SOFR Futures and Swaps – May 2020

Open Interest in both Futures and Swaps is increasing Record volumes in recent months Volumes by CCP or SEF Basis and OIS Swap products Clarus Data Products provide insights Monthly Volumes in 2020 In CCPView we can view both volume and open interest by month. CME ETD with $5.2 trillion of Futures volume in Mar-20, […]

Procyclical margins in the time of Covid-19

I recently read an interesting BIS Bulletin, titled “The CCP-Bank nexus in the time of Covid-19”, by Wenqian Huang and Elod Takis (available here), with the following key takeaways: The specific part I am going to focus on today is the third bullet point, “higher margins should be expected but the extent of procyclicality or […]

Are USD Rates About to Go Negative?

Over $95bn in Fed Funds swaps have traded at negative rates. The lowest recorded rate so far was close to minus 7 basis points. Swaps all the way out to 3 year maturities have traded in negative territory. When does the market expect negative rates and how large will the cut be? A GIFT! On […]

Cross Currency Swap conventions in an RFR world

In January 2020, the ARRC published the final recommendations for cross-currency swap conventions. It should be noted that the recommendations are primarily directed towards dealer-dealer trades and the publication points out that dealer-end user trades may require different structures. I have commented previously on potential options in AUD markets and more generally for other currencies. […]

Swaps Data: Record Trading Volumes in March

My monthly Swaps Review looks at cleared volumes in the most recent 3-month, covering Volumes Feb-Apr 2020 compared to Feb-Apr 2019 Interest Rate Swaps in USD, EUR, JPY Credit Default Swaps FX Derivatives (NDF, FXO) CDS was the standout with almost twice the monthly volume in March 2020, while USD IRS and NDF both achieved […]

CFTC Block Trading Consultation May 2020

Our analysis shows that more blocks transacted than ever before in March 2020. More volume traded as a block on-SEF in March. There is no difference in Price Dispersion between block and non-block trades during both normal and stressed market conditions. The current 15 minute delay in reporting for block trades has no negative impact […]

How Much Margin? 2019 Edition

We analyse how much Initial Margin is being held versus derivatives in 2019. This covers cleared and uncleared OTC derivatives, plus exchange traded contracts (Futures and Options). It is difficult to perform the same analysis for Variation Margin. We take a look at the latest ISDA Margin Survey to see if it holds the answers. […]

CME-LCH Basis Spreads Turn Negative

We last looked at CME-LCH Basis in August 2019 in CME-LCH Basis Narrows to Four Year Low and as there has been significant volatility in the last few months, high time we looked at this again. Background For Swaps that are economically the same, it is non-intuitive that the fixed rate should be different depending […]

SFTR Reporting – Public Data

For some time now I have been noting, but not reading, articles about the Securities Financing Transactions Regulation (SFTR) being implemented in Europe, so today I wanted to take my first look into this regulation. Background The ESMA website has a good section on SFTR Reporting, so I will copy & paste liberally from that, […]