CCP Disclosures 3Q 2016 – Trends in the Data
Central Counterparties recently published their latest CPMI-IOSCO Quantitative Disclosures, so lets look at trends in the data, similar to my article on 2Q 2016 trends. Background Under the voluntary CPMI-IOSCO Public Quantitative Disclosures by CCPs, over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk and more are published each quarter with […]
VM Big Bang – Analysing CSA Amendments
The VM Big Bang deadline is on March 1st 2017. We explain how a CSA governs Variation Margin for OTC Derivatives. ISDA are providing a Variation Margin protocol, allowing industry participants to efficiently amend their bilateral margin agreements (CSAs). We analyse what some of the changes could mean from a pricing perspective. Using a simple example, we highlight why the […]
What percentage of client trades are cleared?
We combine BIS and Clarus data sources to provide a holistic view of IRS markets. Almost all of D2D volumes are now cleared, with little variability across the major currencies. Clearing in Dealer-to-Client IRS markets is highly currency dependent. Clearing in D2C markets varies from 27% (CHF IRS) up to 67% (USD IRS). 2016 – It was all […]
2016 SEF Market Share Statistics
In this article I will look at Swap Execution Facility (SEF) volumes and market share in 2016 for Credit, Foreign Exchange and Interest Rate Derivative asset classes. Clarus SEFView collects daily volumes published by each SEF and normalises this data to allow meaningful comparison and determination of market share statistics. Summary: CRD Index, Option and […]
Clarus Research cited at UK Parliament Treasury Committee
LSE’s Xavier Rolet cited our research in today’s UK parliament treasury committee meeting. During the session on ‘The UK’s future economic relationship with the European Union’ it was this research on EUR clearing that he referred to; ‘Moving Euro Clearing out of the UK: the $77bn problem?’, in answer to questions from Jacob Rees-Mogg. The […]
Top 10 CFTC Fines of 2016
Have you ever wondered how many people get in trouble with the CFTC every year, and what they got in trouble for? Over the holidays, I read through all 103 CFTC enforcement actions from calendar year 2016. As such, I am now in a position to give you my favorite CFTC fines of 2016. Headline […]
December 2016 Swaps Review
Continuing with our monthly Swaps review series, let’s look at volumes in December 2016. Summary: SDR On SEF USD IRS price-forming volume >$1.3 trillion gross notional 13% higher than a year earlier SEF Compression activity was >$350 billion in USD IRS The highest month on record and 66% higher than a year earlier USD OIS surprisingly has Off SEF volume up and On […]
Spreadovers
Clarus data now includes the implied Spread to the nearest on the run US Treasury bond for spot starting USD interest rate swaps. These so-called Spreadover trades make up over 10% of the USD derivatives market. Analysing price action and volume trends in these packages highlights important market insights, which can be explained by seasonal trends in bond […]