Will today be Day One of the LIBOR end game? It should be, according to the latest “Dear CEO” letter from David Bailey, Sarah Breeden and the FCA: ‘Transition from LIBOR to Risk Free Rates’. The end of Q1 2021 is meant to have signaled the last day for business as usual linear GBP derivatives […]

What role can credit derivatives play in ESG-themed trading strategies? As we continue to explore the ever-expanding world of ESG-linked derivatives, we look at primary market issuance in 2021 and the links with the CDS market. Introduction There are many “beginner guides” to ESG out there. Of the many we’ve trawled through, I suggest checking […]

We look at recent Average Daily Volume (ADV) and Open Interest (OI) of the major IR futures: Money Market and Bond Futures AUD, BRL, CAD, CHF, EUR, GBP, JPY and USD Relative size by ADV and OI on a comparable dollar notional basis Trends and market share in SOFR, SONIA and GBP Libor MM Futures […]

Brexit has now moved…. $1.3Trn of EUR and GBP IRS $169bn of EUR ITraxx and $46Trn of SPS and FRAs …onto US-based SEF venues. Barely a day has passed in 2021 without Clarus receiving an enquiry about Brexit. Our data looking at both where trades are executed and where trades are cleared has been in […]