In the transition from LIBOR to SOFR, the recent change by Clearing Houses to discount swaps using a SOFR curve instead of a FedFunds curve has long been trailed as a key milestone for higher volumes in SOFR derivatives. In today’s blog I look at how SOFR Swap volumes did in October 2020. I also […]
I recently looked at CCP Swap Volumes and Share – 2Q 2020 for Interest Rate Swaps, so today I will do the same analysis for Credit Derivatives and FX Derivatives. USD CRD Starting with Credit Derivatives in USD, both Indices and Single-names. 2Q 2020 with $2.65 trillion, up from the $2 trillion in 2Q 2019 […]
In today’s blog, I look at interest rate swap volumes and CCP market share in major currencies, focusing on 2Q 2020 and comparing QoQ and YoY figures. After the massive volatility and volume we saw in 1Q 2020, the most recent quarter was much quieter. Even so, there are interesting changes in volume and market […]
My monthly Swaps Review looks at Initial Margin requirements as disclosed in the recently published 1Q 2020 CPMI-IOSCO Quantitative Disclosures for CCPs, showing: The extent of the IM increases in Q1 2020 The wide variance by product class 23%, 46%, 66% for IRS, CDS, F&O respectively The wide variance between CCPs in the same product […]
An update to SOFR Futures and Swaps – May 2020 Volume and Open Interest in SOFR Futures is down Swaps Volume also down, but OI is up US persons data shows activity recovering in June SEF volume remains much lower than Off SEF Clarus Data Products provide more insights Volumes and Open Interest In CCPView we can view both […]
My monthly Swaps Review looks at cleared volumes in the most recent 3-month, covering Volumes Feb-Apr 2020 compared to Feb-Apr 2019 Interest Rate Swaps in USD, EUR, JPY Credit Default Swaps FX Derivatives (NDF, FXO) CDS was the standout with almost twice the monthly volume in March 2020, while USD IRS and NDF both achieved […]
My monthly Swaps Review looks at USD Swap volumes over the volatile February to March period, covering Daily and monthly volumes for USD IRS and OIS Days with largest 1-day price changes and volumes Prices of trades on March 6th Please click here for free access to the full article on Risk.net.
My monthly Swaps Review looks at 4Q 2019 volumes compared to 4Q 2018 and CCP market share for: Interest Rate Swaps in USD, EUR, JPY Credit Default Swaps Non-Deliverable Forwards Please click here for free access to the full article on Risk.net.
My monthly Swaps Review looks at open interest and volume in 2019 for: SOFR Futures at CME and ICE SONIA Futures at ICE, CME, CurveGlobal SOFR Swaps at LCH and CME SARON Swaps at LCH €STR Swaps at LCH GBP Libor and SONIA Swaps at LCH Please click here for free access to the full article on […]