Are Fed Funds the latest winner from benchmark reform?
This is a follow-up to an RFR Adoption blog that I wrote in November: In that blog, I noted that Fed Funds seemed to be settling at around 10% of the USD market (excluding LIBOR, which continued to print in relatively large size every month in 2022). However, last week I noticed the following Linkedin […]
2022 CCP Volumes and Share in CRD
A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 2022. All the charts and detail from CCPView. CRD by Currency USD CDX, CDS and Swaptions CDX volumes at $12.9 trillion, representing 91% of USD volume with single-name 7.5% and CDXSwaptions volumes six times higher in 2022. USD CRD Index Series […]
Cross Currency Swap Review 2022
With Cross Currency Swap blogs continuing to perform well on the Clarus Blog each year, let’s take a look at what traded during 2022. SDRView Volumes SDRView shows the monthly volumes transacted of Cross Currency Basis swaps. These are, on the whole, the vanilla interbank type of mark-to-market cross currency swaps. Showing; SDRView also shows the DV01 […]
2022 CCP Volumes and Market Share in IRD
2022 volumes and market share for OTC Derivatives in Interest Rates reported by Clearing Houses. Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalised and aggregated to allow meaningful analysis and comparisons. Contents: Onto the charts, data and details. Volumes and Market Share For major currencies and regions, vanilla swaps referencing IBORs and […]
Can $62Trn really be about to simply disappear?
As January slips by, we will shortly be staring at June 30th 2023 when USD LIBOR will finally cease publication. Whilst all signs suggest that LIBOR transition in USD markets will be just as smooth as in GBP, JPY and CHF last year, it is worth just pausing and noting how large the USD LIBOR […]
SDR – Trading Venues and Packages
Late last year, on Dec 5th, US Swap Data Repositories (SDRs) went live with CFTC’s amended swap data reporting framework (a.k.a CFTC re-write). This incorporates CPMI-IOSCO harmonised data elements (e.g. UTI and UPI) and introduces new data elements. For CFTC Part 43 public dissemination, there are two very interesting new data elements: Let’s look at […]
Our Top Blogs of 2022
For our first blog this year, I wanted to highlight our top blogs of 2022 and share a few statistics. Top New Blogs in 2022 Starting with a list of the most popular new blogs that we published in 2022. The top 5 with > 12,000 views and a total of 25,000 views for the […]
What’s New in CCP Disclosures – 3Q22?
Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Background Under the CPMI-IOSCO Public Quantitative Disclosures, CCPs publish over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing and more. CCPView has 7 years of these quarterly disclosures for 44 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep 2015 […]
CORRA First in CAD Markets
I first wrote about benchmark reform in Canada in 2019: Since then, we have had the announcement that CDOR will cease in 2024: As with all good benchmark stories, the announcement of cessation sets the ball-rolling on a number of fronts: CORRA First Luckily, we have a well-thumbed playbook to refer to now, and the […]
RFR Adoption – Is This Groundhog Day?
The ISDA-Clarus RFR Adoption Indicator for November 2022 has now been published. Showing; Is History Repeating? Groundhog Day appears to be a traditional film that isn’t actually set at Christmas but is associated with this time of year. RFR Adoption is somewhat similar – in the run up to the end of 2021, it was all […]