What is going on in Uncleared Derivative Markets?

We look at data from the BIS on Uncleared IRS. Notional Outstanding of Uncleared derivatives has been constant for the past year. The Gross Market Value of these derivatives has decreased by around 40%. The reduction in market value seems to be related to rates moving higher. Both Cleared and Uncleared markets have seen large […]

Bitcoin Meets OTC Derivatives

I attended the FIA event last week in Chicago.  Much of the same stuff.  Bank capital, swaps regulation, clearing, MIFID.  And the obligatory panel on bitcoin. Over the past couple years, Bitcoin panels in our industry have tended to start out with the moderator making clear “we’re not going to talk about bitcoin the currency, […]

Summary Of Treasury’s Capital Markets Report to Trump

Shortly after Trump became president, true to his campaign promises to “roll back regulation”, he issued an executive order for a review of the American Financial system, with some core principles around making regulation smarter and fostering growth, among others. The US Treasury is responding to this order by providing 4 reports covering Banking, Capital […]

Mechanics of Cross Currency Swaps

Cross Currency Swaps exchange a funding position in one currency for a funding position in another currency. The interbank market trades a resettable floating-floating swap, incorporating a USD cash payment to reset the mark-to-market close to zero at each coupon date. We explain the nuances of the product via the cashflows. The cross currency swap market […]

What is the size of the Uncleared IRS Market?

We estimate the size of uncleared derivatives markets in 2016 We combine BIS Survey data with our own Clarus CCPView cleared data Vanilla Fixed-Float Interest Rate Swaps account for over $250bn in notional traded every day Despite Clearing Mandates in place, some portion of derivatives markets will remain uncleared Uncleared Derivatives A portion of the Interest Rate […]

Understanding BIS Derivatives Statistics

The BIS publish Semiannual OTC Derivatives Surveys which are complemented by a broad-ranging Trienniel Survey Clarus data, available daily, reconciles to within 2% of these BIS Surveys Our explanation of the data methodology will help anyone interested in market volumes The BIS have a broad-based and narrow list of reporting dealers which can affect the interpretation of data […]

What is a 0x3s FRA?

We look at the mechanics and definitions of a Forward Rate Agreement (FRA) It is the simplest interest rate derivative to price, trade and settle Market conventions tend to be split between Commonwealth currencies and the rest of the world There are many reasons to trade the product, resulting in nearly $10trn per month in volume. […]

New EUR & GBP Interest Rate Futures

Last week saw the launch of a new futures exchange – LSE’s CurveGlobal.  We have pulled the data for the first week, and I thought it appropriate to explore this market. The general overview of CurveGlobal: 30% owned by LSE Group.  Remaining 70% owned by CBOE, BofA, Barclays, Citi, Goldmans, JPM, SocGen, BNP STIR (3-month […]

Exploring Seasonality in a Time Series with R’s ggplot2

Inflation index values are decomposed into trend, seasonality and noise. Certain types of graph help identify seasonality. Graphs can be created simply and quickly in R. Simple graphs can be refined for stronger visual impact. Recently, I have been looking at inflation indices and studying their seasonality. The best way to see the overall trend and seasonality in this […]

Mechanics and Definitions of Bond Futures

We focus on Bond Futures. They are a deep source of liquidity. We define the contracts and look at some of their common features. Analysing volumes across major bond futures is simple in CCPView. We find that around 60% of bond future notional is US related, with the remainder European. Invoice Spreads account for 3% of volumes in bond futures. What is […]