Latest Posts
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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 […]
Read moreAug, 20Monitoring 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 […]
Read moreApr, 29Regulating 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 […]
Read moreMar, 13Mechanics 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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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 […]
Read moreSep, 19ISDA 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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