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 […]
Swaps Data: Cleared Volumes and CCP Market Share
My monthly Swaps Review in Risk Magazine looks at: Cleared Volumes and Market Share in Q1 2019, for: IR Swaps – USD, EUR & JPY Credit Default Swaps – USD & EUR FX Non=Deliverable Forwards Compared to both Q4 2018 and Q1 2018. Please click here for free access to the full article on Risk.net.
Swaps Data: SOFR Swaps slip, Futures flip
My monthly Swaps Review in Risk Magazine looks at: Volumes in SOFR Futures SOFR Swaps AONIA and SONIA Swaps Volumes and tenors traded Volumes in EONIA and FedFund Swaps Please click here for free access to the full article on Risk.net.
Swaps Data: SOFR volume and margin insights
My monthly Swaps Review in Risk Magazine looks at: IBOR benchmark reform CME SOFR Futures SOFR Swaps Uncleared margin rules Swaptions NDF in major ccy pairs Please click here for free access to the full article on Risk.net
JPY Swaps – A Market Overview
JSCC has enjoyed a 63% market share in vanilla JPY IRS versus LCH over the past year. The market shares vary by tenor and month-by-month. JPY OIS trading is a very small market. LCH is the leading CCP in this market with a 67% market share. JPY single currency basis trading remains a large market […]
Swaps Data: Volumes Up amid Volatility
My monthly Swaps Review in Risk Magazine looks at: Cleared Interest Rate Swaps in USD, EUR, JPY Cleared Credit Default Swaps in USD, EUR Cleared Non-Deliverable Forwards Volumes in 3Q18 vs 3Q17 Volumes in Oct-Nov18 vs Oct-Nov17 Growth rates in these periods Please click here for free access to the full article on Risk.net.
Swaps Data: Cleared vs Non-Cleared Margin
My monthly Swaps Review in Risk Magazine looks at: Initial margin for non-cleared OTC derivatives Initial margin for cleared OTC derivatives Growth rates in each of these Multilateral netting benefits Increasing Clearing Please click here for free access to the full article on Risk.net.
Oct 2018 Swaps Review in 15 Charts
Today I will look at Swaps volumes in the most recent 3 months using the format of my Nov 2017 Swaps Review article. SDR USD IRS price-forming volumes are up 10% USD IRS On SEF Compression volumes are up 50% USD OIS volumes are up 35% EUR, GBP, JPY IRS On SEF Compression volumes at record highs SEF D2C SEF volume growing 42% […]
Swaps Data: Sonia growth spreads down the curve
My monthly Swaps Review in Risk Magazine looks at how: volumes of GBP SONIA Swaps are growing compared to LIBOR Swaps, the maturity profiles that trade for these two products, EONIA and EURIBOR volumes and maturity profiles. Please click here for free access to the full article on Risk.net.
Swaps Data: The race to replace Libor
My monthly Swaps Review in Risk Magazine discusses Libor and looks at derivatives volumes in the Alternative Reference Rates that have been selected to replace it. I look in detail at SOFR Futures, SONIA and EONIA Swaps. Please click here for free access to the full article on Risk.net.