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 […]

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Initial margin for IRS steady in the range $250-270 billion range for 5 quarters Initial margin for CDS at $58 billion drifting down 3% QoQ and 12% YoY Initial margin for selected ETD at $440 billion up 5% YoY Initial margin increases at OCC, ICE Europe F&O, Eurex OTC IRS, LCH CDSClear, ASX CLF Explanatory Notes are […]

Clearing Houses just published their CPMI-IOSCO Quantitative Disclosures, lets look at what’s new: Initial margin for IRS is now down from record highs of Mar 2020 Initial margin for CDS similarly down Initial margin for ETD up QoQ and down YoY Cash Deposited at Central banks continues to increase (ASC, CME, OCC, …) Commensurate drops in marketable collateral convertible to cash LCH Clearnet percentage income from […]

Clearing Houses publish regular quantitative disclosures of great interest to clearing members and regulators, which provide regular insight into risk governance, ease of comparison and facilitate best practice. From the approximately 200 data fields published for each Clearing Service, it is possible to derive composite metrics, the most well know of which is skin-in-the-game (SITG); […]

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 […]