NOK Rates – NIBOR and NOWA
I wrote about Scandie swaps in October 2018. In that blog I noted that OIS doesn’t really trade. This hasn’t changed in the interim period – SDRView shows just the occasional DKK OIS trade reported. We did, however, see some SEK OIS cleared at Nasdaq OMX in April via CCPView: Generally, it remains true to […]
ISDA SIMM FX Optimisation and NDFs
Since Uncleared Margin Rules started to bite in September 2016, traditional NDFs have shifted markedly to clearing in response to UMR (see NDF Volume Data). Deliverable currency NDFs have also experienced dramatic increases but with much smaller clearing percentages. Why the low clearing percentages? Answer: there’s a whole different purpose to these trades. I explain […]
Swaps Data: Cleared Volumes and CCP Market Share
My monthly Swaps Review in Risk Magazine looks at: Cleared Volumes and Market Share in Q1 2019, for: IR Swaps – USD, EUR & JPY Credit Default Swaps – USD & EUR FX Non=Deliverable Forwards Compared to both Q4 2018 and Q1 2018. Please click here for free access to the full article on Risk.net.