Did The Latest USD Move Really Result In Blood On The Street?
Disclosure: This blog was written on the BA723 GVA-LHR flight. Well done to BA for making WiFi finally available on European short-haul flights. It is a little more brief than usual, but hurrah to be travelling again. With the Fed “in-session” right now, there has been a decent move higher in short-end USD rates over […]
Cleared Swap Volumes and Share – 3Q 2021
USD IRS volumes elevated due to FRA to SPS change SOFR Swaps at record highs EUR IRS volumes flat, Eurex share also flat €STR Swaps a record month JPY IRS volumes down, OIS record, JSCC increasing share over LCH AUD Swaps up QoQ, down YoY, LCH higher share iTraxx Europe, volumes up, ICE Clear Credit […]
What’s New in CCP Disclosures – 2Q21
Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Initial margin for IRS steady in the range $250-270 billion range for 5 quarters Initial margin for CDS at $58 billion drifting down 3% QoQ and 12% YoY Initial margin for selected ETD at $440 billion up 5% YoY Initial margin increases at OCC, ICE Europe F&O, Eurex OTC IRS, LCH CDSClear, ASX CLF Explanatory Notes are […]
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 […]