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 šŸ˜› 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 […]

10.7% of New Risk Traded versus an RFR

The latestĀ ISDA-Clarus RFR Adoption IndicatorĀ has been published for May 2021. It saw an increase to 10.7%, a small increase from last month. When will the big leaps happen? Showing; TheĀ RFR Adoption IndicatorĀ was at 10.7%. This was higher than last month and very similar to all of the 2021 readings (March aside). USD SOFR decreased to […]

USD & EUR Swap Volumes – May 2021

USDĀ IRSĀ , OIS and SOFR volumes EUR IRS, OIS and ā‚¬STR volumes May compared to prior months and 1Q 2021 CCP market share for currency and product CCPView provides transparency on Swap volumes USD IRS From CCPView, USD IRS only, so excluding OIS, Basis, ZC, VNS and FRAs. May with $6.8 trillion, similar to April and down from the high […]

JPY TIBOR And RFRs: Is There A New Path?

A large proportion of JPY swaps activity at JSCC has moved to JPY TIBOR. JPY LIBOR swaps have shrunk from 89% to just 66% of the market. At the same time, overall JPY IRS volumes have drastically shrunk. We look at the data behind cleared JPY IRS markets. A Bloomberg article last week flagged to […]

CE3 Currencies and Derivatives Clearing

Did you know that volumes in CZK interest rate derivatives have increased ten-fold in the past five years? CZK is now the largest Rates market amongst CE3 currencies. In the same time-period, HUF cleared markets have actually shrunk. PLN markets have grown by about 50%. Did the expiry of the Exchange Rate Commitment in CZK […]