USD SOFR Swaps volumes on the up in Aug 2019

SOFR Swap trade volumes picked up significantly last week Trade counts in one week were half of the combined May and June totals Outrights were all executed Off SEF and the majority were cleared Basis were all executed on On SEF and were all cleared We show how Clarus Data Products can be used to […]

Compression in cleared Inflation Swaps

Since 2016, uncleared margin rules have driven a steady rise in cleared inflation swaps open interest and CCP IM.  In July TriOptima announced their first cleared inflation swap compression run,  so let’s look at what data on cleared volumes in CCPView tells us. Inflation swaps in the context of overall IRD volumes Inflation swaps are a somewhat specialised corner of the IRD […]

RFR Swaps and Futures Volumes July 2019

We recently added an RFR view in CCPView to show volumes and open interest of Swaps and Futures that reference risk free rates (RFRs), covering SOFR, SONIA, SARON and AONIA. Lets look at what the data shows for July 2019 and prior months. SOFR Futures Showing July 2019 a new high at CME with $2.25 […]

CME-LCH Basis narrows to four year low

Our recent blog, CCP Basis – The Cost of Clearing Fragmentation, proved very popular and while this was published on July 30, 2019, it was actually written a few weeks earlier. As is often the case with these things, there have been major new market developments in the CME-LCH Basis, meaning we need to do […]