HKD Interest Rate Derivatives are the 5th most traded APAC currency. They trade in a range of maturities out to 30 years, but the block thresholds and lack of SEF market prevent us seeing the true size of trades. USDHKD FX Options are at least a $750bn per month market. Transparency in this market also […]

SOFR vs FF Basis Swaps, a new high in Sep-19 of $19 billion SOFR Outright Swaps, less trades and notional than Aug-19 SOFR Swaps were mostly Off SEF and Cleared For On SEF, tpSEF reported the most trades Oct-19 volumes are shaping up to exceed Sep-19 LCH SwapClear reported $45 billion notional in Sep-19 Clarus […]

Clarus SDRView consolidates all Swap or Trade Data Repositories that publish transaction level data and have meaningful volume. As only the United States and Canada have transaction level public reporting, our focus has been on these jurisdictions, which provide by far the most interesting and useful data. European, Japanese, Australian, Singapore and other jurisdictions have […]

SOFR Swap trade counts hit a new high in August Outrights and Basis both much higher than prior months Outrights are all Off SEF with a significant portion Uncleared Basis are mostly On SEF (by trade count) TP-ICAP with tpSEF and TraditionSEF vying for top spot 5Y is emerging as the most frequently traded tenor […]

Swap Spreads, aka Spreadovers, have recently turned negative again in the US. They rebounded back into positive territory fairly quickly. This is against a background of all-time record volumes in USD swaps reported to US SDRs. Should Swap Spreads be at zero versus SOFR after LIBOR disappears? Negative Again In case you missed it, Swap […]

We take a look at the total size of uncleared derivative markets. FX Options are the largest Uncleared market, followed by Swaptions and NDFs. Cross Currency swaps are the fourth largest uncleared market. Around $5.5trn each month trades uncleared – almost equivalent to the US market for cleared IRS. Uncleared Markets The death of uncleared […]

For the first time, basis trading reported to the SDRs has topped $1trn in a single month. Similarly, global basis trading has now topped $2trn cleared at LCH SwapClear in a single month. We see that average maturity of basis trades varies according to the indices being traded. Activity in 30y and 50y basis trading […]

We saw record cleared volumes in vanilla IRS in June 2018. We take a look at the data behind these records. SDR data covers 60% of cleared volumes in USD swaps. SDR data also covers non-USD swaps and we quantify exactly what proportion of the market it covers. Introduction With MIFID data soon to be […]