Counterparty Risk: Some way to go for Derivatives

Ten years after the Great Financial Crisis of 2008, we may interpret figures such as only 18% of new trades in OTC interest rate derivatives are now uncleared, to mean that  uncleared derivatives now represent a small amount of counterparty risk. However as I will show in this article, this is not true and there […]

2018 CCP Market Share Statistics

In this article I look at 2018 CCP market share for OTC Derivatives in Credit, FX and Interest Rates, in the same format as I used for my 2017 CCP market share statistics article. Clarus CCPView has daily volume data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparison of market share statistics and I have […]

JPY Swaps – A Market Overview

JSCC has enjoyed a 63% market share in vanilla JPY IRS versus LCH over the past year. The market shares vary by tenor and month-by-month. JPY OIS trading is a very small market. LCH is the leading CCP in this market with a 67% market share. JPY single currency basis trading remains a large market […]

Clearing House Disclosures 3Q 2018 – Some Surprises

Clearing Houses 3Q 2018 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my CCP Disclosures 2Q 2018 article. Summary: IR Swaps margin decreases for the first time quarter-on-quarter LCH SwapClear Client margin is lower ETD margin is up quarter-on-quarter CME ETD Client margin is higher New disclosures on the default […]

Title VII 2.0: SEF re-regulation

More than 10 years after the fall of Lehman Brothers, and with limited changes for several years you might be forgiven for the impression the CFTC is done with SEF regulation.  Not so. With a full complement of commissioners recently approved, CFTC has started the Dodd-Frank Title VII re-regulation ball rolling.  CFTC has published proposed […]

2018 SEF Market Share Statistics

In this article I look at 2018 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my 2017 SEF Market Share Statistics. A brief summary is that 2018 was a banner year for SEFs, with volumes up in all asset classes and most products […]

ESTER Term Rates

We look at the consultation for forward-looking term rates in ESTER. The number of cleared EONIA swaps is surprisingly low, suggesting a transaction-based methodology will be ruled out. A quote-based system is most likely, but this could replicate existing problems we have with EURIBOR. We note that CCP basis also makes the collation of quotes […]

Cross Currency Swaps and RFRs

The conversation on the use of RFRs (Risk Free Rates) has been developing over the past few months and in this article I will focus on cross currency swaps. The current development of markets in RFRs In most cases the focus has been on single currency swaps where the development of markets based on RFRs […]