Mechanics 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, […]
What’s New in CCP Disclosures – 4Q23?
Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Background Under the CPMI-IOSCO Public Quantitative Disclosures, CCPs publish over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing and more. CCPView has over 8 years of these quarterly disclosures for 44 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep […]
Cable Cross Currency Swaps 2024
Issuance A particular headline in the FT recently piqued the interest of this blogger: Like a moth to a flame, I was drawn to the statement: The demand has helped push a number of continental European companies to issue sterling debt for the first time in recent months, including German real estate company Vonovia, German […]
Did we learn anything from the latest European announcements on clearing?
The Clarus blog covered Active Accounts back in December, and followed up with probably the first podcast in the world to cover Active Accounts: The European Parliament have followed this with an announcement this month that: The European Commission then provided the following details: For those of us who thrive on the details this looks […]
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 […]
T+1 and FX: The opportunities and challenges of a shorter settlement cycle
28 May 2024 is set to be a pivotal moment in the history of securities trading, as from this day, US trades in cash equities, corporate debt and unit investment trusts must settle T+1 instead of T+2. One of the challenges is cross-border trading and the implications for trades with a foreign currency component. Eugene […]
2023 SEF Volumes and Share in SOFR Swaps
Background In May 2023, I published a blog on IDB Market Share in SOFR Swaps, which used data we collect, filter and enhance in pur SDRView product. The blog looked at the type of SOFR Swaps that trade on Inter-Dealer Broker (IDB) SEF venues, also referred to as Dealer-to-Dealer (D2D venues); namely Spreadovers, Curves and […]
Could “enshittification” happen in derivatives markets?
*Disclaimer – this is a tongue-in-cheek consideration of third-order risks in our markets. Hope you enjoy. For those who missed it, the FT introduced us to “enshittification” last week, and the article has no doubt made the rounds of trading floors ever since: https://www.ft.com/content/6fb1602d-a08b-4a8c-bac0-047b7d64aba5 Why are we choosing to talk about it on the Clarus […]
EUR Futures Latest – Still a 3 Way Battle
We turn our data lens back to Europe for this blog to look at how the market shares of CME, Eurex and ICE are evolving across EUR futures. Last time out, I noted that Eurex had kick-started their EURIBOR volumes. Let’s look at the data since then. Market Share in EURIBOR Futures CCPView reveals a […]
USD Rates Overview in 2024
We have previously noted that EUR Rates are now larger than USD Rates in terms of notional traded across OTC swaps (see here and here). This change has arisen because EUR has continued in a multi-rate environment – both €STR and EURIBOR swaps still trade, whilst USD has largely moved to SOFR, with Fed Funds […]