SOFR Now 78% of Interdealer Market

The latest ISDA-Clarus RFR Adoption Indicator shows that RFR trading is really picking up across the board. I know we’ve all been waiting a while for this to happen, but finally the industry seems to be accelerating efforts to transition away from IBORs. September 2021 Overall, we hit a new all time high of 20.3%. […]

There Are Now Over 1,000 Clarus Blog Posts!

The Clarus blog has recently published its 1,000th blog. We run through our early blog posts and highlight some of our most popular posts. The blog had over 500,000 page views in 2020. We are looking forward to the next 500,000. I realised a little too late last week that we have just gone over […]

Mechanics and Definitions of RFR Cross Currency Swaps

Cross Currency Swaps exchange a funding position in one currency for a funding position in another currency. Markets have transitioned to trading RFR vs RFR since September 21st 2021 in three major currency pairs. The interbank market continues to trade a resettable floating-floating swap, incorporating a USD cash payment to reset the mark-to-market close to […]

SACCR Multipliers, Initial Margin and KCCP

KCCP defines the amount of capital that must be held versus default fund contributions at a CCP. The lower the value of KCCP, the lower the overall cost of clearing. The SACCR multiplier used to calculate KCCP suggests that KCCP reduces for every extra dollar of Initial Margin posted at a CCP. We look at […]

ISDA SIMM v2.4 – Covid Calibration and More

ISDA SIMM v2.4 is effective December 4, 2021 Updated with a full re-calibration and industry backtesting Including for the first time the Covid-19 Crisis time period Meaning Initial Margin will increase for most portfolio To quantify the actual impact of SIMM v2.4 CHARM can run SIMM v2.4 and v2.3 on your portfolios And do so before go-live, to […]

LIVE BLOG: RFR First in Cross Currency Swaps

There are some blogs I look forward to writing – this is one of ’em! Circled in our diaries for quite some time has been Tuesday September 21st. This is when the Cross Currency Swaps market is expected to follow the lead of the recent SOFR First initiative and start the transition away from LIBOR […]

RFR trading is now at 50% in CHF and JPY!

The latest ISDA-Clarus RFR Adoption Indicator presents some truly incredible numbers in August 2021. On to the details. August 2021 The headline RFR Adoption Indicator increased to a new all time high of 17.5% in August 2021. The chart looks particularly healthy: August 2021 was the first month where SOFR First really demonstrated its impact […]

Our Sale to ION

Following on from our announcement that ION acquires Clarus Financial Technology, I wanted to provide some color on the rationale for the deal and what it means going forward. The Rationale After almost a decade as an independent firm why did we decide to become part of ION Group and more specifically ION Markets? A […]

Latest EUR Swaps market share for CCPs and SEFs

Eurex EUR share stands at 7-9% when measured by DV01. Globally, August 2021 saw the lowest EUR IRS volumes in the past 5 years. 23% of EUR IRS executes on-SEF. 60% of EUR CRD Index volumes now execute on-SEF. And we look at where clearing of EUR CRD Index trades is taking place. Now that […]

August 2021 – What Happened?

SOFR trading now accounts for 30% of the USD market. This is as a direct result of the SOFR first initiative. Elsewhere, US markets have been in the midst of a Summer lull. Volumes outside of SOFR were around 15% lower than other weeks in 2021. We look forward to updating the ISDA-Clarus RFR adoption […]