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

  • Sep, 18

    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: […]

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    Aug, 28

    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 […]

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  • Jul, 23

    A new $50billion threshold for UMR and 1-year extension

    Today BCSB IOSCO put out a press release announcing two significant changes to the UMR timeline: A one-year extension, to Sep-21 for the final UMR implementation phase for firms with > $8 billion of aggregate average notional amount (AANA) of un-cleared derivatives. An new phase for firms with > $50 billion of AANA on the […]

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    Jun, 26

    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 […]

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  • Jun, 18

    CCP Default Management Auctions

    The Default at Nasdaq Clearing has re-invigorated industry discussions on default management practices and we are now seeing the fruits of these labours. For example CCP12 recently published a CCP Best Practices Paper and LCH published Best Practices in CCP Risk Management. Today I will look at the BIS CPMI-IOSCO “Discussion paper on central counterparty […]

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    Jun, 12

    LIBOR Fallbacks and Uncleared Margin Rules

    LIBOR fallbacks and Uncleared Margin Rules are hot topics across the industry. We highlight the Basel guidance that any amendments to LIBOR contracts as a result of Benchmark reform will not trigger the need to post margin. This is important guidance to ensure the uptake of new RFRs is simple. Two of our big blog […]

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  • Jun, 5

    Optimising IM in Swaptions

    Whille writing my recent blogs on FX SIMM IM optimization (here and here), I wondered about progress on the Rates equivalent.   I knew swaptions to be key and that Capitalab had focused on them from the get-go and also that Capitalab pipes executions through its affiliated BGC SEF. So, I took at look in SEFView […]

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    Apr, 29

    ISDA Margin Survey 2018

    Uncleared Margin Rules (UMR) for IM have now been in place for two and a half years The ISDA Margin Survey Year-End 2018 provides a good overview of the regulatory IM received $83.8 billion at Dec 31, 2018, up from $73.7 billion at Dec 29, 2017, an increase of 14% Timeline for Margin Rules The following diagram from the […]

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  • Apr, 10

    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 […]

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    Mar, 27

    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 […]

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