How Much of the Derivatives Market is Now Cleared? (2021 Edition)
83% of Interest Rate Derivatives are now cleared according to CFTC data. We use the CFTC data to benchmark our Clarus cleared data and find them to be in agreement. We therefore assume that the CFTC data for uncleared markets is also accurate, opening up more transparency into these important markets. We find that there […]
SOFR Swaptions – Month One Update
We recently covered SOFR Swaptions – Week One Update and SOFR First in Swaptions, and now that we have November volumes, I wanted to update what the data shows. November 2021 – SOFR Swaptions In SDRView Researcher, we select USD Swaptions and categorize by reference index as IBOR or RFR. Showing the jump to 29% of […]
What is a Consolidated Tape?
Following on from last week’s blog, I realised maybe I had jumped the gun somewhat. Since the European Commission has now published their report (and a Consolidated Tape for derivatives is included), I thought it worthwhile to take a step back. What actually is a Consolidated Tape and what that might mean for Transparency in […]
Consolidated Tape: Don’t let perfection be the enemy of good for derivatives
Dutch regulators have today stated with regards to European transparency data: Significant regulatory changes are needed to simplify the current fixed income post-trade deferral regime. Common data standards [are required], to set required data fields, and to agree on data access. Trading venues and APAs [need] to contribute the required data fields and supporting commercial […]
SOFR Swaptions – Week One Update
Last week we covered SOFR First in Swaptions and did so the day after the November 8th commencement date. Now that we have more data, let’s look at what this shows. Week One – SOFR Swaptions In SDRView Researcher, we select USD Swaptions and categorize by reference index as IBOR or RFR. Showing that in […]
IM Model Validation for UMR under EMIR – Backtesting
Last week the EBA published a consultation paper on its its draft Regulatory Technical Standards (RTS) on Initial Margin Model Validation (IMMV) under the European Markets Infrastructure Regulation (EMIR). This is an important and long awaited publication, particularly for the hundreds of firms in the EU that are complying with UMR IM requirements as of Sep 2021 […]
SOFR First in Swaptions
This is not quite our normal “LIVE BLOG” type of announcement for SOFR First in Swaptions (and other non-linear derivatives). I tend to think that Options markets like to make things (unnecessarily?) complicated, and so there are a number of moving parts to look at for SOFR First in USD Swaptions. In Summary November 8th […]
Did The Latest USD Move Really Result In Blood On The Street?
Disclosure: This blog was written on the BA723 GVA-LHR flight. Well done to BA for making WiFi finally available on European short-haul flights. It is a little more brief than usual, but hurrah to be travelling again. With the Fed “in-session” right now, there has been a decent move higher in short-end USD rates over […]
Cleared Swap Volumes and Share – 3Q 2021
USD IRS volumes elevated due to FRA to SPS change SOFR Swaps at record highs EUR IRS volumes flat, Eurex share also flat €STR Swaps a record month JPY IRS volumes down, OIS record, JSCC increasing share over LCH AUD Swaps up QoQ, down YoY, LCH higher share iTraxx Europe, volumes up, ICE Clear Credit […]
What’s New in CCP Disclosures – 2Q21
Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Initial margin for IRS steady in the range $250-270 billion range for 5 quarters Initial margin for CDS at $58 billion drifting down 3% QoQ and 12% YoY Initial margin for selected ETD at $440 billion up 5% YoY Initial margin increases at OCC, ICE Europe F&O, Eurex OTC IRS, LCH CDSClear, ASX CLF Explanatory Notes are […]