Settle To Market – What You Need To Know about STM

Settle to Market is a recent innovation in derivatives trading. It has helped banks reduce regulatory capital and derivatives exposures. We look at STM in detail and compare it to collateralisation. The CFTC have also issued guidance on the subject. What You Need To Know Settle to Market (STM) treats Variation Margin at CCPs as […]

Swaps Data: Anatomy of a Wild Week in USD Swaps

My monthly Swaps Review in Risk Magazine looks at the recent market volatility resulting from Italian political events, which caused investors to move out of euros and into dollars and treasuries: 29th May, saw large falls in USD Swap Rates Swap volumes three times higher in major tenors How prices moved during the day Recovery […]

CCP Margin Calculation

Margin Calculations directly from Excel Are you using LCH SMART, CME CORE or ASX Online? Would you prefer to use Excel? For IM & VM Calcs, What-ifs, Optimize and more 14-day trials are available to members and clients Background CCPs provide software tools for their members and clients to estimate initial margin requirements. Generally these […]

FICC Markets Standards

Regulations can only take us so far in improving our markets. Industry Standards to cope with conflicts of interest are therefore being created by the FMSB and backed by all large market players. Swap-pricing tied to the issuance of new bonds is a complex area that the FMSB is creating Standards for. We take a […]

MIFID II Data – It’s Finally Good News!

The availability of MIFID II data has been one of our hot topics in 2018. We’ve aired our frustrations previously. Happily, MIFID II data is about to become truly accessible to all. Find out how and why below. Questions and Answers ESMA have just released an updated “Questions and Answers On MiFID II and MiFIR […]

Current Exposure Methodology – What You Need To Know

The Current Exposure Methodology is a key part of Leverage Ratio calculations. It dates back to the late 1980s and the first Basel accords on banking capital. CEM calculates the Potential Future Exposure of a derivative trade using a look-up table based on Asset Class and Maturity. CEM is a very simple, notional-based measure of […]

Identifiers, Identifiers, Everywhere

Anyone working in Capital Markets technology cannot have failed to notice the increase in global identifiers; they now seem to be everywhere for all manner of use cases, some mandatory others best practice. Often a new identifier is held up as a solution to an existing data problem and is promulgated by regulators as a […]

NDF Volume Data

The challenges in Emerging Markets recently, as well as finding different data sources for NDFs, prompted me to refresh our data on FX markets. Is Clearing still accelerating for NDFs? It looks that way. Clearing accounted for 16% of the total market, even before the recent 30% growth in Cleared volumes. 2018 Q1 and March […]

CCP Basis and Volume in Major Currencies

Almost a year has passed since we last looked in detail at CCP Basis, which just goes to show how normal and accepted this has become in the market. Since the shock emergence of the CME-LCH Basis Spread in June 2014, we have seen regular trading of CME-LCH Switch trades to manage the CCP Basis […]

SOFR – What you need to know

Major markets across our industry are looking to transition (some) liquidity away from Libor-based products and towards Risk Free Rates. We’ve variously looked at Libor Reform, Euribor, SONIA and SARON but so far have not done a deep dive into new RFRs in the US. SOFR – What is it? As we reported in our […]