RFR Adoption Update

We have had a number of people reach out and ask when the RFR Adoption Indicator will next be updated. It is a great vindication of all of the hard work that has gone on over the past 4 years (and even longer when you consider the wider work on LIBOR cessation, Fallbacks and Benchmark […]

€STR Volumes and Market Share

Very occasionally, the data writes a blog for me. This is one of those times, with three particular highlights: €STR Futures I have slightly tweaked our €STR Dashboard, which summarises key liquidity attributes in this growing market: Showing; The really large volume days at Eurex have not materially added to the Open Interest yet, where-as […]

What’s New in CCP Disclosures – 4Q23?

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Background Under the CPMI-IOSCO Public Quantitative Disclosures, CCPs publish over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing and more. CCPView has over 8 years of these quarterly disclosures for 44 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep […]

Cable Cross Currency Swaps 2024

Issuance A particular headline in the FT recently piqued the interest of this blogger: Like a moth to a flame, I was drawn to the statement: The demand has helped push a number of continental European companies to issue sterling debt for the first time in recent months, including German real estate company Vonovia, German […]

Best Practices for Variation Margin

No one wants to be called in default by a CCP during stressed markets as a result of operational complexity/failures – much as ICE & Citi stated regarding March 2020: So today I follow up on our Clarus blogs (and podcast!) regarding members requirements at CCPs. For example, you can take a look at the […]

2023 SEF Volumes and Share in SOFR Swaps

Background In May 2023, I published a blog on IDB Market Share in SOFR Swaps, which used data we collect, filter and enhance in pur SDRView product. The blog looked at the type of SOFR Swaps that trade on Inter-Dealer Broker (IDB) SEF venues, also referred to as Dealer-to-Dealer (D2D venues); namely Spreadovers, Curves and […]