Uncleared Margin Rules (UMR) for IM have now been in force for one year The ISDA Margin Survey 2017 provides a snapshot of IM delivered and received $47.2 billion and $46.6 billion respectively, between Phase One firms (March 31, 2017) I look at how the figures compare to an $800 billion estimate from 2012 What […]

ISDA SIMM version 2.0 is coming in December 2017. Re-calibration and new risk factors will mean Initial Margin changes for all portfolios. SIMM for Excel gives you the tools to understand and model these changes. Quickly compare before/after SIMM levels in Excel. Drill-down into Counterparty and Risk Factor levels. Perform your own analysis and optimisation […]

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 […]

The FRTB Internal Model Approach requires risk factors to be checked for modellability Non-modellable risk factors are then subject to stressed capital add-ons Modellable and non-modellable is determined by applying a specific test Clarus has the Data and Analytics to perform such a test We make this available in our FRTB for Excel product Making […]

Following on from my recent Capital Ratios and Risk Weighted Assets for Tier 1 US Banks article I wanted to look at the equivalent metrics from European Banks. Background One of the lessons learned from the Great Financial Crisis was that Banks were generally under capitalised commensurate to their risk exposure, leading to new Basel III regulations […]

We explain how to work with Array Formulas in Excel. Master the Three Finger Salute CTRL+SHIFT+ENTER. CTRL+/ is an amazingly effective shortcut. It is always easier to expand an array than shrink it. Consistent formatting provides an obvious visual cue when working with arrays. SIMM for Excel SIMM for Excel is an add-in that performs […]

The BCBS recently published a Consultative document on a ‘Simplified alternative to the standardised approach to market risk capital requirements” and in this article I will look at the detail of this. Standardised Approach (SA) BIS provides the following diagram to summarise the Standardised Approach. (For a re-cap of the SA see FRTB – What […]

The Clarus Microservices API makes it very easy to compute ISDA SIMM™ from Python The input data required is a CRIF file contain risk sensitivities What-if trades can be easily added to determine the incremental change in margin We provide a Sandbox within our API Reference page for you to try the API methods Before moving […]