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 […]
NDF Clearing September 2019
CFTC data shows a sharp increase in NDF clearing since July this year. September 2019 was a record month for the notional of NDFs cleared. BIS data shows that NDF markets doubled in size between April 2016 and April 2019. Is Phase 4 of the Uncleared Margin Rules accelerating the uptake of NDF clearing? SDRView […]
FXD Counterparty Risk Optimization and Q2 2019 Volumes
FX Derivatives (FXD) participants face a tricky choice across a patchwork of clearing and uncleared optimization techniques, trading off funding and capital usage with infrastructure spend and operational risk. In earlier posts, we showed you how FX IM optimization via NDFs and FX Options clearing developed in Q1 2019. Here I update the volumes for […]
NDF Clearing 2019
We update our analysis on NDF Clearing in 2019. We find that 20% of the overall market is now cleared. NDF volumes in Asian currency pairs have rocketed higher. Clearing volumes have reached somewhat of a plateau. Why? NDF Volume Analysis Finding up-to-date analysis on uncleared OTC derivatives is currently a frustrating job. The last […]
ISDA SIMM FX Optimisation: The Data and Alternatives
In my recent post on the same topic, I outlined how deliverable currency FX NDFs are being used to reduce SIMM FX delta, as opposed to a product traded in the usual sense. In today’s article I show the data that underpins my view and consider if NDF delta compression will be a permanent feature […]
ISDA SIMM FX Optimisation and NDFs
Since Uncleared Margin Rules started to bite in September 2016, traditional NDFs have shifted markedly to clearing in response to UMR (see NDF Volume Data). Deliverable currency NDFs have also experienced dramatic increases but with much smaller clearing percentages. Why the low clearing percentages? Answer: there’s a whole different purpose to these trades. I explain […]
FXOptions Cleared Volumes Up in Q1 2019
FX Options clearing volumes data show a marked jump in Q1 2019 – quadrupling cleared notional outstanding from the end of 2018, unlike IR Swaptions and CDX Swaptions, which show little traction. In this article I will look into the detail of this jump in FX Option volumes. Options Clearing Overview To recap my prior […]
NDF Volume Data
The challenges in Emerging Markets recently, as well as finding different data sources for NDFs, prompted me to refresh our data on FX markets. Is Clearing still accelerating for NDFs? It looks that way. Clearing accounted for 16% of the total market, even before the recent 30% growth in Cleared volumes. 2018 Q1 and March […]