Recreating the RFR Adoption Indicator
This blog is unashamedly targeted at our data subscribers. Specifically, those of you interested to replicate our RFR Adoption Indicator. Read on for your “cut out and keep” guide to RFR data. A Bit of History Clarus and ISDA teamed up way back in 2020 to “help derivatives market participants keep tabs on progress to […]
What’s new in CCP Disclosures – 4Q24
Clearinghouses have published their latest CPMI-IOSCO Quantitative Disclosures: Background Under the CPMI-IOSCO Public Quantitative Disclosures, central counterparties (CCPs) publish over 200 quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing, and more. CCPView has more than 8 years of these quarterly disclosures for 44 clearinghouses, each with multiple Clearing Services, covering the period from 30 September […]
Swapalypse Now
(FT Alphaville came up with the “apocolypse/swapscalypse” first. I am not that clever). Hello Swap Spreads As the link to Alphaville shows, the market narrative is adding USD swap spreads to the “people are worried about the basis trade” theme. Whilst there is potentially more notional tied to the basis between cash USTs and CME-traded […]
What You Need to Know About KRW Swaps
Where do KRW Swaps Rank on the Global Picture? CCPView allows us to compare the relative size of KRW swap markets to other currencies. Taking out the “G6” – USD, EUR, GBP, AUD, CAD and JPY – we see the below: Showing; Are All Volumes Cleared at LCH SwapClear? Our CCPView data shows that almost all […]
What Would a Liberation Index Look Like?
Today is meant to be Trump’s so-called “Liberation Day” with tariffs potentially being activated with some of the largest trading partners of the US. It is surely no coincidence that it is happening on April Fool’s Day. Just for the sake of it, I wondered what a “Liberation Index” might look like. What are the […]