We have previously noted that EUR Rates are now larger than USD Rates in terms of notional traded across OTC swaps (see here and here). This change has arisen because EUR has continued in a multi-rate environment – both €STR and EURIBOR swaps still trade, whilst USD has largely moved to SOFR, with Fed Funds […]
Another interesting article on the ION Markets Blog provides an introduction to Swaps Compression, for those not familiar with this or just needing a referesher on the what and why, please read at Swaps Compression: What is it and why is it important?
Now seems like the right time to call an end to the regular series of blogs that we have been writing about the ISDA-Clarus RFR Adoption Indicator. Consider today’s blog your “cut-out and keep” guide to one of the biggest changes the derivatives industry has ever witnessed. A Brief History The Indicator was first published […]
My colleagues Ed Tyndale-Biscoe and Chris Brown published an article on the ION Markets Blog, which is well worth a read at Repo: The heart of the global financial system and why the SEC took action.
According to the FT, we need a dose of optimism at the beginning of 2024. What about these statistics to provide you with an uplifting outlook for the New Year? 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. […]
A review of Credit Derivatives (CRD) and FX Derivatives (FXD) volumes and market share at Clearing Houses (CCPs) in 2023. All the charts and detail from CCPView. Credit Derivatives Volume USD CDX, CDS and Swaptions CDX volumes at $11 trillion, representing 89% of USD volume with single-name 9% and CDXSwaptions just 1%. Market Share of USD […]
Happy New Year everyone. My New Year has started by tackling 172 pages of FCA consultation – lucky me! In Summary Context The UK rules for pre- and post-trade transparency were largely inherited from MIFID II post-Brexit. In case any of our readers are not familiar with MIFID II transparency – it doesn’t work. We […]
2023 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 […]