Infrastructure as a Service – the Bedrock of Cloud
In this blog I will explain the origins and key features of Infrastructure as a Service (IaaS), the core foundations of what we think of as Cloud. Cloud computing is an evolutionary consequence of a sequence of technology innovations, stretching from human based computing, across generations of hardware and networking, to the advent of virtualisation […]
Portfolio Conversion of Libor to RFR trades
The closer we get to year end 2021, the more important the question of what will happen to existing LIBOR Swaps when and if LIBOR is no longer published or declared a non-compliant benchmark by the regulator. One approach is ISDA’s work on new Fallback language in the 2006 Definitions (see Libor Fallbacks: What will […]
Potential Mechanics of Cross Currency Swaps and RFRs
As references to Libor declines ahead of 2021 and the use of Risk Free Rates (RFRs) increases, derivatives will have to adapt. So in this blog I will look at the cross-currency swaps and the choices needed to move to RFRs. Cross currency swaps can behave quite differently to single currency swaps and I will […]
Swaps Data: IM grows in Listed and OTC markets
My monthly Swaps Review looks at the recently published CPMI-IOSCO Quantitative Disclosures by CCPs and highlights: Initial Margin YoY trends for IRS, CDS & ETD Clearing Houses Maximum total VM received on a single-day Estimated Peak Stress Loss on Default Actual largest Credit exposure Please click here for free access to the full article on […]
USD SOFR Volumes April 2019
Is USD SOFR trading becoming a real thing now? We use CCPView, SDRView and Clarus Microservices to measure activity levels. We find a record amount of risk traded in April 2019 versus SOFR. We also see Compression activity of back-dated trades in SOFR. Read on to find out more details. SOFR Volumes April 2019 You […]
SOFR Impacts From Liquidity Spikes
The Clarus website has a very interesting free service under the LOGIN tab called ‘Term RFRs’. This shows the compounded RFRs for the fixing date (yesterday) looking back overnight, 1, 2, 3 and 6 months for SOFR (USD), SONIA (GBP), TONA (JPY) and AONIA (AUD). This blog will look at the compounded SOFR rates for […]
Indices are the best way to calculate compound interest
To avoid complications with compound interest calculations, administrators of RFRs could publish a single Index each day. The equivalent term rate for any period could then be calculated by looking up the index level from the start date and the end date of each period. Interim rates do not need to be known. This allows […]
ISDA Margin Survey 2018
Uncleared Margin Rules (UMR) for IM have now been in place for two and a half years The ISDA Margin Survey Year-End 2018 provides a good overview of the regulatory IM received $83.8 billion at Dec 31, 2018, up from $73.7 billion at Dec 29, 2017, an increase of 14% Timeline for Margin Rules The following diagram from the […]
Ameribor: The $1.5bn Index That You Need to Know About
Ameribor is an index of overnight unsecured lending taking place across the CBOE platform AFX. It is mainly concerned with the interbank market between smaller, regional US banks. We take a look at the rate versus Fed Funds and some possible uses. Introducing Ameribor I will try to do Ameribor justice in this post. But […]
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 […]