ISDA SIMM FX Optimisation: The Data and Alternatives

In my recent post on the same topic, I outlined how deliverable currency FX NDFs are being used to reduce SIMM FX delta, as opposed to a product traded in the usual sense.  In today’s article I show the data that underpins my view and consider if NDF delta compression will be a permanent feature […]

CPMI-IOSCO Quantitative Disclosures 4Q 2018

Clearing Houses 4Q 2018 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my CCP Disclosures 3Q 2018 article. Summary: IM for CDS Clearing shows the highest growth, up 27% YoY IM for IRS and ETD both with decent growth, 9% and 13% YoY Most clearing services with higher IM, a […]

MIFID II Transparency Update

Back in August 2017 I wrote that “MIFID II Transparency will leave us in the dark“. I didn’t realise at the time how right I would be. As I write this blog as of April 2019, I still feel like transparency is sadly lacking. Could things change in the future? Transitional Transparency Regular readers of […]

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 […]

FXOptions Cleared Volumes Up in Q1 2019

FX Options clearing volumes data show a marked jump in Q1 2019 – quadrupling cleared notional outstanding from the end of 2018, unlike IR Swaptions and CDX Swaptions, which show little traction.  In this article I will look into the detail of this jump in FX Option volumes. Options Clearing Overview To recap my prior […]

USD Swap Spreads Review Q1 2019

Swap Spreads, aka Spreadovers, have recently turned negative again in the US. They rebounded back into positive territory fairly quickly. This is against a background of all-time record volumes in USD swaps reported to US SDRs. Should Swap Spreads be at zero versus SOFR after LIBOR disappears? Negative Again In case you missed it, Swap […]

Libor Fallbacks – What will the AUD BBSW Spread be?

In his recent blog Chris looked at Libor Fallbacks and the GBP Spread, so I thought it would be interesting to look at the spread for AUD. As we know, the first amendments to the ISDA 2006 Definitions are expected in 3rd quarter of 2019 and include fallback changes for GBP, CHF, JPY and AUD. So it is timely to look at the potential spread implications for AUD BBSW, to add to the work done on the GBP Libor.

Incentives for Central Clearing and the Evolution of OTC Derivatives

We summarise the recent CCP12 report “Incentives for Central Clearing”. This report looks at the current state of play in Cleared FX, Interest Rates and Credit. It analyses particular niches in clearing, including Latam Rates and NDFs. It concludes that clearing has increased for Linear products, but Option markets remain uncleared. Further studies on legacy […]