What’s New in CCP Quant Disclosures – 1Q22?

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Initial margin for ETD at $571 billion is up 12% QoQ and 29% YoY Initial margin for IRS at $269 billion is up 3% QoQ and 7% YoY Initial margin for CDS at $66 billion is up 10% QoQ and 10% YoY LME Disclosures provide insight into the Nickel crisis Other CCP disclosures with record highs Background […]

SOFR is now over half the market

The ISDA-Clarus RFR Adoption Indicator jumped to a new all-time high of 46.0% in May 2022. SOFR adoption cracked 50% (just!) of the market. 21.8% of EUR risk traded versus €STR, dipping slightly from last month’s all time high. We look at SEF activity in SOFR. The ISDA-Clarus RFR Adoption Indicator for May 2022 has now been published. […]

Mechanics and Definitions of SA-CCR (Part 3)

Please note: this is Part Three of a series. Part one of the story for SACCR provided critical background regarding key terms and concepts. Part Two covered the Maturity Factor and how different CSAs and/or treatments of derivatives impact SACCR calculations. We now need to look at how the SACCR calculations unfold in terms of netting. […]

FX Clearing 2022

We look at the growth in cleared volumes across FX products. NDFs now see over $1Trn cleared in a single month. Open Interest has grown significantly in the past two years. NDFs in 8 currency pairs dominate cleared OTC volumes. For those interested in uncleared markets, and particularly FX, it may be interesting to know […]

CDS Data Made Simple

SBSDRView from Clarus takes transaction level transparency data and makes it simple to use, aggregate and monitor. We look at the most active corporate names in single name CDS trading since records began. We find that a significant portion of activity in concentrated in the Top 10 names, with close to half of all volumes […]

Most Active CDS Single-names

We recently published the blog Most Actives in CDS Trading, which covered the use of our API to access SEC SBSDR transaction data. This included python code to perform look-ups on security identifiers and build a table of the most active names traded in a given period. While simple enough to do for those with […]

For the first time, we see over $1Trn in Initial Margin

Total Initial Margin across the industry has now topped $1trn for the first time. Initial Margin requirements across the industry have increased by $725bn since 2016. This drives the need for more optimisation. We look at the data and benchmark the ISDA projections from way back in 2015. Capitolis First this week, a recommendation. No […]

1Q22 CCP Volumes and Share in CRD

A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 1Q 2022. Index, Single-name and Swaptions Volumes significantly higher in 1Q22 than a year earlier USD CDX up 50% and CDS up 37% EUR iTraxx up 80% and CDS 27% ICE Clear Credit 97.5% in USD CDX ICE Clear Credit […]

Interest Rate Swaps made easy – What You Should Know

An Interest Rate Swap (IRS) is a financial derivative that is widely traded. This blog defines an interest rate swap and its practical uses. Why the parties involved would choose to carry out an IRS. What the possible risks of an interest rate swap are. About the Author Jake is 17 years old and studying […]