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 […]
Capital and RWAs of top European Banks – 2017 to 2018
It is a year since we last looked at the Capital and RWA of European banks, so today I will look at what the past year’s data shows. Background One of the lessons learned from the Great Financial Crisis was that Banks were under capitalised commensurate to their risk exposure; leading to new Basel III […]
Capital and RWA for Tier 1 US Banks – 2Q 2018
Last year we wrote about Capital Ratios and Risk Weighted Assets for Tier 1 US Banks 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 […]
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 […]
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 […]
Swaps Regulations Are Changing – Part Two, Capital and CCPs
What You Need To Know Swaps Regulation 2.0 is a whitepaper that was presented by Chairman of the CFTC, Christopher Giancarlo, at the annual ISDA AGM. The paper sets out 6 broad areas of reform for Swaps markets. We looked at (1) Trade Execution and (2) Trade Reporting in Part One. This week, we look at […]
Swaps Regulations Are Changing – Part One, SEFs
What You Need to Know Last week, the CFTC Chairman, Christopher Giancarlo, presented a whitepaper at the annual ISDA shindig. This whitepaper should be a pretty good guide for any regulatory changes that we can expect to see out of the CFTC for the remainder of his term (it expires in April 2019). He looked […]
Segregated Funds, Market Crashes & Under-Seg
Today I want to look briefly at the reported solvency of FCM’s during the most recent market panic. Back on February 5th of this year, the US equities market suffered a volatile day and significant losses. The Dow Jones index had its worst ever one-day loss in terms of points (down 1,175), and other indices […]
OCC Quarterly Report on Bank Derivatives Activities
Our regular readers will know that the Clarus Blog focuses on Derivatives and the new regulations introduced after the Financial Crisis of 2007-08. The massive increase in availability of data on OTC Derivatives markets is of great interest to us. However at times we are guilty of not paying enough attention to older data sources. […]
Bank Ring Fencing – What You Need to Know
Ring-fencing splits banks into deposit-taking institutions and investment banks. There is more than one way that this can be achieved. The European Commission has decided against ring-fencing. Large UK banks are required to ring-fence their deposit-taking operations from January 2019. The US may include some ring-fencing proposals as they look at financial reforms. Why Do […]