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 […]
FCM Rankings & Concentration: Q3 2017
The latest batch of FCM data has been assembled. Lets dig in. We start with the number of FCMs that are registered, by various metrics: Showing us: The number of FCMs registered ticked up by 1 to a total of 64 (addition of Huatai Financial) The number of FCM’s with any client margins dropped […]
Bank Ring Fencing – What You Need to Know
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 […]
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Initial Margin, Compression Volumes and why the time to Optimise is now
CCP disclosures show that total Initial Margin held at CCPs is increasing, mainly driven by increasing IM held by clients. We see a steady increase in the number of client accounts at CCPs, which is likely a key driver of Client IM heading higher. Compression volumes from the SDRs have hit recent records, and triOptima […]
Cross Currency Swap Volumes
EUR/USD, GBP/USD and JPY/USD are the big three in Cross Currency Basis swaps. The maturity profiles of the three markets are very different to each other. We can confidently state that JPY/USD is a short-end market, EUR/USD a medium term one and GBP/USD long-end. ICAP are dominant in the SEF market, with BGC increasing market […]