FX derivatives volumes at the end of Q3 2025
This blog covers the volumes of FX derivatives (FXD) in September 2025, as reported by CCPs and to US SDRs. Key takeaways: A year-on-year (YoY) comparison of volumes between September 2025 and September 2024 shows that: Analysis by product group showed that clearing rates for NDFs on deliverable pairs are aligned with those for FX […]
Q2 2025 CCP volumes and share in CRD and FXD
This blog reviews central counterparty (CCP) volumes and market share for cleared credit derivatives (CRD) and FX derivatives (FXD) in Q2 2025. For all-currency CRD, comparing Q2 2025 with Q2 2024, we see 45 percent volume increases, with indexes up 46 percent, single-names up 11 percent, and swaptions up 152 percent. Analyzing by currency shows that: […]
What Would a Liberation Index Look Like?
Today is meant to be Trump’s so-called “Liberation Day” with tariffs potentially being activated with some of the largest trading partners of the US. It is surely no coincidence that it is happening on April Fool’s Day. Just for the sake of it, I wondered what a “Liberation Index” might look like. What are the […]
FX Clearing 2024 – A Break Out Year For Options
FX Cleared Volumes CCPView shows that cleared OTC FX has grown substantially over the past three years: Showing that cleared OTC FX volumes surpassed $18 trillion in 2024, with notable growth trends: LCH ForexClear continued its dominance, holding over 98% market share in FX OTC clearing. FX Products FX clearing remains dominated by NDFs, although […]
Cross Currency Swaps Review 2024
Happy New Year to all of our readers! Thank you for your continued support and readership. This first blog of the year marks my 500th blog – it’s nice to start the year with a proper achievement! That is over ten years of blogs – if you want to know what I did before Clarus, […]
NDF Clearing – The latest updates
NDF Cleared Volumes CCPView shows that cleared NDF volumes continue to grow: Showing; Which NDF Currency Pairs are the largest? Looking into the August 2024 data per currency pair shows: NDF Clearing Rates Regular readers will know that we use the CFTC weekly Swaps Report to monitor how much of the NDF market is cleared. The large […]
TARF pricing with the Dupire local volatility model
Following on from the first article on Target Redemption Forwards (see Handling the complexities), my colleagues Serena Manti and Gianluca Molteni have written an interesting article on pricing using the Dupire local volatility model as the path dependent features of these products means that the standard Balck Scholes model with it constatnt volatility assumption is […]
Handling the complexities of TARF FX Options
Target Redemption Fowards (TARFs) are complex OTC financial instruments used in FX markets. An instrument type that many of us will have heard about in passing, but not had the need or time to delve into the details. My colleagues, Serena Manti and Gianluca Molteni have written the first of a series of articles on […]
FX Clearing – What Happens in March stays in March?!
FX Cleared Volumes Using CCPView, we see that cleared OTC FX has grown again since I last wrote about it in 2022: Showing; Are These Still All NDFs? Not anymore! FX Options have seen record volumes in April 2024: 85% of cleared FX is now in NDFs, substantially lower than the 96% back in 2022. […]
Cable Cross Currency Swaps 2024
Issuance A particular headline in the FT recently piqued the interest of this blogger: Like a moth to a flame, I was drawn to the statement: The demand has helped push a number of continental European companies to issue sterling debt for the first time in recent months, including German real estate company Vonovia, German […]