Scandie Swaps

We take a look at Scandie swaps through the lens of our data products. SEK are the most traded currency, seeing an average daily volume of $19bn, and a monthly total of $290bn. SEK is the 7th largest cleared currency in IRS trading. The US persons market accounts for around 20% of volumes. There is […]

Derivatives, the Cloud and the source of truth

As a cloud service provider, we are frequently evaluated by a customer’s IT Security who conduct risk assessments on our Software-as-a-Service’s architecture, security and processes.  These assessments are detailed and thorough.  Clarus is not the only innovative cloud vendor doing this, we are one of many. The cloud is happening, and it is happening now. […]

Global Swaps Volume and Market Share in Q3 2018

I last looked at the market share of cleared swaps in major currencies in my July article in Risk, which covered the period up to 2Q 2018. In today’s article I will bring that analysis up to date and follow the structure of my start of the year article, 2017 CCP Market Share Statistics. In CCPView we […]

Should the $8 billion UMR threshold for IM increase to $100 billion?

ISDA, SIFMA and other trade associations recently published a letter addressed to BCBS and IOSCO, which makes very interesting and important recommendations for the remaining phases of the IM implementation required under Uncleared Margin Rules. (full letter here). Background Uncleared margin rules (UMR) required Phase 1, 2 and 3 firms, with >$3 trillion, >$2.25 trillion […]

Cross Currency Basis and Turn of the Year

There was a huge move lower of 30 basis points in short-dated cross currency swaps on Thursday September 28th. This is because the “front roll” went over the turn of the year date. There is a huge disconnect for turn of the year pricing between USD Libor and Cross Currency basis. USD overnight interest rates […]

Could the Nasdaq default happen in Rates markets?

What could cause a Rates CCP to lose €100m from the Default Fund? We look at 10y IRS in NOK vs SEK. We find that liquidity add-ons prevent very large positions from being under-margined. Nevertheless, we present a scenario that causes a €74m loss. And then we explain why we really shouldn’t worry about it! […]

Non-Deliverable Swaps Clearing Volumes

This year both CME and LCH launched clearing in new Non-Deliverable Swap (NDS) currencies and in today’s article I will look at how volumes in these products have performed. CME – NDS in CLP and COP In May 2018, CME launched Chilean Peso and Columbian Peso NDS as new currencies and both of these have […]

Default at Nasdaq Clearing

Last week’s default at Nasdaq Clearing in the power market, generated a lot of press, both because member defaults are few and far between events at CCPs and the fact that it coincided with the ten year anniversary of the Lehman’s bankruptcy. There are few analogies that we can draw between the two events; the […]

ESTER – What You Need To Know

ESTER will be the European Risk Free Rate (RFR), following an announcement from the European working group. This means that ESTER will replace EONIA (and EURIBOR) as the most important interest rate in Europe. Pre-ESTER data is now available, including volumes. The race starts now to be the first to trade ESTER swaps! What You Need […]