3 New Fed Fund Charts You Need to See
$2.5trn in OIS swaps versus Fed Funds were executed in December 2020. This compares to $364bn for SOFR OIS. We run through the data for the global market, the US market and the basis swap markets. As we continue to compile data for our response to the IBA Cessation of LIBOR consultation, a natural question […]
What’s new in CCP Quant Disclosures – 3Q20?
Clearing Houses just published their latest CPMI-IOSCO Quantitative Disclosures, which are for the quarter ending 30-Sep-2020, so lets look at what’s new in the data. Initial margin for IRS down 3% from the high on 31-Mar-20 Initial margin for CDS down 7% from the high Initial margin for ETD down 13% from the high Each as expected given the lower price volatility ASX and […]
2020 CCP Volumes and Market Share in IRD
In this article I look in detail at the 2020 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 comparisons of volume and has been used to produce all the charts below. Table of […]
Cessation of LIBOR: Why is so much new risk still being transacted?
Q4 2020 saw $7.0bn DV01 of new USD-LIBOR* linked activity written in OTC derivatives markets. It is a similar story in GBP ($4.5bn DV01), JPY and CHF markets. Why is so much new risk being written against these indices when they are due to cease imminently? Responses to the IBA consultation on a possible cessation […]
Cross Currency Swap Review 2020
I was fortunate enough to be able to write about Cross Currency Swaps a few times during 2020. At the height of the market turmoil in March and into April, I wrote about: Cross Currency Swaps Trading During a Crisis Mechanics of Central Bank FX Swap Lines Central Bank Responses to COVID-19: FX Swap Arrangements […]
2020 SEF Market Share Statistics
In this article I look at 2020 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my 2019 SEF Market Share Statistics. Summary: CRD Index, Option and Tranche products Volume in USD up 17% and in EUR up 12% March 2020 a huge month […]
Our Top Blogs and Stats of 2020
For our last blog of the year, I wanted to highlight our top blogs and share a few statistics. Top New Blogs in 2020 Starting with a list of the most popular new blogs that we published in 2020. The top three with > 2,000 views each and a total of 30,000 views for the […]
Toxic FRAs, Fallbacks and Single Period Swaps
Whilst we continue drafting responses to the pivotal ICE consultation on LIBOR cessation, I have been looking through the data to see how LIBOR cessation is already changing trading behaviour. Away from the global RFR Indicator, which looks at all linear derivatives, there are certain products that have already been affected. Most notably, the FRA […]
Credit Index Options – Dec 2020
Clearing of Credit Index Options is a product to watch in 2021 with recent announcements from both ICE Clear Credit and LCH CDSClear. In early November, ICE launched clearing for Options on CDX NA.IG and CDX.NA.HY In early December LCH CDSClear went live with Options on CDX.NA.IG and CDX.NA.HY To add to those on iTraxx […]
Libor pre-cessation announcement – how wrong was the market?
In November I looked at the risk implications of a LIBOR pre-cessation announcement which was widely expected in December 2020. Basis markets such as SOFR/USD LIBOR and SONIA/GBP LIBOR clearly priced the spread to be fixed at the announcement in December (i.e. over the next month or so) and that the fallbacks would take effect […]