Swaps Data Review: FX Options – candidate for a clearing mandate
My Monthly Swaps Data Review for Risk Magazine was published this week. This looks at: Vanilla FX Options reported to US SDRs Vanilla FX Option volumes on SEFs Barrier FX Options reported to US SDRs Please click here for free access to the full article on Risk.Net
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 […]
Swaps Data Review: CCP and SEF Volumes Growing
My Monthly Swaps Data Review for Risk Magazine was published this week. This looks at which CCPs and SEFs are up and which are down in 2017, for: Interest Rate Swaps Non-Deliverable Forwards CDS Index Please click here for free access to the full article on Risk.Net
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 […]
Swaps Data Review: Basis Swaps Galore
My Monthly Swaps Data Review for Risk Magazine was published last week. This looks at some of the less well traded IRD products: In USD, EUR, GBP, JPY, AUD, CAD Basis Swaps USD FedFunds and Libor 1m v3m Cross Currency Inflation Swaps Caps and Floors Exotics Please click here for free access to the full […]
Introducing Our Daily Briefing, Direct to your inbox
Introducing the new Clarus Daily Briefing. Curated market information direct to your inbox. Swap rates, volumes and Central Bank rate expectations every day. Make sense of daily trading activity in less than 2 minutes. We offer a free two-week trial before your paid subscription starts. Daily Market Commentary We always aim to improve the general […]
Swaps Data Review: Credit Derivative volumes
My Monthly Swaps Data Review for Risk Magazine was published on Friday. This looks at volumes of Credit Derivatives in the 4-month period to July 2017, showing: Global Cleared Volumes CDS Index represents 86% and CDS 14% of volume ICE Clear Credit is the largest CCP with 75% of the volume iTraxx Europe is the […]
Swaps Data Review: CCP and SEF Volumes
My Monthly Swaps Data Review for Risk Magazine was published on Friday. This looks at volumes of G4 Swaps in the first six months of 2017, showing: Strong growth at LCH and JSCC OIS volumes significant in USD, EUR and GBP JSCC volumes in JPY Swaps exceeding LCH in 2017 SEF volumes show D2C continuing […]
June 2017 Swaps Review in 15 Charts
Continuing with our monthly Swaps review series, let’s look at volumes in June 2017. Summary: SDR USD IRS price-forming volume > $2.1 trillion gross notional, similar to a year earlier SEF Compression activity in USD IRS > $300 billion, 51% higher than a year earlier On SEF IMM Roll volume > $60 billion USD OIS price-forming volume was > $2.7 trillion, again […]
Swaps Data Review: A Day in the Life of a Swap
My Monthly Swaps Data Review for Risk Magazine was published today. This looks at what can be seen in price data for Interest Rate Swaps by focusing on June 14, 2017 (the most recent FOMC meeting) and three of the highest volume products: USD 10Y Swaps USD 10Y Spreadovers USD Curve/Switch/Butterfly Swaps in 10Y Trade prints, […]