The latest on RFR Adoption
The ISDA-Clarus RFR Adoption Indicator recorded another all-time high of 46.4% in June 2022. SOFR adoption was at 49.7% of the market. 23.8% of EUR risk traded versus €STR, a new all time high. June 2022 saw the largest notional ever traded in RFRs, at $86.5Trn. The ISDA-Clarus RFR Adoption Indicator for June 2022 has now been published. […]
2Q22 CCP Volumes and Market Share in IRD
Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparisons of volumes. Today we look at 2Q22 Volume and market share in IRD for: USD Swaps (LIBOR, OIS, SOFR) EUR Swaps (EURIBOR, OIS, €STR) GBP Swaps (LIBOR, SONIA) JPY Swaps (IBOR, TONA) AUD Swaps (BBSW, […]
2Q22 CCP Volumes and Share in CRD
A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 2Q 2022. Index, Single-name and Swaptions Volumes lower in 2Q than 1Q but massively higher than 2Q 2021 USD CDX volumes up 100% in 2Q 2022 than 2Q 2021 ICE Clear Credit with 97.2% share of volume in USD CDX […]
Are Inflation Expectations Becoming Entrenched? The Data.
With inflation front and centre of everyone’s mind, let’s test a simple hypothesis. If inflation expectations are becoming entrenched – i.e. people expect inflation to be elevated for a longer period – is there evidence of this in trading activity? What evidence might we see? There are two potential signals: More trading activity in Inflation […]
Did You Know That SACCR Now Makes FX Trading More Expensive?
This week I want to pull together two of my recent blogs: FX Clearing 2022 Mechanics and Definitions of SACCR (part 3) I was fully expecting to see a “SACCR effect” on the amount of FX Clearing we see in 2022. Let’s look into the details below. Widening Spreads FX and SACCR have made the […]
What’s New in CCP Quant Disclosures – 1Q22?
Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Initial margin for ETD at $571 billion is up 12% QoQ and 29% YoY Initial margin for IRS at $269 billion is up 3% QoQ and 7% YoY Initial margin for CDS at $66 billion is up 10% QoQ and 10% YoY LME Disclosures provide insight into the Nickel crisis Other CCP disclosures with record highs Background […]
SOFR is now over half the market
The ISDA-Clarus RFR Adoption Indicator jumped to a new all-time high of 46.0% in May 2022. SOFR adoption cracked 50% (just!) of the market. 21.8% of EUR risk traded versus €STR, dipping slightly from last month’s all time high. We look at SEF activity in SOFR. The ISDA-Clarus RFR Adoption Indicator for May 2022 has now been published. […]
Mechanics and Definitions of SA-CCR (Part 3)
Please note: this is Part Three of a series. Part one of the story for SACCR provided critical background regarding key terms and concepts. Part Two covered the Maturity Factor and how different CSAs and/or treatments of derivatives impact SACCR calculations. We now need to look at how the SACCR calculations unfold in terms of netting. […]
FX Clearing 2022
We look at the growth in cleared volumes across FX products. NDFs now see over $1Trn cleared in a single month. Open Interest has grown significantly in the past two years. NDFs in 8 currency pairs dominate cleared OTC volumes. For those interested in uncleared markets, and particularly FX, it may be interesting to know […]
CDS Data Made Simple
SBSDRView from Clarus takes transaction level transparency data and makes it simple to use, aggregate and monitor. We look at the most active corporate names in single name CDS trading since records began. We find that a significant portion of activity in concentrated in the Top 10 names, with close to half of all volumes […]