JPY TONA Futures: A Rising Star in the RFR Market
*I hope our readers don’t mind, but I chose to accept a little help from Bard this week. With so much web traffic generated via Google searches, I thought it a worthwhile experiment. TIBOR Cessation No two markets are the same, and we see this in the adoption of RFR trading. Whilst JPY LIBOR is […]
What You Need to Know about BRL Swaps
But first… Before we plough into BRL swaps, did you know that the EUR Swaps market is now larger than USD? From CCPView: Showing; It doesn’t take a rocket scientist to work out what has caused this: I thought our readers would find that an interesting addition to their Summer reading. Back to the topic […]
Clearing of US Treasuries – What Are People Saying?
The SEC issued a proposal last year regarding a potential clearing mandate for cash treasuries and repos. There is a good two-pager summary from the SEC here: Or you can choose to read the entire proposal here: Clearing of Cash, Repo and Swaps are all different First of all, I think it is important to […]
RFR Adoption July 2023
RFR Adoption is Increasing Again The latest edition of the ISDA-Clarus RFR Adoption Indicator was published earlier this week. You can find the full report over on the ISDA website here. As always, we provide a look into the data: Showing; SOFR Trading Increases As long-time readers well know by now, USD markets (and hence […]
How large are Cleared Swap markets?
I published my first article on the ION Blog covering Cleared Swap markets and comparing open interest and volume between Swaps and Futures for Interest Rate Derivatives. Please read at How large are Cleared Swap markets?
SOFR Swaps Volumes and Share – July 2023
Let’s update my blog on IDB Market Share in SOFR Swaps with the most recent data and expand the coverage to also include D2C venues. Types of SOFR Swaps SOFR Swaps in the IDB (inter-dealer broker, D2D) market trade primarily as Spreadovers to US Treasuries. This is by far the most frequent trade type in […]
FSB Paper on Liquidity in Core Government Bond Markets
I recently took a first look at Central Clearing of Bonds and Repos and in that blog I mentioned a Financial Statility Board (FSB) paper on Liquidity in Core Government Bond Markets. This paper analyses the liquidity, structure and resilience of government bond markets, with a focus on the events of March 2020; characterised as […]
Even More on Blocks and new rules for FX
CFTC Global Markets Advisory Committee Following up on my blog last week, there is now the recording of the CFTC’s Global Markets Advisory Committee (GMAC) available on youtube: There are some interesting take-aways: Showing; Elsewhere, Tradeweb and Bloomberg provided insights into the RFQ1 vs RFQ-to-many split amongst large trades. This is some really interesting data. […]
2Q23 CCP Volumes and Share in CRD
A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 2Q 2023. All the charts and detail from CCPView. USD CDX, CDS and Swaptions CDX volumes significantly down compared to all the prior quarters shown. Market Share of USD CDX The upcoming ICE Clear Europe shutdown later in 2023, resulting in […]
New Block Trading Rules Will Now Start in December 2023
Those of you with long memories will recall a particular blog I wrote about Block Trading and new rules that were going to come into play: Those new rules could have come into play as early as March 2023, but they have been delayed until December 2023. As a result, we have just seen learnt […]