Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Initial margin for ETD at $528 billion is down 7% QoQ and up 19% YoY Initial margin for IRS at $280 billion is up 4% QoQ and 8% YoY, to hit a record high Initial margin for CDS at $76 billion is up 15% QoQ and 31% YoY LME Disclosures that increase in the latest quarter are […]

I take a look at the volume data for July 2022 in CCPView to see whether we have now hit the quiet weeks of summer trading. Cleared OTC Rates Volumes As always, Cleared Rates markets provide a great barometer of overall market activity. They are the largest OTC markets and the most transparent. Showing; Notional […]

Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparisons of volumes. Today we look at 2Q22 Volume and market share in IRD for: USD Swaps (LIBOR, OIS, SOFR) EUR Swaps (EURIBOR, OIS, €STR) GBP Swaps (LIBOR, SONIA) JPY Swaps (IBOR, TONA) AUD Swaps (BBSW, […]

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Initial margin for ETD at $571 billion is up 12% QoQ and 29% YoY Initial margin for IRS at $269 billion is up 3% QoQ and 7% YoY Initial margin for CDS at $66 billion is up 10% QoQ and 10% YoY LME Disclosures provide insight into the Nickel crisis Other CCP disclosures with record highs Background […]

Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparisons of volumes. Today we look at 1Q22 Volume and market share for: USD Swaps (LIBOR, OIS, SOFR) EUR Swaps (EURIBOR, OIS, €STR) GBP Swaps (LIBOR, SONIA) JPY Swaps (IBOR, TONA) AUD Swaps (BBSW, AONIA) CAD […]

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Initial margin for ETD at $507 billion is up 8% QoQ and 21% YoY Initial margin for IRS at $261 billion is up 4% QoQ but down 3% YoY Initial margin for CDS at $60 billion is flat QoQ and up 1.5% YoT Initial margin increased significantly at ICE Europe F&O and Eurex OTC IRS Other disclosures […]

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Initial margin for IRS at $252 billion down 3% QoQ and 4% YoY Initial margin for CDS at $60 billion up 4% QoQ and down 3% YoY Initial margin for selected ETD at $470 billion up 6% QoQ and 13% YoY Initial margin increases at ICE Europe F&O, Eurex OTC IRS, ICE Credit Clear, JSCC IRS Explanatory […]

Details of 2021 volumes and market share for OTC Derivatives in Interest Rates reported by Clearing Houses. Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparisons of volumes, as in all the charts below. Contents: USD Swaps (LIBOR, OIS, SOFR) EUR Swaps (EURIBOR, OIS, €STR) GBP Swaps […]

83% of Interest Rate Derivatives are now cleared according to CFTC data. We use the CFTC data to benchmark our Clarus cleared data and find them to be in agreement. We therefore assume that the CFTC data for uncleared markets is also accurate, opening up more transparency into these important markets. We find that there […]

USD IRS volumes elevated due to FRA to SPS change SOFR Swaps at record highs EUR IRS volumes flat, Eurex share also flat €STR Swaps a record month JPY IRS volumes down, OIS record, JSCC increasing share over LCH AUD Swaps up QoQ, down YoY, LCH higher share iTraxx Europe, volumes up, ICE Clear Credit […]