Swaps Data: Clearing Houses and one trillion dollars

My monthly Swaps Review looks at aggregate disclosures from over 50 clearing services, with details on: Initial margin by house and client Initial margin by product type Default resources, member and own capital Cash resources Stress Loss Margin calls Showing that in aggregate over $1 trillion is held by or available to clearing houses. Please click […]

Swaps Data: Analysing the US rates collapse

My monthly Swaps Review looks at: USD Swap rates daily moves in 2019 YTD Highlighting the massive falls in August 2019 Putting these into historical context all the way back to 2008 The impact on Initial margin models The impact on CME-LCH-Basis and CCP Switch trades USD Swap volumes in August 2019 Please click here for […]

USD SOFR Swaps volumes on the up in Aug 2019

SOFR Swap trade volumes picked up significantly last week Trade counts in one week were half of the combined May and June totals Outrights were all executed Off SEF and the majority were cleared Basis were all executed on On SEF and were all cleared We show how Clarus Data Products can be used to […]

Swaps Data: IM grows in Listed and OTC markets

My monthly Swaps Review looks at the recently published CPMI-IOSCO Quantitative Disclosures by CCPs and highlights: Initial Margin YoY trends for IRS, CDS & ETD Clearing Houses Maximum total VM received on a single-day Estimated Peak Stress Loss on Default Actual largest Credit exposure Please click here for free access to the full article on […]