Clarus Excel Products

SIMM

SIMM Initial Margin and what-if analysis.

CCP Margin

CCP IM & VM, What-if, Optimise and more.

FRTB

Fundamental Review of the Trading Book.

SA-CCR

Standardised approach for Credit Risk.

Latest Posts

  • Oct, 8

    Pre-Hedging in Swaps

    FMSB The FICC Markets Standard Board (see my 200th Clarus blog), known as the FMSB, recently published the paper “Spotlight Review on Pre-Hedging“. It makes great reading for anyone involved in Swaps markets – dealers, sales, trading, buyside. Read it! What is “Pre-Hedging”? According to the FMSB report, pre-hedging is the act of a dealer […]

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    Aug, 20

    Monitoring of Hedge Funds

    Hedge funds are frequently in the financial news, which is not at all surprising given the size of the sector and the public profile and wealth of the founders. So it is good to see that a Hedge Fund Monitor has been released by the Office of Financial Research of the U.S. Department of the […]

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  • May, 14

    Using AI for Market Abuse Surveillance

    The EU Market Abuse Regulation (MAR) requires institutions to monitor transactions and develop specific algorithms to check for possible abuse covering insider dealing, market manipulation and other categories. One of the challenges is that calibrated monitoring thresholds tend to be conservative and consquently produce a high number of false positives. These must then be manually […]

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    Apr, 29

    Regulating the transformative power of AI in Asset management

    Artificial Intelligence (AI) is a transformative technology and this article covers a number of key regulatory areas for asset management including the recent EU AI Act, bias, transparency and security. Please read on the ION Markets Blog.

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  • Apr, 24

    How Much Margin? The 2023 Edition

    Initial Margin ISDA have just published the latest edition of the “ISDA Year-End Margin Survey”: We have covered previous versions of this survey, which are always worth a re-read because you can laugh at any predictions we made in the past! Sifting through all of those reveals that between $650-800bn in extra IM was anticipated by ISDA as a […]

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    Mar, 13

    Mechanics and Definitions of the ISDA Credit Support Annex (CSA)

    Credit Support Annexes used to be the dullest of the dull. A “back-office”, operational necessity that helped reduce counterparty exposures. Now, they are intrinsic to the functioning of modern day derivatives markets and have blossomed in both number and potential complexity as a result of the Uncleared Margin Rules. If you don’t have a CSA, […]

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  • Feb, 21

    Best Practices for Variation Margin

    No one wants to be called in default by a CCP during stressed markets as a result of operational complexity/failures – much as ICE & Citi stated regarding March 2020: So today I follow up on our Clarus blogs (and podcast!) regarding members requirements at CCPs. For example, you can take a look at the […]

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    Jan, 24

    Repo: The heart of the global financial system

    My colleagues Ed Tyndale-Biscoe and Chris Brown published an article on the ION Markets Blog, which is well worth a read at Repo: The heart of the global financial system and why the SEC took action.

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  • Nov, 14

    Default Simulation Exercises by CCPs

    In June 2019, I wrote a blog titled, CCP Default Management Auctions, in which I covered the BIS CPMI-IOSCO “Discussion paper on central counterparty default management auctions” and explained how Clarus CHARM helps clearing members with their default management obligations, both actual and firedrill tests. One of the points in the discussion paper was on […]

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    Sep, 19

    ISDA SIMM – What changes in v2.6?

    Version 2.6 ISDA has published ISDA SIMM v2.6 with a full re-calibration of risk weights, correlations and thresholds. The calibration period is a 1-year stress period (Sep-08 to Jun-09, the Great Financial Crisis) and the 3-year recent period ending Dec 2022 (or possibly later, but at time of writing I cannot find this specified, so am going […]

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