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 […]

Mechanics and Definitions of Short Term Interest Rate Futures

We focus on Short Term Interest Rate Futures contracts. In volatile markets, they are a deep source of liquidity. We define the contracts and look at some of their common features. Analysing volumes across all Short Term Interest Rate futures is simple in CCPView. We find that Short Sterling is more liquid than expected…. …and that FRA volumes relative to […]

CME Invoice Spread Volumes – updated

We update our analysis on the new CME Ultra 10 UST Future by looking at volumes in Invoice Spreads with matching dates to the futures contract. We find continued impressive volumes. About 6% of the risk-weighted volume in futures can be attributed to Swaps-related trades. The headline numbers Invoice Spreads versus the CME Ultra 10 UST Future are continuing to […]

A Year of CFTC Fines

aka How to solve the CFTC budget crisis. Just before the 2015 holidays, the public received word that the CFTC had its 2016 budget set at $250 million dollars, representing no change from the previous year’s budget, and significantly less than the $322m that the Chairman proposed here, and that the President had proposed to Congress. […]