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, 3

    Should the $8 billion UMR threshold for IM increase to $100 billion?

    ISDA, SIFMA and other trade associations recently published a letter addressed to BCBS and IOSCO, which makes very interesting and important recommendations for the remaining phases of the IM implementation required under Uncleared Margin Rules. (full letter here). Background Uncleared margin rules (UMR) required Phase 1, 2 and 3 firms, with >$3 trillion, >$2.25 trillion […]

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    Sep, 26

    Could the Nasdaq default happen in Rates markets?

    What could cause a Rates CCP to lose €100m from the Default Fund? We look at 10y IRS in NOK vs SEK. We find that liquidity add-ons prevent very large positions from being under-margined. Nevertheless, we present a scenario that causes a €74m loss. And then we explain why we really shouldn’t worry about it! […]

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  • Sep, 10

    Capital and RWAs of top European Banks – 2017 to 2018

    It is a year since we last looked at the Capital and RWA of European banks, so today I will look at what the past year’s data shows. Background One of the lessons learned from the Great Financial Crisis was that Banks were under capitalised commensurate to their risk exposure; leading to new Basel III […]

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    Aug, 28

    Capital and RWA for Tier 1 US Banks – 2Q 2018

    Last year we wrote about Capital Ratios and Risk Weighted Assets for Tier 1 US Banks and that blog remains popular to this day. Today I will provide an update using the latest quarterly figures, to see if the trend we observed with US Banks increasing capital and reducing RWA has continued into 2018. Background The Basel […]

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  • Jul, 5

    FRTB – Basic Approach for CVA

    Introduction A core component of managing bilateral exposures is CVA – Credit Valuation Adjustment. The grandfather of all XVAs, it describes the change in exposure we have to a counterparty as a result of changes in both the mark-to-market of a derivative and the change in credit-worthiness of our counterparty. Today, we’ll look at the […]

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    Jun, 27

    Margin Requirements for Non-cleared Derivatives

    A new study funded by ISDA on Margin Requirements for Non-cleared Derivatives authored by Professor Rama Cont of Imperial College London, was the topic of much comment and debate at the ISDA AGM. It was also covered extensively in the press, see CFTC, Treasury officials boost ISDA push for IM revamp and ISDA faces member backlash […]

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  • Jun, 19

    FRTB in Excel

    FRTB Calculations directly from Excel. What-If analysis of new trades via quick trade entry. We use the CRIF format to make entry of trade portfolios simple. FREE 14-day trials available here. Background FRTB in Excel from Clarus calculates the capital requirements for your portfolio in Excel. We also check whether risk factors are modellable. The […]

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    Jun, 13

    Settle To Market – What You Need To Know about STM

    Settle to Market is a recent innovation in derivatives trading. It has helped banks reduce regulatory capital and derivatives exposures. We look at STM in detail and compare it to collateralisation. The CFTC have also issued guidance on the subject. What You Need To Know Settle to Market (STM) treats Variation Margin at CCPs as […]

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  • Jun, 6

    CCP Margin Calculation

    Margin Calculations directly from Excel Are you using LCH SMART, CME CORE or ASX Online? Would you prefer to use Excel? For IM & VM Calcs, What-ifs, Optimize and more 14-day trials are available to members and clients Background CCPs provide software tools for their members and clients to estimate initial margin requirements. Generally these […]

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    Jun, 5

    FICC Markets Standards

    Regulations can only take us so far in improving our markets. Industry Standards to cope with conflicts of interest are therefore being created by the FMSB and backed by all large market players. Swap-pricing tied to the issuance of new bonds is a complex area that the FMSB is creating Standards for. We take a […]

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