USD Swap Markets during COVID-19 Pandemic

Statistical measures show that USD swaps liquidity has deteriorated in the past six weeks. Specifically, price dispersion of 10Y USD swaps has tripled since early February. This is consistent with anecdotal stories in the press. However, we are still seeing higher than typical volumes transacted. Trading may be more difficult, but we are not seeing […]

Cross Currency Swaps Trading During a Crisis

Cross Currency Swaps trading fundamentally changes during a funding crisis. I run through the impacts to the risks that are being managed and the daily flow of news that drives trading activity. There are various drivers ranging from FX markets, LIBOR fixings, futures convergence trades, central bank operations and client demand. Most traders will only […]

Is Transparency Helping Markets Function?

Trading has continued uninterrupted across the markets that we monitor, despite the extreme levels of volatility we have seen over the past week. Transparency data shows that Rates, Credit and even Funding markets continue to function “normally” in terms of volumes transacted. Crucially, markets have not “seized up” during some crazy price moves. Market participants […]

Will GBP LIBOR stop trading on 2nd March 2020?

The market convention for GBP Swaps is expected to move to SONIA from Monday March 2nd 2020. This structural change follows an announcement from UK regulators. The data shows that already 88% of total notional in GBP swaps is versus SONIA. Maturities longer than 2 years have still not transitioned to SONIA trading. Probably* as […]

£700bn SONIA Traded on a Single Day

SONIA volumes have hit all-time highs in January 2020. The highest volume of SONIA traded on a single day has been £700bn on 15th January. Total monthly volumes will be over £4trn for the first time ever. The spike in activity is concentrated in short-dated instruments, suggesting it is closely related to the BoE meeting […]

Four Trends in Swaps Data 2019

Welcome to a review of Clarus data for 2019. Cleared Rates markets are a $2.7trn-per-day market in 2019. On top of this, Compression accounts for a further $2trn of activity every day. Continued growth in clearing, electronification and compression coupled with a shortening of maturities have been identified by the BIS as key drivers for […]

BIS Triennial Survey 2019

Trading reached $6.5trn per day in Interest Rate Derivatives during April 2019. Our markets have grown at unprecedented levels in the past three years. The BIS used our own CCPView data to cross-check the survey results. BIS IRD Volumes in April 2019 The latest BIS survey data is now available. Performed once every three years, […]

Swap Volumes: SOFR v FedFunds

Back in February 2019, I wrote a blog on the state of the GBP and USD OIS markets. At that time, I held great hope for the USD SOFR markets to develop during 2019 to support a growing market in SOFR-based cash products and the derivatives used to hedge them. This blog looks at the […]

JPY Swaps – A Market Overview

JSCC has enjoyed a 63% market share in vanilla JPY IRS versus LCH over the past year. The market shares vary by tenor and month-by-month. JPY OIS trading is a very small market. LCH is the leading CCP in this market with a 67% market share. JPY single currency basis trading remains a large market […]