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Latest Posts
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Jan, 12
Cessation of LIBOR: Why is so much new risk still being transacted?
Q4 2020 saw $7.0bn DV01 of new USD-LIBOR* linked activity written in OTC derivatives markets. It is a similar story in GBP ($4.5bn DV01), JPY and CHF markets. Why is so much new risk being written against these indices when they are due to cease imminently? Responses to the IBA consultation on a possible cessation […]
Read moreSep, 30New Block Trading Rules for Derivatives
Amended 7th October 2020 to correct the changes to block and cap thresholds to 67% and 75% respectively. The block threshold for Swaps, and all other OTC derivatives, is changing. The thresholds for trades qualifying for block status and the reporting cap for notional amounts are also diverging. This will substantially increase transparency in the […]
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May, 12
CFTC Block Trading Consultation May 2020
Our analysis shows that more blocks transacted than ever before in March 2020. More volume traded as a block on-SEF in March. There is no difference in Price Dispersion between block and non-block trades during both normal and stressed market conditions. The current 15 minute delay in reporting for block trades has no negative impact […]
Read moreSep, 18SACCR 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 […]
Read moreJun, 26Giancarlo 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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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 […]
Read moreMar, 13KCCP – Clearing is Getting Cheaper
KCCP defines the amount of capital that must be held versus default fund contributions at a CCP. The lower the value of KCCP, the lower the overall cost of clearing. CPMI-IOSCO public disclosures show that KCCP has decreased at all of the major CCPs in the past three years. We look at the data and […]
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Nov, 7
SA-CCR for US Banks
The US is introducing SA-CCR to calculate derivatives exposures in 2020. We look at the consultation. We compare add-ons under SA-CCR and the old CEM methodologies. Clarus offer FREE TRIALS of SA-CCR for Excel. SA-CCR Consultation The Federal Reserve, OCC and FDIC have launched a joint consultation on SA-CCR, the Standardised Approach to Counterparty Credit […]
Read moreSep, 10Capital 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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