NDF Clearing Update
Little has changed in FX NDF Clearing since our last update in March. From the data, Clearing is now a “business as usual” operation for a significant sector of the market. We further refine our data methodology by introducing an estimate of the errors inherent in our market share metrics. These errors look to be acceptably small, at […]
Examining The Cleared OTC FX Options Market
One of the better known / worst kept secrets in the OTC markets these days is that the largest clearing houses are planning to clear FX Options. Details on this are very thin. LCH have made a couple announcements over the years with respect to clearing options, and if you look hard enough on the […]
NDF Trading After 1st March
Open Interest of NDFs has set new records recently. Volumes have continued to be elevated compared to 2016. We have not seen a significant change in behaviour since the 1st March VM big bang. Overall, we estimate 15% of the entire market is now cleared. Up to 35% of D2D volumes are being cleared during any […]
NDF Volumes – It’s all about Clearing
Cleared volumes are now a significant portion of the NDF market. The percentage of the NDF market that is cleared has steadily increased every month since September, to now stand at 14%. We estimate that 35% of Dealer-to-Dealer volumes are now cleared as a consequence of the Uncleared Margin Rules. A Brief Recap Our SDRView data products display trades […]
BRL NDF Market – 30% of Dealer to Dealer flow is now cleared
We look at the USDBRL market in the latest in a series of NDF blogs Clarus data covers over 66% of the market on a trade-by-trade basis For the Dealer-to-Dealer market alone, our coverage increases to 73% Our data shows that clearing has increased from 6% to 31% of dealer-to-dealer flows. Bringing Old Blogs Up To […]
BIS 2016 FX Data – how much of the NDF market is Cleared?
We look at the FX data within the BIS triennial survey And show the evolution of NDF clearing since the UMRs came into force in September 10% of the market is currently being cleared, up from just 2% in April A background to NDF Data This blog will tie together a couple of themes from my recent blogs covering BIS […]
NDF Clearing – what is trading?
We look at the volumes being cleared in NDFs The growth is impressive, with nearly $200bn cleared in September This growth accelerated in the final weeks of September USDINR saw the highest volumes and USDBRL saw the largest growth Tod took a look at NDF clearing as of the 20th September, noting that volumes were really beginning to take-off. […]
Brexit: FX Option and FRA Analysis
With the referendum just around the corner, it would be amiss if we did not update our analysis of EUR/GBP and GBP/USD FX Options ahead of the vote. We also take a look at GBP FRA activity, particularly the FRA switch over the 24th June. EUR/GBP and GBP/USD activity From SDRView Res, we can compare activity since […]
What is Multilateral Netting – FX NDF Clearing
Only a small portion of the NDF market is cleared We present theoretical exposures within bilateral and multilateral dealer networks to illustrate the reduction in Initial Margin that multilateral netting offers We can see that the motivation to clear varies with a dealer’s position And as positions change over time, more clearing leads to greater reductions in IM After my post last week […]
What’s going on – FX NDF Trading 2016
We update our periodic look at NDF markets for 2016. Over $1.1 trn in NDFs are regularly reported each month to SDRs. With up to 50% of the market traded on-SEF. March 2016 saw record volumes transacted on-SEF with over $500bn trading for the first time. Global cleared volumes have increased to nearly $75bn per […]