2018 SEF Statistics – LatAm and Asia

Following my recent article, 2018 SEF Market Share Statistics, I wanted to look into the currencies that I did not have time for in that post; specifically Latin American and Asian. Interest Rate Swaps – LatAm Lets start with the gross notional traded in LatAm currencies in 2018 on all SEFs. MXN by far the […]

2018 SEF Market Share Statistics

In this article I look at 2018 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my 2017 SEF Market Share Statistics. A brief summary is that 2018 was a banner year for SEFs, with volumes up in all asset classes and most products […]

ESTER Term Rates

We look at the consultation for forward-looking term rates in ESTER. The number of cleared EONIA swaps is surprisingly low, suggesting a transaction-based methodology will be ruled out. A quote-based system is most likely, but this could replicate existing problems we have with EURIBOR. We note that CCP basis also makes the collation of quotes […]

Cross Currency Swaps and RFRs

The conversation on the use of RFRs (Risk Free Rates) has been developing over the past few months and in this article I will focus on cross currency swaps. The current development of markets in RFRs In most cases the focus has been on single currency swaps where the development of markets based on RFRs […]

Clarus Blogs in 2018: What has been popular?

For my first blog of 2019, I wanted to reflect on the topics that were popular on the Clarus blog in 2018. Top New Blogs in 2018 Starting with a ranking of the most popular new blogs that we published in 2018. Settle to Market – What you need to know about STM MiFID II […]

RFRs – CHF SARON Activity

We noticed that the SNB quoted Clarus data at the most recent CHF SARON working group. We show that Open Interest in SARON now stands at nearly CHF60bn. Most of this is in short-dated products, less than 2 years. We find that 77% of risk is traded in tenors shorter than 2 years. Markets need […]

Swaps Data: Volumes Up amid Volatility

My monthly Swaps Review in Risk Magazine looks at: Cleared Interest Rate Swaps in USD, EUR, JPY Cleared Credit Default Swaps in USD, EUR Cleared Non-Deliverable Forwards Volumes in 3Q18 vs 3Q17 Volumes in Oct-Nov18 vs Oct-Nov17 Growth rates in these periods Please click here for free access to the full article on Risk.net.

Eurex Swap Volumes On the Up

Given the continuing uncertainty around Brexit as the UK government struggles with a parliamentary vote, I thought it was time to re-visit EUR Swap volumes, which I last looked at in early October 2018. I noted then that Eurex market share in the third quarter was 0.96% and little changed from the corresponding quarter a year earlier. […]

What is Left Uncleared in 2018?

We take a look at the total size of uncleared derivative markets. FX Options are the largest Uncleared market, followed by Swaptions and NDFs. Cross Currency swaps are the fourth largest uncleared market. Around $5.5trn each month trades uncleared – almost equivalent to the US market for cleared IRS. Uncleared Markets The death of uncleared […]

Non-Dealer users of RFRs: The need for term rates

Over the last year it has become obvious that Libor will not have a long-term future; so why are market participants still writing derivative and loan deals as well as issuing bonds linked to Libor?
Liquidity in markets linked to new benchmarks is gradually increasing but still falls short of dominating Libor-based product.