Swap Volumes in October 2020

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 […]

CCP Volumes and Share in CRD and FXD – 2Q 2020

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 […]

CCP Swap Volumes and Share – 2Q 2020

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 […]

Swaps Data: Initial Margin Soars in Q1 2020

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 […]

SOFR Futures and Swaps – June 2020

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 […]

Swaps Data: Record Trading Volumes in March

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 […]