Are Fed Funds the latest winner from benchmark reform?
This is a follow-up to an RFR Adoption blog that I wrote in November: In that blog, I noted that Fed Funds seemed to be settling at around 10% of the USD market (excluding LIBOR, which continued to print in relatively large size every month in 2022). However, last week I noticed the following Linkedin […]
2022 CCP Volumes and Share in CRD
A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 2022. All the charts and detail from CCPView. CRD by Currency USD CDX, CDS and Swaptions CDX volumes at $12.9 trillion, representing 91% of USD volume with single-name 7.5% and CDXSwaptions volumes six times higher in 2022. USD CRD Index Series […]
Cross Currency Swap Review 2022
With Cross Currency Swap blogs continuing to perform well on the Clarus Blog each year, let’s take a look at what traded during 2022. SDRView Volumes SDRView shows the monthly volumes transacted of Cross Currency Basis swaps. These are, on the whole, the vanilla interbank type of mark-to-market cross currency swaps. Showing; SDRView also shows the DV01 […]
2022 CCP Volumes and Market Share in IRD
2022 volumes and market share for OTC Derivatives in Interest Rates reported by Clearing Houses. Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalised and aggregated to allow meaningful analysis and comparisons. Contents: Onto the charts, data and details. Volumes and Market Share For major currencies and regions, vanilla swaps referencing IBORs and […]
Can $62Trn really be about to simply disappear?
As January slips by, we will shortly be staring at June 30th 2023 when USD LIBOR will finally cease publication. Whilst all signs suggest that LIBOR transition in USD markets will be just as smooth as in GBP, JPY and CHF last year, it is worth just pausing and noting how large the USD LIBOR […]
SDR – Trading Venues and Packages
Late last year, on Dec 5th, US Swap Data Repositories (SDRs) went live with CFTC’s amended swap data reporting framework (a.k.a CFTC re-write). This incorporates CPMI-IOSCO harmonised data elements (e.g. UTI and UPI) and introduces new data elements. For CFTC Part 43 public dissemination, there are two very interesting new data elements: Let’s look at […]