Clearing Houses just published their CPMI-IOSCO Quantitative Disclosures, lets look at what’s new: Initial margin for IRS remains close to record highs Initial margin for CDS down 12% from the high Initial margin for ETD down 15% from the high OCC and Eurex OTC IRS the only CCPs with IM QoQ up > 10% ASXCL, ICE Clear NL and ICE Clear SG are new additions to CCPView DTCC […]

Clearing Houses just published their latest CPMI-IOSCO Quantitative Disclosures, which are for the quarter ending 30-Sep-2020, so lets look at what’s new in the data. Initial margin for IRS down 3% from the high on 31-Mar-20 Initial margin for CDS down 7% from the high Initial margin for ETD down 13% from the high Each as expected given the lower price volatility ASX and […]

Public disclosures from CCPs reveal the maximum variation margin (VM) called each quarter. In the quarter to June 2020, VM has stayed at elevated levels compared to 2019. VM is running about 34% higher than Q4 2019 and 66% higher than this time last year. Funding daily VM puts complex demands on the industry. Understanding […]

Clearing Houses 2Q 2020 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows. Summary: Initial margin for IRS is down 2% QoQ and up 33% YoY Initial margin for CDS is flat QoQ and up 51% YoY Initial margin for ETD down 13% QoQ and up 58% YoY Most CCPs with lower IM QoQ, as […]

CME volumes have hit $200Trn in some months this year. This is in Interest Rate Derivatives alone. The mix is roughly 60/40 Bond Futures versus Eurodollar futures. CCPView has now introduced volumes measured on a per contract basis, allowing for cross asset class comparisons. Interest Rate Derivatives CME is huge in Interest Rate Derivatives. Just […]

The recent news that ESMA to recognize three UK CCPs from 1 January 2022, has been well covered in the press e.g. see Reuters. The equivalence decision for a time limited period of 18 months, from 1 January 2021 to 30 June 2022, applies to ICE Clear Limited, LCH Limited and LME Clear Limited. And […]

John Maynard Keynes said in the 1930s; The market can stay irrational a lot longer than you can stay solvent. Keynes Since March 2020, the bounce-back in almost all “risky” assets since the nadir of the crisis has been breathtakingly sharp: Motivated by Amir’s blog last week on Initial Margin, I got to wondering how […]

We last covered CAD Rates Markets and CORRA Reform in Oct-19, so I wanted to look at what’s new and in particular the news that TMX launches CORRA Futures. Background on CORRA The Bank of Canada took over the calculation and publication of the Canadian Overnight Repo Rate (“CORRA”) on June 15, 2020 , subsequent […]

Rates markets have grown to stand at over $350tn in monthly volumes. Our data product, CCPView, provides transparency data covering 93% of these global volumes on a daily basis. We benchmark our data versus periodic BIS data below. Data analysis needs to be timely and accurate. Contact us today for a CCPView subscription. During recent […]

We have started collecting post-trade transparency data for US Treasury trading. I’m sure a lot of market participants have been analysing this data already. Our particular Clarus angle is to compare these UST trading volumes against the rest of the Rates trading landscape – specifically Bond Futures (at CME) and versus cleared Interest Rate Swaps […]