2020 CCP Volumes and Market Share in IRD

In this article I look in detail at the 2020 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 comparisons of volume and has been used to produce all the charts below. Table of […]

Cross Currency Swap Review 2020

I was fortunate enough to be able to write about Cross Currency Swaps a few times during 2020. At the height of the market turmoil in March and into April, I wrote about: Cross Currency Swaps Trading During a Crisis Mechanics of Central Bank FX Swap Lines Central Bank Responses to COVID-19: FX Swap Arrangements […]

2020 SEF Market Share Statistics

In this article I look at 2020 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my 2019 SEF Market Share Statistics. Summary: CRD Index, Option and Tranche products Volume in USD up 17% and in EUR up 12% March 2020 a huge month […]

Our Top Blogs and Stats of 2020

For our last blog of the year, I wanted to highlight our top blogs and share a few statistics. Top New Blogs in 2020 Starting with a list of the most popular new blogs that we published in 2020. The top three with > 2,000 views each and a total of 30,000 views for the […]

Toxic FRAs, Fallbacks and Single Period Swaps

Whilst we continue drafting responses to the pivotal ICE consultation on LIBOR cessation, I have been looking through the data to see how LIBOR cessation is already changing trading behaviour. Away from the global RFR Indicator, which looks at all linear derivatives, there are certain products that have already been affected. Most notably, the FRA […]

Credit Index Options – Dec 2020

Clearing of Credit Index Options is a product to watch in 2021 with recent announcements from both ICE Clear Credit and LCH CDSClear. In early November, ICE launched clearing for Options on CDX NA.IG and CDX.NA.HY In early December LCH CDSClear went live with Options on CDX.NA.IG and CDX.NA.HY To add to those on iTraxx […]

RFR Trading November 2020

The ISDA-Clarus RFR Adoption Indicator has been published for October 2020. The headlines are: The RFR Adoption Indicator was 8.3%, a decline from the previous month (which saw an all-time high). This is the fourth highest reading on record. 5.6% of all USD risk was traded in SOFR vs 9.7% last month, reflecting the impact of the CCP discounting change. The switch to […]

GSIBs in 2020

The same 30 banks as in 2019 have been defined as GSIBs in 2020. JP Morgan, Wells Fargo and Goldman Sachs have all managed to move into lower tiers, requiring less capital. We look at the data behind the GSIB indicators using GSIBView, our latest data offering. Optimisation of the GSIB metrics is evident in […]