Here Are 6 Things I learnt after writing 400 blogs
The Numbers If I get the publishing date right, this should come up as my 400th blog for Clarus. We have a mini “leader board” on our website, and you will see that Amir is (just) ahead of me – not for long! Looking at my history on the blog: My very first blog was […]
What is new in GBP Swap Markets?
We look at vanilla swaps, inflation swaps and futures. Some markets have seen volumes reduce by over 50%. Whilst others recorded all-time record volumes in August 2022. What is driving such different outcomes across a single derivatives market? With Liz Truss the newly anointed Prime Minister, the FT had an interesting take on UK markets […]
Microservices to monitor new Inflation data
Here on the Clarus blog, we anticipated that LIBOR cessation in GBP, JPY and CHF would usher in simpler markets and “easier” trading this year. Less indices, less basis, fewer restructuring requests. Heaven forbid, fewer blogs even! However, 2022 has seen two big market themes step up that have provided plenty to write about – […]
CDS Volumes now $6.6Trn higher than last year
Credit Derivative volumes have been huge in 2022. YTD volume data shows that 2022 will likely see all-time record volumes. Volumes are already $6.6Trn larger than at the same point in 2021. We analyse the Cleared market in Index and Single Name CDS. SBSDRView reveals the most active names across uncleared and cleared CDS. We’ve […]
Do you know what LIBOR cessation has done to volumes?
I wanted to follow up on two of our 2022 blogs to estimate the impact on overall volumes in GBP, JPY and CHF markets of LIBOR cessation (which was only 7 months ago, believe it or not!). DECIPHERING THE END OF LIBOR IN THE DATA THE ENDGAME FOR BASIS SWAPS? All of the data in […]
SOFR Futures are now bigger than Eurodollars
The ISDA-Clarus RFR Adoption Indicator retained its all-time high of 46.4% in July 2022. SOFR adoption hit a new record at 51.7% of the market. 20.3% of EUR risk traded versus €STR, below last month’s all-time high. July 2022 was a relatively quiet month for trading activity, with the total risk traded falling by ~25% from last […]
Are We In A Summer Lull?
I take a look at the volume data for July 2022 in CCPView to see whether we have now hit the quiet weeks of summer trading. Cleared OTC Rates Volumes As always, Cleared Rates markets provide a great barometer of overall market activity. They are the largest OTC markets and the most transparent. Showing; Notional […]
Most Active Equity Total Return Swaps
Since our First Look at Total Return Swaps blog, we have added a Most Actives view in SBSDRView. This identifies the most active stocks on which TRS are transacted and below I look at what this data shows. Number of trades The two main derivative products in SBSDRs for Equities are Total Return Swaps (TRS) […]
Cross Currency Volumes head to the moon!
I keep a close eye on what is going on in Cross Currency Swaps, but somehow I missed quite how significant the past few quarters have been in terms of volumes traded. Let’s take a look. All-Time Record Volumes Taking a look in SDRView shows significant volumes in EURUSD and GBPUSD during 2022: The chart […]
The Endgame for Basis Swaps?
Interest Rate Basis Swaps can be categorised into two distinct types, with floating sides/legs which reference either: Distinct reference indices e.g. USD Libor 3M vs Fedfunds, or Tenor Basis e.g. USD Libor 3M vs 6M Basis Swaps are used to hedge or trade the basis spread between the reference indices or Libor tenors and are […]