Clarus Research cited at UK Parliament Treasury Committee

LSE’s Xavier Rolet cited our research in today’s UK parliament treasury committee meeting. During the session on ‘The UK’s future economic relationship with the European Union’ it was this research on EUR clearing that he referred to; ‘Moving Euro Clearing out of the UK: the $77bn problem?’, in answer to questions from Jacob Rees-Mogg. The […]

Moving Euro Clearing out of the UK: the $77bn problem?

We estimate the Initial Margin impact from moving EUR Clearing out of the UK This could happen as a result of Brexit We can make an estimate as to the maximum margin impact possible using publicly available data In terms of Initial Margin, we only see a small impact on the LCH SwapClear portfolio in London But […]

BREXIT – What is Trading?

We may have skipped a day yesterday (prior commitments, sorry all!) but we can’t really ignore the price action this morning in GBP swaps. The BoE comments yesterday bringing rates lower this morning. Bye bye that 1.00% handle in ten years…. End of Day GBP Wrap-Up 187 trades were reported to the SDRs. Over £8bn in […]

BREXIT – Day Four, What is Trading?

All seems calm in the markets overnight. We’ll continue to update this blog throughout the day with observations on volumes and prices as activity picks up. Just hit F5 to refresh. End of Day GBP Wrap-Up Better late than never….we’ll close this blog with a review of what traded in GBP on the 29th June. […]

BREXIT – Day Three, What is Trading?

This blog will be updated throughout the day, so please remember to refresh the page (just hit F5). Following on from our BREXIT -What is Trading after the Result? Day One, and Day Two blogs, we will again be keeping a close eye on trade prices and volumes reported to US SDRs. 18:17 LON – […]

BREXIT – Day Two, What is Trading?

This blog will be updated throughout the day, so please remember to refresh the page (just hit F5). Following on from our BREXIT -What is Trading after the Result? Day One, which was last updated on Friday 24 June at 21:15pm after NY close, we will again be keeping a close eye on trade prices […]

BREXIT – What is Trading after the result? Day One

This blog was updated frequently throughout the day. Now that the UK trading day is done and dusted (21:06), we’ll call it a day. The final GBP swap volumes should include all of the DMO-close related trades that have gone through the SDRs, and we’ve finished with a USD update just after 4pm New York time. Thanks for following today. See […]

CPMI-IOSCO Public Disclosure by European CCPs

European CCPs have recently started to publish lots of quantitative data covering their Default Fund, Initial Margin,  Collateral, Credit Risk, Liquidity Risk and other Financial Disclosures. This has been done in compliance with the guidance provided by CPMI-IOSCO with the public disclosure aiming to further increase the transparency of financial markets and CCPs in particular. The data […]

SEF Trading on US Holidays

EUR swaps trading is intriguing on US holidays We don’t have many data points to play with… ….but the data shows continued EUR Swap activity on-SEF on US Holidays. Of this activity, much of it is client trading, which I find surprising. These volumes naturally filter into the data for Client Clearing at LCH on US Holidays.. […]

ECB QE and Eonia Swaps

We take a look at Eonia invoice swaps, which match the dates for German bond futures traded at Eurex: From volume data, we see an increase in Eonia swap activity post-QE. The price action in Schatz appears closely related to short-end Eonia swaps, whilst in Bobls and Bunds it is harder to pin-down. The appearance of trades with […]