Swaps Data Review: Basis Swaps Galore
My Monthly Swaps Data Review for Risk Magazine was published last week. This looks at some of the less well traded IRD products: In USD, EUR, GBP, JPY, AUD, CAD Basis Swaps USD FedFunds and Libor 1m v3m Cross Currency Inflation Swaps Caps and Floors Exotics Please click here for free access to the full […]
非クリアリング・デリバティブ取引のマージン
非クリアリングについての当初証拠金（IM）に係るルール（UMR）がスタートして1年経過した。
ISDAマージン・サーベイ2017は、IMについて差入れ・差出し額のスナップショットを公表している。
上記は2017年3月31日時点で、いわゆるフェーズ１対象金融機関の間でのやりとりで、それぞれ、472億米ドル（ドル）、466億ドルとなっている。
Summary Of Treasury’s Capital Markets Report to Trump
Shortly after Trump became president, true to his campaign promises to “roll back regulation”, he issued an executive order for a review of the American Financial system, with some core principles around making regulation smarter and fostering growth, among others. The US Treasury is responding to this order by providing 4 reports covering Banking, Capital […]
CCP Disclosures 2Q 2017 – What the Data Shows
Central Counterparties recently published their latest CPMI-IOSCO Quantitative Disclosures and in this article I will highlight what the data shows, similar to my article on 1Q 2017 trends. Background Under the voluntary CPMI-IOSCO Public Quantitative Disclosures by CCPs, over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk and more […]
MIFID II – ESMA Finalises the Trading Obligation
ESMA have published the final report for the Trading Obligation. Interest Rate Swaps in EUR, GBP and USD will have to be traded on venue from 2018. There has been convergence with the swaps that are currently MAT in the US, potentially simplifying the global regulatory regime. 8y and 9y EUR swaps versus EURIBOR 6m […]
MiFID II Bond Transparency Calculations
As Jan 3, 2018 is now just three months away, I wanted to update my February 2016 article MiFID II and Transparency for Bonds, in particular as ESMA have now published Transparency Calculations and compare these to transparency in the US Corporate Bond market with FINRA TRACE. Background Post-trade transparency and pre-trade transparency for Bonds is meant […]
Has Swaptions Clearing Begun?
We’ve written quite a bit about swaptions clearing in our blog. I was surprised to see that the first article was over 4 years old – back when the industry (and Gensler!) began talking about it: July 2013 – Swaptions Clearing – Why Is It Important November 2013 – Swaptions Clearing – A More Detailed […]
AUD Swap Markets in August 2017
Time to re-acquaint ourselves with the world’s 4th/5th largest cleared swap market – the mighty Aussie dollar. August is traditionally a quiet month, so does quality come to the fore when execution is more difficult in thin markets? About 30% of new risk is transacted on a SEF. We take a look at the volumes. […]
Initial Margin Attribution
Initial margin is an important portolio measure Attributing it to constituent business units is not simple Diversification benefit between units is a key concept The choice of methodologies can align or mis-align incentives An example explains what you should know Initial Margin and Diversification Benefit IM is a portfolio risk measure and one that is […]
Libor Reform – What You Need to Know
Libors and Risk Free Rates are going through a period of change. Regulators and industry working groups are identifying their preferred Risk Free Rates in preparation for a post-Libor world. Over the next 4 years, derivatives market liquidity will transition into products referencing Risk Free Rates instead of Libors. This will impact new trades and […]