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 […]

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 […]

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 […]

NDF Clearing February 2018

We update our NDF Clearing Analysis. A minimum of 17% of the market is now cleared. Clearing volume can account for up to 30% of volumes in some currency pairs. Uncleared Margin Rules continue to motivate clearing. All Time Record Volumes Cleared NDF volumes continue to grow at an impressive rate. Since we last looked […]

G10 FX NDF Clearing

CCPView data reveals that NDFs in deliverable major currency pairs are being cleared. Contracts in EURUSD, GBPUSD, AUDUSD, CHFUSD and USDJPY have been reported. LCH ForexClear have made these available to clear, alongside their more traditional EM currency NDFs. The LCH press release suggests these are being used to optimise bilateral ISDA SIMM margins. Clearing […]

FX Clearing – the $750bn market that keeps growing

LCH ForexClear continues to dominate the cleared NDF market. CME have recently announced that 7 market participants intend to clear NDFs across their service next year. We look at the CME’s existing volumes in FX futures. FX NDF Clearing Update When we last looked at NDF Clearing in June 2017, we saw that LCH were […]

FX NDF Package Transactions

Today, I looked at packages of FX NDF trades on the SDR, expecting to be able to find some basic packages, or even just logical groupings of trades such as: FX NDF Swaps.  These would have a near & far leg, and the price differs by some forward points. Par Forwards.  These are a structure […]

VM Big Bang – Impact on FX Markets

The six month reprieve from UMRs expired 1st September. We look at trading in uncleared markets in the past six months to see if anything changed. The number of uncleared IRS trades has shrunk by 50% as the regulations took hold. Products with no cleared alternatives continue to trade bilaterally. Volumes have continued to be […]

NDF Clearing Update

Little has changed in FX NDF Clearing since our last update in March. From the data, Clearing is now a “business as usual” operation for a significant sector of the market. We further refine our data methodology by introducing an estimate of the errors inherent in our market share metrics. These errors look to be acceptably small, at […]