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, […]

Segregated Funds, Market Crashes & Under-Seg

Today I want to look briefly at the reported solvency of FCM’s during the most recent market panic. Back on February 5th of this year, the US equities market suffered a volatile day and significant losses. The Dow Jones index had its worst ever one-day loss in terms of points (down 1,175), and other indices […]

Final 2017 FCM Rankings & Concentration

The latest batch of FCM data has been assembled.  Lets dig in. We start with the number of FCMs that are registered, by various metrics: Showing us: The number of FCMs registered dropped by 1 firm, from 64 to 63, with the removal of ETRADE Securities (leaving just ETRADE Futures) The number of FCM’s with […]

Is Eurex Gaining Share in IRS Clearing?

Reading Philip Stafford’s recent article in the Financial Times, Deutsche Borse makes ground in UK derivatives push, I was struck by the paragraph: Seven times! Impressive, indeed. Is this the start of a ratcheting up in Eurex volumes and gain in market share vs LCH SwapClear? Lets look at what the data shows in detail. EUR […]

2017 CCP Market Share Statistics

In this article I look at 2017 CCP market share for OTC Derivatives in Credit, FX and Interest Rates. Clarus CCPView has daily volume data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparison of market share statistics. Summary: IRD LCH SwapClear has >90% share in CAD, EUR, GBP, USD and 86% […]