Our Partnership with AcadiaSoft
Last week we put out a joint press release, see AcadiaSoft Partners with Clarus Financial Technology to Provide Joint Initial Margin Analytics Service and I wanted to provide more detail on the value of this. Background Uncleared margin rules (UMR) require firms to exchange Initial Margin on bi-lateral derivatives exposures and the financial industry relies […]
Block Trading
Our data shows that block trades are 30% larger than the amounts reported to SDRs. Block trades and trades capped at a reporting threshold make up just 7% of volume by trade count. However, the true size of these trades means they account for 43% of notional volume. This varies significantly from currency to currency. […]
Risk Free Rates Trading January 2020
We look at the percentage of notional and risk that is traded as an OIS swap across six currencies. 55% of GBP trading activity when measured by risk (DV01) is currently transacted versus SONIA (OIS). Just 16% of USD trading activity is transacted as an OIS when measured by risk. AUD markets are leading the […]
After Libor, will Derivatives become more transparent for end users?
The move from Libor to Risk Free Rates should accelerate in 2020. We recently published, Will GBP Libor stop trading on 2nd March 2020? and Have SOFR and SONIA Swaps and Futures lived up to expectations? On 16th January 2020, the PRA and FCA published another letter to market participants (in this case SMFs) focused […]
CCP Quantitative Disclosures 3Q19 – Skin in the Game
Clearing Houses 3Q 2019 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my CCP Disclosures 2Q 2019 article. Summary: Initial Margin for IRS is up 17% in the quarter and 45% in a year Each of the four major IRS CCPs increasing IM Client IM is significantly up IM for ETD up […]
Will GBP LIBOR stop trading on 2nd March 2020?
The market convention for GBP Swaps is expected to move to SONIA from Monday March 2nd 2020. This structural change follows an announcement from UK regulators. The data shows that already 88% of total notional in GBP swaps is versus SONIA. Maturities longer than 2 years have still not transitioned to SONIA trading. Probably* as […]
SGX FlexC FX Futures
In March 2019, just over 8 years after its launch, SGX shut down it’s OTC Financials Clearing business. However SGX continues to innovate and has focused on the futures market. One example of this is the launch of FlexC FX Future, a product which aims to replicate a Non-Deliverable Forward and capture liquidity/volume from the […]
£700bn SONIA Traded on a Single Day
SONIA volumes have hit all-time highs in January 2020. The highest volume of SONIA traded on a single day has been £700bn on 15th January. Total monthly volumes will be over £4trn for the first time ever. The spike in activity is concentrated in short-dated instruments, suggesting it is closely related to the BoE meeting […]
Swaps Data: Have SOFR and Sonia swaps and futures lived up to expectations?
My monthly Swaps Review looks at open interest and volume in 2019 for: SOFR Futures at CME and ICE SONIA Futures at ICE, CME, CurveGlobal SOFR Swaps at LCH and CME SARON Swaps at LCH €STR Swaps at LCH GBP Libor and SONIA Swaps at LCH Please click here for free access to the full article on […]
NOK Rates: What You Need to NOWA
Following on from the surprise entry of our NOK Rates blog in the Top 10 Clarus blogs of 2019, it is high time I updated it with both a look at whether OIS is trading yet and what has happened in the world of NOWA since we last wrote about it in April 2019. And […]