CNY Interest Rate Swap Introduction Before we look at some data on the Chinese swap markets, it is really important that readers are familiar with some of the terminology. Let’s start with the basics in terms of what the currency is actually called! Interest Rate Swap Market Conventions This blog looks at Interest Rate Swaps […]

The end of the year is a traditional time to reminisce. In that spirit, I remember writing my first blog on AUD swap markets from the back of a camper van on the West coast of Oz, after surfing in Yallingup. That experience now feels like a lifetime ago for me personally. Having recently returned […]

A large proportion of JPY swaps activity at JSCC has moved to JPY TIBOR. JPY LIBOR swaps have shrunk from 89% to just 66% of the market. At the same time, overall JPY IRS volumes have drastically shrunk. We look at the data behind cleared JPY IRS markets. A Bloomberg article last week flagged to […]

A new Fallback Rate (SOR) will be used on SOR-referencing contracts in the event of a cessation of USD LIBOR. This rate should not be used in any new derivatives, and is only expected to be published for a period of about three years. As Clarus highlighted during the original ISDA consultation, the Fallback Rate […]

CNY Swaps are the 9th most traded interest rate swap at CCPs. The market is quite standardised, with 90% of volumes in just three tenors. Clearing is split between Shanghai Clearing and LCH SwapClear. 60% of the market is now cleared. When I took a look at trends in 2019 for swaps market data, I […]

In March 2019, just over 8 years after its launch, SGX shut down it’s OTC Financials Clearing business.  However SGX continues to innovate and has focused on the futures market. One example of this is the launch of FlexC FX Future, a product which aims to replicate a Non-Deliverable Forward and capture liquidity/volume from the […]

Hong Kong started interim trade reporting in August 2013, with Legislative vetted rules implemented on 10 July 2015. Unlike other jurisdictions in Asia, HKMA built the trade reporting solution themselves. The Hong Kong Trade Repository (HKTR) was built by their subsidiary Hong Kong Interbank Clearing Limited (HKICL). HKICL also built/manages Hong Kong’s payment infrastructure on […]

MAS is playing catch up and proposing to mandate trading of USD, GBP and EUR fixed float swap trades in organised markets, aligning themselves with the EU and US regulators. The proposed tenors covered are the most liquid (under 10Ys) on the respective currencies curve. However no JPY, AUD or SGD trading mandate yet. Proposed […]

Time to re-acquaint ourselves with the world’s 4th/5th largest cleared swap market – the mighty Aussie dollar. August is traditionally a quiet month, so does quality come to the fore when execution is more difficult in thin markets? About 30% of new risk is transacted on a SEF. We take a look at the volumes. […]

It is almost two years since I wrote about the Final US Rules on Margin for Non-Cleared Swaps. How time flies and since then we have seen implementation of this rule in the US and equivalent rules and regulations in many other jurisdictions. Today I will look at the Australian regulation recently made final by […]