What Traded On-SEF in 2018?
We look at what traded on- and off-SEF in 2018 across Rates and Credit markets. As a result of the CFTC’s proposed rule, we look at what is voluntarily trading on-SEF at the moment. We find that most voluntary SEF executed volumes are in USD-denominated FRA and OIS products. Liquidity is shown to be very high for SEF-executed, standardised […]
Swaps Data: SOFR volume and margin insights
My monthly Swaps Review in Risk Magazine looks at: IBOR benchmark reform CME SOFR Futures SOFR Swaps Uncleared margin rules Swaptions NDF in major ccy pairs Please click here for free access to the full article on Risk.net
What Traded Off-SEF in 2018?
We look at what traded off-SEF in 2018 across Rates markets. As a result of the CFTC’s proposed rule, we look at products that are mandated to clear. We find that most off-SEF volumes are in short-dated FRA and OIS products. For Fixed-Float traded off-SEF, 75% of it is forward starting. Introduction We are always […]
Growth in RFR Markets: Is 2019 the pivotal year?
I have previously written about the changes to derivative markets and the ways they are accommodating and adjusting to replacing Libor. Trades which reference Libor and other like benchmarks are gradually being replaced with RFR trades across many currencies and products as 2021 draws ever nearer. In this blog I will look at some recent […]
Counterparty Risk: Some way to go for Derivatives
Ten years after the Great Financial Crisis of 2008, we may interpret figures such as only 18% of new trades in OTC interest rate derivatives are now uncleared, to mean that uncleared derivatives now represent a small amount of counterparty risk. However as I will show in this article, this is not true and there […]
2018 CCP Market Share Statistics
In this article I look at 2018 CCP market share for OTC Derivatives in Credit, FX and Interest Rates, in the same format as I used for my 2017 CCP market share statistics article. Clarus CCPView has daily volume data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparison of market share statistics and I have […]
JPY Swaps – A Market Overview
JSCC has enjoyed a 63% market share in vanilla JPY IRS versus LCH over the past year. The market shares vary by tenor and month-by-month. JPY OIS trading is a very small market. LCH is the leading CCP in this market with a 67% market share. JPY single currency basis trading remains a large market […]
Clearing House Disclosures 3Q 2018 – Some Surprises
Clearing Houses 3Q 2018 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my CCP Disclosures 2Q 2018 article. Summary: IR Swaps margin decreases for the first time quarter-on-quarter LCH SwapClear Client margin is lower ETD margin is up quarter-on-quarter CME ETD Client margin is higher New disclosures on the default […]
Title VII 2.0: SEF re-regulation
More than 10 years after the fall of Lehman Brothers, and with limited changes for several years you might be forgiven for the impression the CFTC is done with SEF regulation. Not so. With a full complement of commissioners recently approved, CFTC has started the Dodd-Frank Title VII re-regulation ball rolling. CFTC has published proposed […]
Mechanics and Definitions of Carry in Swap Markets
We take a look at the cost of carry in Interest Rate Swap trading. We analyse both 2y vs 10y curve trades and a simple spot starting 10y trade. We also take a brief look at exchange traded derivatives to estimate the carry on short-term interest rate futures. Positive carry trades can provide a strong […]