ESG Investments – A first look at the detail

We have all seen ESG, as in Environmental, Social and Governance, bandied around as a new(ish) buzz word in Finance, so today I wanted to take our first dive into this topic. Background We can define ESG as a set of non-financial factors that are used as criteria to compare a companies impact on the […]

Have You Seen This New Idea for Execution Analysis?

In a quick blog today I summarise a recent report from the FICC Markets Standards Board about execution analysis in our markets. And suggest a potential way forward… The Who? First off, it is worth highlighting the role the FMSB intends to play in our markets: In their own words: The Fixed Income, Currencies and […]

US SEFs now have 50% share of EUR iTraxx

We covered EUR iTraxx very briefly in last weeks blog New Brexit Rules Move $4trn of Derivatives to the US, so today I will take a deeper look into these Credit Index Derivatives volumes. SEF Volumes Using SEFView we can isolate gross notional volumes in EUR Credit Index Derivatives, meaning the iTraxxEurope family. Showing a […]

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 […]