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 […]
Swaps Data: How the market responded to Covid-19
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.
Swaps Data: Cleared volumes drop for all markets – except FX
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.
Swaps Data: Have SOFR and Sonia swaps and futures lived up to expectations?
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 […]
Swaps Data: Q3 2019 Clearing Volumes increase
My monthly Swaps Review looks at Q3 2019 volumes compared to 2018 and CCP market share for: Interest Rate Swaps in USD, EUR, JPY Credit Default Swaps Non-Deliverable Forwards FX Options Please click here for free access to the full article on Risk.net.
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: Are RFRs on track to replace Libor?
My monthly Swaps Review looks at: USD SOFR Futures and growth in open interest USD SOFR Swaps outstanding notional GBP Libor and Sonia Swaps Tenor breakdown of Sonia Swaps Sonia Futures growth in open interest Please click here for free access to the full article on Risk.net.
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 […]