As we get close to year end, it is time to assess the trends in volumes that we have seen in 2019. Usually we do this by looking at the cleared volume in a period (month/quarter) compared to an earlier period, or the open interest (outstanding notional) at a point in time. Today I will […]

Last week Eurex put out a press release, DekaBank successfully switches swaps book to Eurex Clearing which was interesting enough to make me want to find out what else I could learn about the switch. The public details are that over 7,000 individual transactions were switched from LCH SwapClear to Eurex Clearing in a single […]

Clearing Houses 2Q 2019 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my CCP Disclosures 1Q 2019 article. Summary: Initial Margin for IRS is up 11% in the quarter and 18% in a year IM for CDS and ETD was flat in the quarter and up 12% in a year […]

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 […]

Since 2016, uncleared margin rules have driven a steady rise in cleared inflation swaps open interest and CCP IM.  In July TriOptima announced their first cleared inflation swap compression run,  so let’s look at what data on cleared volumes in CCPView tells us. Inflation swaps in the context of overall IRD volumes Inflation swaps are a somewhat specialised corner of the IRD […]

We recently added an RFR view in CCPView to show volumes and open interest of Swaps and Futures that reference risk free rates (RFRs), covering SOFR, SONIA, SARON and AONIA. Lets look at what the data shows for July 2019 and prior months. SOFR Futures Showing July 2019 a new high at CME with $2.25 […]

Clearing Houses 1Q 2019 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my CCP Disclosures 4Q 2018 article. Summary: IM is up for IRS, CDS & ETD with YoY growth of 6%, 15%, 10% respectively Quarter-on-Quarter IM in CDS was flat ICE Europe F&O and ASX CLF IMs were […]

The death of uncleared markets has been widely over-reported. We look at Clarus CCPView and recent BIS data to look at the size of uncleared markets. Interest Rate derivatives remain the largest, followed by FX. Credit is very small in comparison when measured by notional outstanding. We strongly advocate further transparency into the remaining stock […]

Clearing Houses 4Q 2018 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my CCP Disclosures 3Q 2018 article. Summary: IM for CDS Clearing shows the highest growth, up 27% YoY IM for IRS and ETD both with decent growth, 9% and 13% YoY Most clearing services with higher IM, a […]

What is the biggest market in USD Rates? Are futures bigger than swaps? Are cash bonds even bigger? We build on important research from both CME and the CFTC to try to answer those questions. We look at Clarus data to measure the DV01 traded in both swaps and futures in long-end USD Rates. We […]