CPMI-IOSCO Quantitative Disclosures 4Q 2018

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 […]

USD Swaps Market vs Futures Market Size

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 […]

2018 CCP Market Share Statistics

In this article I look at 2018 CCP market share for OTC Derivatives in Credit, FX and Interest Rates, in the same format as I used for my 2017 CCP market share statistics article. Clarus CCPView has daily volume data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparison of market share statistics and I have […]

Clearing House Disclosures 3Q 2018 – Some Surprises

Clearing Houses 3Q 2018 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my CCP Disclosures 2Q 2018 article. Summary: IR Swaps margin decreases for the first time quarter-on-quarter LCH SwapClear Client margin is lower ETD margin is up quarter-on-quarter CME ETD Client margin is higher New disclosures on the default […]

CCP Disclosures 2Q 2018 – What the Data Shows

Clearing Houses 2Q 2018 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my 3Q 2017 trends article. Background Under the voluntary CPMI-IOSCO Public Quantitative Disclosures by CCPs, over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk and more are published each quarter with a quarterly lag. CCPView has […]

Global Swaps Volume and Market Share in Q3 2018

I last looked at the market share of cleared swaps in major currencies in my July article in Risk, which covered the period up to 2Q 2018. In today’s article I will bring that analysis up to date and follow the structure of my start of the year article, 2017 CCP Market Share Statistics. In CCPView we […]

Non-Deliverable Swaps Clearing Volumes

This year both CME and LCH launched clearing in new Non-Deliverable Swap (NDS) currencies and in today’s article I will look at how volumes in these products have performed. CME – NDS in CLP and COP In May 2018, CME launched Chilean Peso and Columbian Peso NDS as new currencies and both of these have […]

Default at Nasdaq Clearing

Last week’s default at Nasdaq Clearing in the power market, generated a lot of press, both because member defaults are few and far between events at CCPs and the fact that it coincided with the ten year anniversary of the Lehman’s bankruptcy. There are few analogies that we can draw between the two events; the […]

How are Futures on Bitcoin doing?

We last looked at Bitcoin Futures in January 2018, shortly after their launch by CBOE and CME, so high time to re-visit these to see how volumes have performed. Monthly Volumes In SEFView we collect daily volumes and aggregating these to look at YTD monthly volumes. Growth since January, but certainly not one that requires […]

EUR Swap Volumes by Tenor

Last week I briefly covered cleared EUR Swap volumes in Swaps Data: The Big Get Bigger in Cleared Swaps, so today I will look in more detail into these and specifically LCH SwapClear volumes by tenor. Average Daily Volume (ADV) Lets start with ADV by month for EUR Interest Rate Swaps cleared at LCH SwapClear, […]