ISDA SIMM – What changes in v2.6?

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 […]

RFR Trading Is Now Back on Track – August 2023

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 […]

What’s New in CCP Disclosures – 2Q23?

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 […]

JPY TONA Futures: A Rising Star in the RFR Market

*I hope our readers don’t mind, but I chose to accept a little help from Bard this week. With so much web traffic generated via Google searches, I thought it a worthwhile experiment. TIBOR Cessation No two markets are the same, and we see this in the adoption of RFR trading. Whilst JPY LIBOR is […]

What You Need to Know about BRL Swaps

But first… Before we plough into BRL swaps, did you know that the EUR Swaps market is now larger than USD? From CCPView: Showing; It doesn’t take a rocket scientist to work out what has caused this: I thought our readers would find that an interesting addition to their Summer reading. Back to the topic […]

RFR Adoption July 2023

RFR Adoption is Increasing Again The latest edition of the ISDA-Clarus RFR Adoption Indicator was published earlier this week. You can find the full report over on the ISDA website here. As always, we provide a look into the data: Showing; SOFR Trading Increases As long-time readers well know by now, USD markets (and hence […]