LIVE BLOG: RFR First in Cross Currency Swaps
There are some blogs I look forward to writing – this is one of ’em! Circled in our diaries for quite some time has been Tuesday September 21st. This is when the Cross Currency Swaps market is expected to follow the lead of the recent SOFR First initiative and start the transition away from LIBOR […]
RFR trading is now at 50% in CHF and JPY!
The latest ISDA-Clarus RFR Adoption Indicator presents some truly incredible numbers in August 2021. On to the details. August 2021 The headline RFR Adoption Indicator increased to a new all time high of 17.5% in August 2021. The chart looks particularly healthy: August 2021 was the first month where SOFR First really demonstrated its impact […]
Our Sale to ION
Following on from our announcement that ION acquires Clarus Financial Technology, I wanted to provide some color on the rationale for the deal and what it means going forward. The Rationale After almost a decade as an independent firm why did we decide to become part of ION Group and more specifically ION Markets? A […]
Latest EUR Swaps market share for CCPs and SEFs
Eurex EUR share stands at 7-9% when measured by DV01. Globally, August 2021 saw the lowest EUR IRS volumes in the past 5 years. 23% of EUR IRS executes on-SEF. 60% of EUR CRD Index volumes now execute on-SEF. And we look at where clearing of EUR CRD Index trades is taking place. Now that […]
August 2021 – What Happened?
SOFR trading now accounts for 30% of the USD market. This is as a direct result of the SOFR first initiative. Elsewhere, US markets have been in the midst of a Summer lull. Volumes outside of SOFR were around 15% lower than other weeks in 2021. We look forward to updating the ISDA-Clarus RFR adoption […]
SOFR First – Week One
SOFR First as a prioritization of interdealer trading in SOFR over LIBOR, recommended that on July 26, 2021 and thereafter, interdealer brokers replace trading of LIBOR linear swaps with SOFR linear swaps. Last week we covered Day One and Day Two of SOFR First, so today I will review week one. Increase in SOFR Swaps In SDRView Res, […]
SOFR First – Day Two
We covered the first day of SOFR First in our Live Blog on Monday, and today I wanted to take a look at the first two days of SOFR trading. Increase in SOFR Swaps Using SDRView Researcher, we can easily see the increase in SOFR risk traded: From under 4%, we see a jump to […]
SOFR First – LIVE Blog
Good morning, happy Monday and welcome to SOFR First day! SOFR activity accounted for 18% of the market (18:30pm London time). Today, Monday July 26th, is when a global initiative coined “SOFR First” comes into play for interbank markets. As per the CFTC MRAC announcement two weeks ago: SOFR First represents a prioritization of trading […]
Clearing Mandates and new Trading Obligations – regulatory change is happening.
The UK and Europe are currently consulting on both the Derivatives Clearing and Trading Obligations. Clarus are worried that the UK consultations risks a significant loss of transparency to markets. Particularly for USD. There appears to have been silence out of the CFTC on these important subjects. Europe has proposed covering some RFRs in the […]
What’s new in CCP Quant Disclosures – 1Q21
Clearing Houses just published their CPMI-IOSCO Quantitative Disclosures, lets look at what’s new: Initial margin for IRS is now down from record highs of Mar 2020 Initial margin for CDS similarly down Initial margin for ETD up QoQ and down YoY Cash Deposited at Central banks continues to increase (ASC, CME, OCC, …) Commensurate drops in marketable collateral convertible to cash LCH Clearnet percentage income from […]