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 […]

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: 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.