USD Swaps Market vs Futures Market Size

What is the biggest market in USD Rates? Are futures bigger than swaps? Are cash bonds even bigger? We build on important research from both CME and the CFTC to try to answer those questions. We look at Clarus data to measure the DV01 traded in both swaps and futures in long-end USD Rates. We […]

Test Data for the Cumulative Trivariate Normal Distribution

Using Java I implemented the double precision algorithm to compute the cumulative trivariate normal distribution found in A.Genz, Numerical computation of rectangular bivariate and trivariate normal and t probabilities”, Statistics and Computing, 14, (3), 2004. The cumulative trivariate normal is needed to price window barrier options, see G.F. Armstrong, Valuation formulae for window barrier options”, […]

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 […]

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 […]