEF Compression volumes are up 50% USD OIS volumes are up 35% EUR, GBP, JPY IRS On SEF Compression volumes at record highs SEF D2C SEF volume growing 42% […]
SOFR Swaps – Block Trades and Fannie Mae Issuance
We have seen the first SOFR block trade in significant size. Fannie Mae have issued another $5bn of SOFR linked debt this month. SOFR Swaps Are Trading More Frequently Thanks to our SDR Alerts, I get an email every time SOFR or SOFR Basis trades. Over the month of October 2018, the frequency of these emails […]
CLARUS01 Risk Free Rates
CLARUS01 Are you currently using LIBOR01? What will you do if (when?) Libor is no longer published? We have a simple solution – use CLARUS01 instead. Find it at rfr.clarusft.com. What is CLARUS01? Libor. Risk Free Rates. Benchmark reform. We believe that Interest Rate trading is about to fundamentally change. Clarus want to help during […]
CCP Disclosures 2Q 2018 – What the Data Shows
Clearing Houses 2Q 2018 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my 3Q 2017 trends article. 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 and more are published each quarter with a quarterly lag. CCPView has […]
Scandie Swaps
We take a look at Scandie swaps through the lens of our data products. SEK are the most traded currency, seeing an average daily volume of $19bn, and a monthly total of $290bn. SEK is the 7th largest cleared currency in IRS trading. The US persons market accounts for around 20% of volumes. There is […]
Swaps Data: Sonia growth spreads down the curve
My monthly Swaps Review in Risk Magazine looks at how: volumes of GBP SONIA Swaps are growing compared to LIBOR Swaps, the maturity profiles that trade for these two products, EONIA and EURIBOR volumes and maturity profiles. Please click here for free access to the full article on Risk.net.
Derivatives, the Cloud and the source of truth
As a cloud service provider, we are frequently evaluated by a customer’s IT Security who conduct risk assessments on our Software-as-a-Service’s architecture, security and processes. These assessments are detailed and thorough. Clarus is not the only innovative cloud vendor doing this, we are one of many. The cloud is happening, and it is happening now. […]
Global Swaps Volume and Market Share in Q3 2018
I last looked at the market share of cleared swaps in major currencies in my July article in Risk, which covered the period up to 2Q 2018. In today’s article I will bring that analysis up to date and follow the structure of my start of the year article, 2017 CCP Market Share Statistics. In CCPView we […]