CME Swap Data Repository
Clarus SDRView consolidates all Swap or Trade Data Repositories that publish transaction level data and have meaningful volume. As only the United States and Canada have transaction level public reporting, our focus has been on these jurisdictions, which provide by far the most interesting and useful data. European, Japanese, Australian, Singapore and other jurisdictions have […]
SACCR vs CEM for FX Products
Blame our active community of readers if you must. But we’ve had the most requests for a comparison of FX products under SACCR and CEM in response to my original blog. Therefore, here we go… SACCR is Coming If you need a refresher on SACCR and CEM, then please check out our comprehensive coverage below: […]
Four Things to Understand about USD SOFR
USD SOFR is made up of both general collateral (GC) and non-GC trades. Recent data suggests that there is a difference (a “basis”) between GC and non-GC repo trades. USD SOFR combines Dealer to Dealer and Dealer to Customer trades. Only a limited history of SOFR is available. USD SOFR Components The transactions that make […]
Swap Volumes: SOFR v FedFunds
Back in February 2019, I wrote a blog on the state of the GBP and USD OIS markets. At that time, I held great hope for the USD SOFR markets to develop during 2019 to support a growing market in SOFR-based cash products and the derivatives used to hedge them. This blog looks at the […]
Swaps Data: Analysing the US rates collapse
My monthly Swaps Review looks at: USD Swap rates daily moves in 2019 YTD Highlighting the massive falls in August 2019 Putting these into historical context all the way back to 2008 The impact on Initial margin models The impact on CME-LCH-Basis and CCP Switch trades USD Swap volumes in August 2019 Please click here for […]
5 Things That Are Making MIFID II Data Useless
To all of our readers who, like me, are responding to the latest ESMA consultation, I thought I would provide a simple list of ways that MIFID II data is being made difficult to access. Hopefully this can help to get transparency right in Europe. ESMA report that the users of data that they spoke […]
ESMA: Let’s Get Transparency Right
Transparency under MIFID II has been a failure so far. ESMA is consulting to put this right. We have already lost three years of transparency. This issue is more important now than ever before as the transition to RFRs demands transparency. I return to work with possibly the most important consultation of the year to […]
USD SOFR Volumes Aug 2019
SOFR Swap trade counts hit a new high in August Outrights and Basis both much higher than prior months Outrights are all Off SEF with a significant portion Uncleared Basis are mostly On SEF (by trade count) TP-ICAP with tpSEF and TraditionSEF vying for top spot 5Y is emerging as the most frequently traded tenor […]
SACCR vs CEM Comparisons
Welcome to my 250th blog for Clarus! That is quite a milestone – I’ve now inflicted nearly a quarter of a million words on our readers. I hope the vast majority have been useful. To celebrate, you will have to suffer a bit of true geekiness. Today we’ll take a look at Regulatory Capital, which […]
FCM Rankings and Concentration – Q2 2019
It’s been 18 months since I last looked at FCM rankings, so it’s about time we hit the refresh button. Let’s have a look at the most recent data. Headline Stats Lets start with some headline metrics. First, just a simple count of registered FCM’s, and then counts of FCM’s with any activity in the […]