2022 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 analysis and comparisons. Contents: Onto the charts, data and details. Volumes and Market Share For major currencies and regions, vanilla swaps referencing IBORs and […]

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Background Under the CPMI-IOSCO Public Quantitative Disclosures, CCPs publish over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing and more. CCPView has 7 years of these quarterly disclosures for 44 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep 2015 […]

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 3Q22 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, […]

A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 3Q 2022. Index, Single-name and Swaptions Volumes in 3Q slightly up on 2Q and significantly up on a year earlier USD CRD volumes up 36% in 3Q 2022 compared to 3Q 2021 EUR CRD volumes up 58% in 3Q 2022 […]

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 […]