OCC Quarterly Report on Bank Derivatives Activities
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. […]
Latam Swaps: Trends in IRS and NDF Data
I last looked at Latam swaps back in February this year, with the focus on Interest Rate swaps. We learned that both BRL and MXN swaps had migrated to a primarily cleared market at CME. We also then looked at CME margin requirements for these swaps and noted they were more expensive than similar USD swaps. […]
What is going on in Uncleared Derivative Markets?
We look at data from the BIS on Uncleared IRS. Notional Outstanding of Uncleared derivatives has been constant for the past year. The Gross Market Value of these derivatives has decreased by around 40%. The reduction in market value seems to be related to rates moving higher. Both Cleared and Uncleared markets have seen large […]
We found the CHF SARON Swaps!
The first CHF SARON swaps have appeared in SDR data. This reflects broader uptake of SARON across more trading counterparties. We are keeping a close eye on SARON volumes as it is somewhat of a test case for broader Libor reforms. Cleared data shows increased Open Interest at LCH, but daily volumes continue to be […]
Swaps Data Review: CCP and SEF Volumes Growing
My Monthly Swaps Data Review for Risk Magazine was published this week. This looks at which CCPs and SEFs are up and which are down in 2017, for: Interest Rate Swaps Non-Deliverable Forwards CDS Index Please click here for free access to the full article on Risk.Net
FX Clearing – the $750bn market that keeps growing
LCH ForexClear continues to dominate the cleared NDF market. CME have recently announced that 7 market participants intend to clear NDFs across their service next year. We look at the CME’s existing volumes in FX futures. FX NDF Clearing Update When we last looked at NDF Clearing in June 2017, we saw that LCH were […]
How Bitcoin Futures Will Work
A couple weeks ago, we released an article about the evolving infrastructure in the OTC derivatives industry to support Bitcoin, with the conclusion that much of the plumbing was coming together for institutional sized investment. In industry parlance, this involves swaps, SEF’s, DCO’s, custodians and liquidity providers. Futures products, probably the most readily understood derivative, […]
Released: A Julia library for Clarus Microservices
A Julia library has been developed and released to support Clarus Microservices. The library provides convenient access to Clarus Microservices. Source code is available on GitHub. In a previous blog, ‘Microservices: Swap Equivalents in Julia’ we showed that it was possible to call the Clarus API from Julia. We have generalised the code example in […]
CHF SARON – What is Going On?
CHF OIS and swap markets have transitioned from TOIS to SARON. TOIS will cease to exist from the end of this year. SARON is the new “Risk Free Rate”. LCH SwapClear now clear SARON swaps. We can see some activity in the data. What is Going On? According to Gottex Brokers; “The ability to clear […]