Swaps Data Review: Basis Swaps Galore

My Monthly Swaps Data Review for Risk Magazine was published last week. This looks at some of the less well traded IRD products: In USD, EUR, GBP, JPY, AUD, CAD Basis Swaps USD FedFunds and Libor 1m v3m Cross Currency Inflation Swaps Caps and Floors Exotics Please click here for free access to the full […]

Introducing Our Daily Briefing, Direct to your inbox

Introducing the new Clarus Daily Briefing. Curated market information direct to your inbox. Swap rates, volumes and Central Bank rate expectations every day. Make sense of daily trading activity in less than 2 minutes. We offer a free two-week trial before your paid subscription starts. Daily Market Commentary We always aim to improve the general […]

Swaps Data Review: Credit Derivative volumes

My Monthly Swaps Data Review for Risk Magazine was published on Friday. This looks at volumes of Credit Derivatives in the 4-month period to July 2017, showing: Global Cleared Volumes CDS Index represents 86% and CDS 14% of volume ICE Clear Credit is the largest CCP with 75% of the volume iTraxx Europe is the […]

Swaps Data Review: CCP and SEF Volumes

My Monthly Swaps Data Review for Risk Magazine was published on Friday. This looks at volumes of G4 Swaps in the first six months of 2017, showing: Strong growth at LCH and JSCC OIS volumes significant in USD, EUR and GBP JSCC volumes in JPY Swaps exceeding LCH in 2017 SEF volumes show D2C continuing […]

June 2017 Swaps Review in 15 Charts

Continuing with our monthly Swaps review series, let’s look at volumes in June 2017. Summary: SDR USD IRS price-forming volume > $2.1 trillion gross notional, similar to a year earlier SEF Compression activity in USD IRS > $300 billion, 51% higher than a year earlier On SEF IMM Roll volume > $60 billion USD OIS price-forming volume was > $2.7 trillion, again […]

Swaps Data Review: A Day in the Life of a Swap

My Monthly Swaps Data Review for Risk Magazine was published today. This looks at what can be seen in price data for Interest Rate Swaps by focusing on June 14, 2017 (the most recent FOMC meeting) and three of the highest volume products: USD 10Y Swaps USD 10Y Spreadovers USD Curve/Switch/Butterfly Swaps in 10Y Trade prints, […]

May 2017 Swaps Review

Continuing with our monthly Swaps review series, let’s look at volumes in May 2017 and in a change from the usual format of SDR data, then SEF market share and then CCP volumes, I will take a product centric view. Summary USD IRS Global Cleared volume in May was $4.6 trillion (up from $3.6 trillion in April) US On SEF volume […]

Swaps Data Review: ADV for OTC Derivatives

My Monthly Swaps Data Review for Risk Magazine was published today. This shows that Average Daily Volume (ADV), a widely used metric for Futures and Options contracts, can now be calculated at a the same granular level for OTC Derivatives. So just as CME Group publishes the ADV for the 10Y Treasury Note, it is […]

April 2017 Swaps Review

Continuing with our monthly Swaps review series, let’s look at volumes in April 2017. Summary: SDR USD IRS price-forming volume > $1.8 trillion gross notional SEF Compression activity in USD IRS > $250 billion USD OIS volume was > $2 trillion Both USD IRS and OIS are well down from recent highs EUR IRS and OIS volume is mostly Off SEF SEF USD, […]

Swaps Data: ETD vs OTC, USD IRS, OIS and NDF

Highlights of this months Swaps Data Review article include: Initial Margin at LCH, CME, ICE, Eurex (as of Dec 31, 2016) ETD IM of $191 billion and OTC IM of $171 billion With ETD and OTC splits for each of the four CCPs LCH SwapClear Client IM for the first time just exceeded House IM SwapClear […]