Today I want to look briefly at the reported solvency of FCM’s during the most recent market panic. Back on February 5th of this year, the US equities market suffered a volatile day and significant losses. The Dow Jones index had its worst ever one-day loss in terms of points (down 1,175), and other indices […]

The BCBS published a Consultative document in March 2018 with the title ‘Revisions to the minimum capital requirements for market risk” and in this article I look at the details. Background In January 2016, the BCBS published the standard Minimum capital requirements for market risk ( “January 2016 standard”), designed to address a number of structural shortcomings in […]

Our regular readers will know that the Clarus Blog focuses on Derivatives and the new regulations introduced after the Financial Crisis of 2007-08. The massive increase in availability of data on OTC Derivatives markets is of great interest to us. However at times we are guilty of not paying enough attention to older data sources. […]

Ring-fencing splits banks into deposit-taking institutions and investment banks. There is more than one way that this can be achieved. The European Commission has decided against ring-fencing. Large UK banks are required to ring-fence their deposit-taking operations from January 2019. The US may include some ring-fencing proposals as they look at financial reforms. Why Do […]

SA-CCR for Excel calculates the Standardised Approach for Credit Risk Use it to reconcile your calculations Or assess the impact of moving to SA-CCR And perform pre-trade what-if analysis Free 14-day trials are available for all financial firms. Background In March 2014, the Basel Committee on Banking Supervision published bcbs279, the Standardised Approach for measuring Counterparty […]

Uncleared Margin Rules (UMR) for IM have now been in force for one year The ISDA Margin Survey 2017 provides a snapshot of IM delivered and received $47.2 billion and $46.6 billion respectively, between Phase One firms (March 31, 2017) I look at how the figures compare to an $800 billion estimate from 2012 What […]

ISDA SIMM version 2.0 is coming in December 2017. Re-calibration and new risk factors will mean Initial Margin changes for all portfolios. SIMM for Excel gives you the tools to understand and model these changes. Quickly compare before/after SIMM levels in Excel. Drill-down into Counterparty and Risk Factor levels. Perform your own analysis and optimisation […]

The six month reprieve from UMRs expired 1st September. We look at trading in uncleared markets in the past six months to see if anything changed. The number of uncleared IRS trades has shrunk by 50% as the regulations took hold. Products with no cleared alternatives continue to trade bilaterally. Volumes have continued to be […]