Cross Currency Swap Review 2022
With Cross Currency Swap blogs continuing to perform well on the Clarus Blog each year, let’s take a look at what traded during 2022. SDRView Volumes SDRView shows the monthly volumes transacted of Cross Currency Basis swaps. These are, on the whole, the vanilla interbank type of mark-to-market cross currency swaps. Showing; SDRView also shows the DV01 […]
NDF Clearing – What’s New in 2022?
There is now over a $1Trn of cleared NDFs traded every month in 2022. March and September 2022 were particularly notable volume months. This is against a backdrop whereby the uncleared NDF market has not really grown. BIS data suggests that over 16% of total NDFs are now cleared across the whole market. This is […]
Cross Currency Volumes head to the moon!
I keep a close eye on what is going on in Cross Currency Swaps, but somehow I missed quite how significant the past few quarters have been in terms of volumes traded. Let’s take a look. All-Time Record Volumes Taking a look in SDRView shows significant volumes in EURUSD and GBPUSD during 2022: The chart […]
Did You Know That SACCR Now Makes FX Trading More Expensive?
This week I want to pull together two of my recent blogs: FX Clearing 2022 Mechanics and Definitions of SACCR (part 3) I was fully expecting to see a “SACCR effect” on the amount of FX Clearing we see in 2022. Let’s look into the details below. Widening Spreads FX and SACCR have made the […]
FX Clearing 2022
We look at the growth in cleared volumes across FX products. NDFs now see over $1Trn cleared in a single month. Open Interest has grown significantly in the past two years. NDFs in 8 currency pairs dominate cleared OTC volumes. For those interested in uncleared markets, and particularly FX, it may be interesting to know […]
The First Cross Cryptocurrency Swap?
Well this is something! Babel Finance have not only completed what is maybe the first ever cross currency swap in cryptocurrencies, but they even chose to make it a mark-to-market swap! Let’s look into what this transaction is. Disclaimers I think this is my first blog on crypto/defi, so there may be some errors on […]
RUB NDF Trading Continues
Following on from our blog last week, RUB Derivatives are still trading, I wanted to take a deeper look at the data for USDRUB Non-Deliverable Fowards. SDRView In SDRView we can look at USD/RUB FX derivatives traded by US persons in the month of February 2022. NDF, by far the largest with 10,939 trades and […]
What is now Trading in RFR Cross Currency Swaps?
Cross Currency swap trading has transition quickly to USD SOFR and away from USD LIBOR in 2022. All of the currency pairs we look at show evidence of a transition to USD SOFR. Some markets are now trading RFR vs RFR Cross Currency Swaps. Most of the other markets now trade Term domestic rates vs […]
$300bn FX Swap Rollover
June sees $295bn of 3 month USD funds provided by central banks expiring. With the Bank of Japan accounting for 50% of the outstanding amounts of these facilities, USDJPY cross currency basis (and FX) will be a focus for these maturing funds. The price differential between the central bank facilities and market-based pricing has shrunk […]
Central Bank Responses to COVID-19: FX Swap Arrangements
We detail the FX Swap lines offered by several central banks to supply their local markets with USD. For the mechanics of how the USD trades work, please see our previous blog. In this blog, we look at the usage of the FX Swap Lines per central bank. Volatility Markets remain in crisis mode. This […]