SOFR SpreadOvers are now starting to trade

On June 8, the CFTC’s Market Risk Advisory Committee’s (MRAC) Interest Rate Benchmark Reform Subcommittee voted to recommend market best practice for switching interdealer trading conventions from Libor to SOFR (see release 8394-21). Referred to as SOFR First, it is modelled on the UK’s SONIA First and is a prioritization of interdealer trading in SOFR […]

10.7% of New Risk Traded versus an RFR

The latest ISDA-Clarus RFR Adoption Indicator has been published for May 2021. It saw an increase to 10.7%, a small increase from last month. When will the big leaps happen? Showing; The RFR Adoption Indicator was at 10.7%. This was higher than last month and very similar to all of the 2021 readings (March aside). USD SOFR decreased to […]

USD & EUR Swap Volumes – May 2021

USD IRS , OIS and SOFR volumes EUR IRS, OIS and €STR volumes May compared to prior months and 1Q 2021 CCP market share for currency and product CCPView provides transparency on Swap volumes USD IRS From CCPView, USD IRS only, so excluding OIS, Basis, ZC, VNS and FRAs. May with $6.8 trillion, similar to April and down from the high […]

JPY TIBOR And RFRs: Is There A New Path?

A large proportion of JPY swaps activity at JSCC has moved to JPY TIBOR. JPY LIBOR swaps have shrunk from 89% to just 66% of the market. At the same time, overall JPY IRS volumes have drastically shrunk. We look at the data behind cleared JPY IRS markets. A Bloomberg article last week flagged to […]

CE3 Currencies and Derivatives Clearing

Did you know that volumes in CZK interest rate derivatives have increased ten-fold in the past five years? CZK is now the largest Rates market amongst CE3 currencies. In the same time-period, HUF cleared markets have actually shrunk. PLN markets have grown by about 50%. Did the expiry of the Exchange Rate Commitment in CZK […]

Archegos, APAs and Uncleared Margin Rules

My recent blog on Archegos, Trade Repositories and Initial Margin, was very popular, so I wanted to do a follow up on the same two topics; transparency of derivatives and initial margin requirements. For those of you not familiar with the three letter acronym, APA, it stands for Approved Publication Arrangement which is a European […]

New: What caused volumes to decrease in April?

The latest ISDA-Clarus RFR Adoption Indicator has just been published for April 2021. It saw an increase to 10.1% and it is now back to the levels it has been at for most of 2021. Was March maybe just a blip in the RFR story? Showing; The RFR Adoption Indicator was at 10.1%, higher than last month […]

Archegos, Trade Repositories and Initial Margin

Amongst the many questions that standout from the huge losses suffered by prime brokers in closing out the positions of Archegos Capital Management, the two that interest me most are, first the lack of transparency of the derivatives (total return swaps) used for these positions and second the in-adequate risk management by the prime brokers. […]

JSCC and CME RFR Adoption Indicators

A client recently asked us if we had ever calculated our RFR Adoption Indicators for individual CCPs. The answer was a surprising “No” so I thought I should rectify that in today’s blog. This was somewhat motivated by this Risk.net story on JPY this week. The story highlights how different CCP market shares are at […]

Swaption Volumes by Strike Q1 2021

USD Swaptions activity hit all time records in March 2021. Driven by the large sell-off in Fixed Income markets, we see particular evidence in 5Y tails of convexity hedging in Swaptions markets. We analyse the activity by strike and underlying (tails). For once, we are playing catch-up here. Chris Whittall over at IFR brought to […]