SFTR Public Data
In April I covered Securities Finance Transaction Reporting (SFTR) and ended that article by stating that I would check back end July for the first set of public reports from Trade Repositories. As there are four authorized Trade Repositories (DTCC, Regis-TR, UnaVista and KDPW), I had expected to look for the weekly data files published […]
ISDA-Clarus RFR Adoption Indicator Analysis – June 2020
4.7% of derivatives risk was transacted versus an RFR in June 2020. June 2020 was a record month for the proportion of risk transacted versus SOFR in USD markets. €STR is at the beginning of adoption following the CCP discounting switch last week. JPY TONA sees a significant proportion of risk transacted in longer maturities. […]
ISDA-Clarus RFR Adoption Indicator
The ISDA-Clarus RFR Adoption Indicator was at 4.7% in June 2020. This indicator measures the risk-weighted (DV01) percentage of trading activity that takes place in RFR products. Five further sub-indicators have been developed in conjunction with ISDA, providing market participants with granular transparency into RFR activity. Check out the first publication to learn about RFR […]
Managing IBOR Transition – Fallback Spreads
Last month I wrote about the potential for a very non-linear transition when LIBOR is discontinued. This was also covered in a recent Risk article: ‘Beware the cliff edge in Libor fallbacks’. The impending announcement on the timing of LIBOR cessation process was covered by Chris Barnes earlier this month, Also with the potential for […]
€STR Discounting Switch
I’m sure that I am not the only one sat here wondering how the switch from EONIA to €STR discounting went at the CCPs over the weekend? As far as I understand it, the change in valuation (cash compensation) amounts should have settled on Monday (July 27th) morning. Will this switch lead to activity in […]
Clarus at the CFTC
Clarus were invited along to the CFTC’s Market Risk Advisory Committee on July 21st, for which we are very thankful. It was a great session, and we hope provided an opportunity to highlight to all market participants how vital transparency was to the smooth functioning of markets during March 2020. We presented on “Rates OTC […]
CCP Swap Volumes and Share – 2Q 2020
In today’s blog, I look at interest rate swap volumes and CCP market share in major currencies, focusing on 2Q 2020 and comparing QoQ and YoY figures. After the massive volatility and volume we saw in 1Q 2020, the most recent quarter was much quieter. Even so, there are interesting changes in volume and market […]
Margin Calls During COVID-19
John Maynard Keynes said in the 1930s; The market can stay irrational a lot longer than you can stay solvent. Keynes Since March 2020, the bounce-back in almost all “risky” assets since the nadir of the crisis has been breathtakingly sharp: Motivated by Amir’s blog last week on Initial Margin, I got to wondering how […]
CAD CORRA Futures and Swaps
We last covered CAD Rates Markets and CORRA Reform in Oct-19, so I wanted to look at what’s new and in particular the news that TMX launches CORRA Futures. Background on CORRA The Bank of Canada took over the calculation and publication of the Canadian Overnight Repo Rate (“CORRA”) on June 15, 2020 , subsequent […]
Clearing House Margin calls in Q1 2020
Clearing Houses have recently published data on the magnitude of margin calls they made in Q1 2020 and these are interesting to say the least. Given the massive price volatility we observed in March across all asset classes, we knew these were going to be big numbers, so let’s dive into the detail. Variation Margin […]