New Block Trading Rules for Derivatives

Amended 7th October 2020 to correct the changes to block and cap thresholds to 67% and 75% respectively. The block threshold for Swaps, and all other OTC derivatives, is changing. The thresholds for trades qualifying for block status and the reporting cap for notional amounts are also diverging. This will substantially increase transparency in the […]

CFTC Block Trading Consultation May 2020

Our analysis shows that more blocks transacted than ever before in March 2020. More volume traded as a block on-SEF in March. There is no difference in Price Dispersion between block and non-block trades during both normal and stressed market conditions. The current 15 minute delay in reporting for block trades has no negative impact […]

SACCR vs CEM for FX Products

Blame our active community of readers if you must. But we’ve had the most requests for a comparison of FX products under SACCR and CEM in response to my original blog. Therefore, here we go… SACCR is Coming If you need a refresher on SACCR and CEM, then please check out our comprehensive coverage below: […]

SACCR vs CEM Comparisons

Welcome to my 250th blog for Clarus! That is quite a milestone – I’ve now inflicted nearly a quarter of a million words on our readers. I hope the vast majority have been useful. To celebrate, you will have to suffer a bit of true geekiness. Today we’ll take a look at Regulatory Capital, which […]

Giancarlo looks to rescind CFTC Cross-border overreach

Following on from his Cross Border Swaps Regulation 2.0 whitepaper from last October, CFTC Chairman Giancarlo gave some updates in his speech at the recent FIA IDX in London .   He is leaving the SEF cross-border proposals to be turned into proposed rules and voted on by his successor as Chairman – Heath Tarbert.   On […]

Incentives for Central Clearing and the Evolution of OTC Derivatives

We summarise the recent CCP12 report “Incentives for Central Clearing”. This report looks at the current state of play in Cleared FX, Interest Rates and Credit. It analyses particular niches in clearing, including Latam Rates and NDFs. It concludes that clearing has increased for Linear products, but Option markets remain uncleared. Further studies on legacy […]

KCCP – Clearing is Getting Cheaper

KCCP defines the amount of capital that must be held versus default fund contributions at a CCP. The lower the value of KCCP, the lower the overall cost of clearing. CPMI-IOSCO public disclosures show that KCCP has decreased at all of the major CCPs in the past three years. We look at the data and […]

SA-CCR for US Banks

The US is introducing SA-CCR to calculate derivatives exposures in 2020. We look at the consultation. We compare add-ons under SA-CCR and the old CEM methodologies. Clarus offer FREE TRIALS of SA-CCR for Excel. SA-CCR Consultation The Federal Reserve, OCC and FDIC have launched a joint consultation on SA-CCR, the Standardised Approach to Counterparty Credit […]

Capital and RWA for Tier 1 US Banks – 2Q 2018

Last year we wrote aboutĀ Capital Ratios and Risk Weighted Assets for Tier 1 US BanksĀ and that blog remains popular to this day. Today I will provide an update using the latest quarterly figures, to see if the trend we observed with US Banks increasing capital and reducing RWA has continued into 2018. Background The Basel […]