SOFR First – Day Two

We covered the first day of SOFR First in our Live Blog on Monday, and today I wanted to take a look at the first two days of SOFR trading. Increase in SOFR Swaps Using SDRView Researcher, we can easily see the increase in SOFR risk traded: From under 4%, we see a jump to […]

SOFR First – LIVE Blog

Good morning, happy Monday and welcome to SOFR First day! SOFR activity accounted for 18% of the market (18:30pm London time). Today, Monday July 26th, is when a global initiative coined “SOFR First” comes into play for interbank markets. As per the CFTC MRAC announcement two weeks ago: SOFR First represents a prioritization of trading […]

What’s new in CCP Quant Disclosures – 1Q21

Clearing Houses just published their CPMI-IOSCO Quantitative Disclosures, lets look at what’s new: Initial margin for IRS is now down from record highs of Mar 2020 Initial margin for CDS similarly down Initial margin for ETD up QoQ and down YoY Cash Deposited at Central banks continues to increase (ASC, CME, OCC, …) Commensurate drops in marketable collateral convertible to cash LCH Clearnet percentage income from […]

Is RFR Trading Now Ready for Lift-Off?

We are 12 days from SOFR First. 12 days from the point that interdealer markets plan to switch to trading SOFR instead of LIBOR as the market standard. The CFTC yesterday officially adopted the SOFR First recommendations at the Market Risk Advisory Committee meeting. We are 12 days away from interdealer swaps “prioritising” SOFR first […]

What Is The Outlook for Trading Volumes From Here?

Clarus CCPView provides insight into volumes across Swaps, Bonds and Futures. We look at the evolution of volumes in different parts of the yield curve. H2 2021 saw some extremely large volumes, with certain tenors showing more activity than in March 2020. Are these elevated volumes here to stay? CCPView includes volumes covering Swaps (OTC […]

Using the Clarus API to monitor the latest Brexit impacts

After shouting “HopSchwiiz” in my adopted nation waaaaaay too much at the football last night, I needed a somewhat low-energy blog this morning. Step forward our easy-to-use API, which has recently been extended to include data from both CCPView and SEFView. Hopefully it’s not such a rollercoaster ride using the Clarus API 😛 Brexit Moves […]

CCP Disclosures – Skin in the game and Other Metrics

Clearing Houses publish regular quantitative disclosures of great interest to clearing members and regulators, which provide regular insight into risk governance, ease of comparison and facilitate best practice. From the approximately 200 data fields published for each Clearing Service, it is possible to derive composite metrics, the most well know of which is skin-in-the-game (SITG); […]

G3 Inflation Swap Volumes are on the up

Monthly volumes of cleared inflation swaps topped $500 Billion for the first time in March 2021. That is basically double the monthly volumes that we were seeing as recently as a year ago. This blog will take a look at the volume data available to us. It serves as a great reminder of just how […]

SOFR SpreadOvers are now starting to trade

On June 8, the CFTC’s Market Risk Advisory Committee’s (MRAC) Interest Rate Benchmark Reform Subcommittee voted to recommend market best practice for switching interdealer trading conventions from Libor to SOFR (see release 8394-21). Referred to as SOFR First, it is modelled on the UK’s SONIA First and is a prioritization of interdealer trading in SOFR […]