USD Spreadovers and SEF Market Share
Spreadovers account for roughly 35% of all USD risk traded on-SEF. In D2D USD swap markets, Spreadovers account for about 70% of volumes. This makes them by far the most important packages traded in USD. Almost all Spreadovers are transacted on a SEF. We look at D2D SEF market share in USD swaps. History We […]
More SOFR Swaps are Trading
Fannie Mae recently issued its first ever securities linked to SOFR (see here for details). The issuance was $6 billion in size, settled on 30 July with 6m, 12m and 18m tranches. So I wanted to update our recent SOFR Swaps Are Trading blog and see if this bond issue has led to any more […]
Creating a Swaps Dashboard using Python
Clarus Microservices make it easy to get Swaps data Swap volumes can be retrieved from SDRs using simple Python This data can be displayed in Tables and Charts Our Sandbox allows you to try quickly in your Browser Introduction Under the Dodd-Frank Act, all swaps, whether cleared or uncleared, that are executed by US persons, […]
How much of the swaps market is traded as an OIS?
We summarise the portion of risk that is traded as OIS across seven major markets. Benchmark reforms around the globe are helping transition trading away from Libor into Risk Free Rates. We monitor the progression of these reforms by looking at how much risk is trading in OIS products. How popular are OIS? Clarus use our data products, […]
Swaps Data: OTC Margin Up, Futures Margin Down
My monthly Swaps Review in Risk Magazine looks at the most recent CPMI-IOSCO Quantitative Disclosures by Clearing Houses for Interest Rate Swaps, Credit Default Swaps and Futures and Options Showing strong year-on-year growth in each of these, except the last. I also look at the trend in client IM at LCH SwapClear and the maximum Variation margin call […]
LIBOR Fallbacks
ISDA have launched a consultation for a fallback mechanism in the event that a LIBOR rate ceases to be published. This would mean that any contract referencing the LIBOR rate and governed by the ISDA 2006 Definitions would use these proposed “fallback” rates. How Will it Work? The consultation document states that fallbacks will be defined in […]
ISDA SIMM in Python Dashboards
ISDA SIMM is the industry standard for calculating Initial Margin on non-cleared derivatives The Clarus Microservices API makes it very easy to compute ISDA SIMM™ from Python What-if trades can be easily added to determine the incremental change in SIMM Margin Before and after SIMM Margin levels can be easily displayed in charts and tables CRIF format risk sensitivties can […]
SOFR Swaps Are Trading!
We have now had six SOFR swap trades hit the SDRs. Both Basis vs Fed Funds and Outright OIS has traded. All trades have been $50m and one year maturity. It looks like they were all cleared at LCH. The first swap was done on the TP-ICAP SEF. SOFR Everything you need to know about […]
EUR Swap Volumes by Tenor
Last week I briefly covered cleared EUR Swap volumes in Swaps Data: The Big Get Bigger in Cleared Swaps, so today I will look in more detail into these and specifically LCH SwapClear volumes by tenor. Average Daily Volume (ADV) Lets start with ADV by month for EUR Interest Rate Swaps cleared at LCH SwapClear, […]
A Dashboard for Interest Rate Risk
Clarus Microservices make it very easy to create Dashboards Dashboards that perform new risk calculations (not just display old ones) Interest rate risk measures such as DV01 and IR Delta can be calculated Tables, Charts, Panels can be easily created with a single line of Python code Our Browser Sandbox allows you to try yourself Introduction […]