SACCR vs CEM Comparisons
Welcome to my 250th blog for Clarus! That is quite a milestone – I’ve now inflicted nearly a quarter of a million words on our readers. I hope the vast majority have been useful. To celebrate, you will have to suffer a bit of true geekiness. Today we’ll take a look at Regulatory Capital, which […]
FCM Rankings and Concentration – Q2 2019
It’s been 18 months since I last looked at FCM rankings, so it’s about time we hit the refresh button. Let’s have a look at the most recent data. Headline Stats Lets start with some headline metrics. First, just a simple count of registered FCM’s, and then counts of FCM’s with any activity in the […]
USD Fed Funds and the FHLBs
Get ready to geek out on some short-end USD Rates background. Fed Funds Fed Funds (as I know it), or the more official sounding “Effective Federal Funds Rate (EFFR)”, is a key overnight interest rate for USD. It didn’t quite cut the mustard as the official Risk Free Rate though – that title goes to […]
‘Dear CEO’ letters – Customer Impacts
Last month I wrote a blog that described the ‘Dear CEO’ letters sent to many financial firms from regulators in UK, EU, Switzerland, Australia and Hong Kong. Also the US FED has added a Libor component to their regular supervisory requirements to assess the transition from Libor to other benchmarks for firms they supervise. In […]
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 […]
Swaps Data: Fed’s change of tack on rates fuels volume rise
My monthly Swaps Review looks at Q2 2019 volumes and CCP market share for: USD, EUR, JPY Swaps Credit Default Swaps Non-Deliverable Forwards Please click here for free access to the full article on Risk.net.
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 […]