A First Look at Total Return Swaps

We are now getting our hands dirty with new public transparency data. Amir has covered this in a couple of blogs recently, and I have also used the Russian Federation CDS data from SBSDRs. For this blog, we’ll look in more detail at Total Return Swap data for Equities. What Is a Total Return Swap? […]

What’s New in CCP Disclosures – 4Q21?

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Initial margin for ETD at $507 billion is up 8% QoQ and 21% YoY Initial margin for IRS at $261 billion is up 4% QoQ but down 3% YoY Initial margin for CDS at $60 billion is flat QoQ and up 1.5% YoT Initial margin increased significantly at ICE Europe F&O and Eurex OTC IRS Other disclosures […]

Have You Seen This 60% Decrease In RUB Derivatives?

We run through activity in RUB Rates, CDS and FX markets. Data shows that CDS markets are continuing to trade, with 25-30 cleared trades every day. Risk is reducing, with Notional Outstanding in CDS reducing most days. RUB NDFs have seen Notional Outstanding reduce by 60% recently. RUB IRS Markets To start with, I will […]

Latest Data Shows SOFR Trading Soaring

The ISDA-Clarus RFR Adoption Indicator jumped to a new all-time high of 40.5% in March 2022. This has been driven by increased SOFR adoption, hitting a new high of 41.1%. SOFR is now comfortably the largest RFR market. More SOFR risk trades ($11bn DV01) per month than all other RFRs combined.  20.2% of EUR risk traded versus […]

Swaption Volumes by Strike Q1 2022

Swaptions activity has reacted to the huge sell off we have seen in Fixed Income markets during Q1 2022. There are no volume records being broken in Swaptions but we update one of our popular blogs from 2021 with fresh data. We take a look at Swaption strikes traded throughout the quarter. And we break-down […]