In observing the markets over the last few weeks there are so many significant moves; Oil prices collapsing by 30% in a day, S&P500 declining 7.6% in a day, the 7th worst move since WW2 and worst since 2008, the whole US Treasury Curve out to 30Y trading below 1% for the first time ever. […]

Last week we put out a joint press release, see AcadiaSoft Partners with Clarus Financial Technology to Provide Joint Initial Margin Analytics Service and I wanted to provide more detail on the value of this. Background Uncleared margin rules (UMR) require firms to exchange Initial Margin on bi-lateral derivatives exposures and the financial industry relies […]

We detail the GSIB methodology for US banks, referred to as “Method 2” in the literature. We calculate the GSIB scores for 8 US banks as at December 2018 and September 2019. We find that the Method 2 scores are particularly penal for Morgan Stanley. It will be interesting to see how these scores change […]

There are 30 Global Systemically Important Banks (G-SIBs) in 2019. A bank must hold at least an extra 1% in Tier One capital as a result of qualifying as a G-SIB. We look at the calculations necessary to work out a bank’s G-SIB score and calculate the exact values for 2019. We estimate that HSBC […]

We last looked at ISDA SIMM Concentration Thresholds in January 2017, when ISDA SIMM version 1.2 introduced the concept. That blog detailed an Excel implementation of the concentration threshold calculation for interest rate delta risk and proved very popular. The methodology in SIMM v2.2 remains the same, just the thresholds themselves are changed. Today I […]

ISDA SIMM 2.2 is effective December 1, 2019 Updated with a full re-calibration and industry backtesting Initial Margin will change for all portfolios Our clients can check the impact leading up to the effective date And can be confident on implementing SIMM v2.2 on time If you are interested in joining them, we offer free trials […]

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: […]

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 […]

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 […]

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 […]