Swaps Data: The Allure of Liquidity

My monthly Swaps Review in Risk Magazine looks at execution venue market share in 1Q 2018 for: CDS Index NDFs by currency pair FX Options by currency pair Interest Rate Swaps by major currencies Bloomberg MTF for EUR IRS In simple terms, it shows that volume is either dominated by a single venue or split […]

Mar 2018 Swaps Review – SDR Data in 9 Charts

Continuing with our Swaps review series, let’s look at volumes in March 2018, focusing just on SDR Data. Summary: USD IRS volumes in 1Q 2018 are 11% higher than 1Q 2017 USD IRS On SEF Compression, a record month in Feb 2018 USD Swap Curve flattened by 12 bps over the month USD OIS volume exceeded the gross notional of USD IRS EUR, GBP, […]

Swaps Data: A MiFID-shaped hole

My monthly Swaps Review in Risk Magazine looks at: Global volume in Cleared USD Swaps at LCH and CME US Swap Execution Facility volumes US Off SEF volumes MiFiD II so far failing to provide meaningful data USD OIS Swap volumes The challenge for SOFR Please click here for free access to the full article […]

Swaps Data: the monopoly effect in clearing

My Monthly Swaps Data Review for Risk Magazine was published this week. This looks at 2017 CCP Volumes for: Interest Rate Swaps, in major and minor currencies Credit Derivatives, index and single-name Non-Deliverable Forwards It shows the dominance of one global CCP in each asset class and significant share by other CCPs in a specific […]

Clarus Daily Briefing

Our Clarus Daily Briefing is *FREE*. It provides a summary of price moves, volume trends and central bank expectations. Bringing you information about Swap markets straight to your inbox. Is your firm interested in sponsoring the Daily Briefing? If so, reach out to us. The FREE Clarus Daily Briefing Every morning, Clarus deliver our Daily […]

Nov 2017 Swaps Review in 16 Charts

Continuing with our Swaps review series, let’s look at volumes in November 2017. Summary: SDR USD IRS volumes similar to prior months USD IRS On SEF Compression close to monthly highs USD OIS volume similar to the gross notional of IRS Our new Daily Briefing for USD Swaps is now available EUR, GBP, JPY IRS volumes similar GBP On SEF Compression up from prior […]

Sep 2017 Swaps Review in 16 Charts

Continuing with our Swaps review series, let’s look at volumes in September 2017. Summary: SDR USD IRS volumes similar to prior months USD IRS SEF Compression and Rolls with much higher volumes USD OIS volume subdued and down to similar gross notional to IRS Our new Daily Briefing for USD Swaps is now available EUR IRS and OIS volume up from […]