Amir and I have taken the bold decision to dip our toes into podcasts. For the foreseeable future, we will be giving you a verbal update on the blogs (and what doesn’t make the blogs) once a week. It gives us a chance to quiz each other (in the nicest possible way) about what we […]
I published an article on the ION Markets Blog, please read at Central Clearing of US Treasuries. It highlights a recent DTCC White Paper on Assessing a Potential Expansion of U.S. Treasury Central Clearing, which includes findings from a survey.
Version 2.6 ISDA has published ISDA SIMM v2.6 with a full re-calibration of risk weights, correlations and thresholds. The calibration period is a 1-year stress period (Sep-08 to Jun-09, the Great Financial Crisis) and the 3-year recent period ending Dec 2022 (or possibly later, but at time of writing I cannot find this specified, so am going […]
The ISDA-Clarus RFR Adoption Indicator for August 2023 has now been published. Showing; Highlights Can the narrative cloud the facts? I feel like that is the case with RFR Trading. Look at headline adoption of RFRs in 2023: Plus; This is against a backdrop on the Clarus blog, whereby we have noted: The August 2023 ISDA-Clarus […]
It all started with a blog titled “Moving Euro Clearing out of the UK: the $77bn problem?“. Now, ISDA and other trade associations have published a statement on the “active account” requirement for Europeans: Which says; In case any of this is new to our readers, Brexit has resulted in a (political) desire in Europe […]
I last looked at the most active trading names in CDS and TRS in May 2023, so today I will look at August 2023 data from US SEC Securities Based Data Repositorys (SBSDRs). CDS on Sovereigns Using SBSDRView, we can find the most active sovereigns for CDS trades in August 2023. The above list was a […]
Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Background Under the CPMI-IOSCO Public Quantitative Disclosures, CCPs publish over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing and more. CCPView has over 7 years of these quarterly disclosures for 44 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep […]