CDS index products are seeing unusually high trading activity. Inflation swaps have also seen significant volumes. These are two hot topics for market participants to monitor. Europe has also extended equivalence for non-European CCPs for another 3 years. There is now a consultation to understand which regulatory actions can most effectively move clearing activity to […]

The final cessation of GBP, JPY and CHF LIBOR will have some impacts on transparency data across our Clarus data. Here are some of the more obvious ones to highlight. We are sure that more will become apparent over the coming weeks: IRS Have Disappeared The most stark representation of the cessation of LIBOR comes […]

Disclosure: This blog was written on the BA723 GVA-LHR flight. Well done to BA for making WiFi finally available on European short-haul flights. It is a little more brief than usual, but hurrah to be travelling again. With the Fed “in-session” right now, there has been a decent move higher in short-end USD rates over […]

The Clarus blog has recently published its 1,000th blog. We run through our early blog posts and highlight some of our most popular posts. The blog had over 500,000 page views in 2020. We are looking forward to the next 500,000. I realised a little too late last week that we have just gone over […]

Cross Currency Swaps exchange a funding position in one currency for a funding position in another currency. Markets have transitioned to trading RFR vs RFR since September 21st 2021 in three major currency pairs. The interbank market continues to trade a resettable floating-floating swap, incorporating a USD cash payment to reset the mark-to-market close to […]

Clarus CCPView provides insight into volumes across Swaps, Bonds and Futures. We look at the evolution of volumes in different parts of the yield curve. H2 2021 saw some extremely large volumes, with certain tenors showing more activity than in March 2020. Are these elevated volumes here to stay? CCPView includes volumes covering Swaps (OTC […]

Monthly volumes of cleared inflation swaps topped $500 Billion for the first time in March 2021. That is basically double the monthly volumes that we were seeing as recently as a year ago. This blog will take a look at the volume data available to us. It serves as a great reminder of just how […]

USD Rates volumes have returned to the levels we saw in March 2020. We look at whether these volumes are being driven by US Treasuries, bond futures or OTC swaps. Clarus provides volume data by tenor for all of these asset classes under a single data subscription. CCPView provides granular data on traded volumes across […]

The price of liquidity in USD swaps has risen in 2021 relative to 2020 when measured by Price Dispersion. However, USD Swap markets saw huge volumes traded during February 2021, showing that liquidity has still been available. Our analysis shows that the price of liquidity has increased as volatility increased. Everyone is talking about the […]

I was fortunate enough to be able to write about Cross Currency Swaps a few times during 2020. At the height of the market turmoil in March and into April, I wrote about: Cross Currency Swaps Trading During a Crisis Mechanics of Central Bank FX Swap Lines Central Bank Responses to COVID-19: FX Swap Arrangements […]