Deciphering the end of LIBOR in the data

The final cessation of GBP, JPY and CHF LIBOR will have some impacts on transparency data across our Clarus data. Here are some of the more obvious ones to highlight. We are sure that more will become apparent over the coming weeks: IRS Have Disappeared The most stark representation of the cessation of LIBOR comes […]

2021 CCP Volumes and Market Share in IRD

Details of 2021 volumes and market share for OTC Derivatives in Interest Rates reported by Clearing Houses. Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparisons of volumes, as in all the charts below. Contents: USD Swaps (LIBOR, OIS, SOFR) EUR Swaps (EURIBOR, OIS, €STR) GBP Swaps […]

Top Blogs of 2021

For our first blog this year, I wanted to highlight our top blogs of 2021 and share a few statistics. Top New Blogs in 2021 Starting with a list of the most popular new blogs that we published in 2021. The top four with > 2,000 views each and a total of 30,000 views for […]

IR Futures Volume – Nov 2021

I last looked in detail at IR Futures volume in February 2021, so in this blog I will update the Average Daily Volume (ADV) and Open Interest (OI) of the major IR futures: Money Market and Bond Futures AUD, BRL, CAD, CHF, EUR, GBP, JPY and USD Relative size by ADV and OI on a […]

SOFR Swaptions – Month One Update

We recently covered SOFR Swaptions – Week One Update and SOFR First in Swaptions, and now that we have November volumes, I wanted to update what the data shows. November 2021 – SOFR Swaptions In SDRView Researcher, we select USD Swaptions and categorize by reference index as IBOR or RFR. Showing the jump to 29% of […]

What is a Consolidated Tape?

Following on from last week’s blog, I realised maybe I had jumped the gun somewhat. Since the European Commission has now published their report (and a Consolidated Tape for derivatives is included), I thought it worthwhile to take a step back. What actually is a Consolidated Tape and what that might mean for Transparency in […]

Consolidated Tape: Don’t let perfection be the enemy of good for derivatives

Dutch regulators have today stated with regards to European transparency data: Significant regulatory changes are needed to simplify the current fixed income post-trade deferral regime. Common data standards [are required], to set required data fields, and to agree on data access. Trading venues and APAs [need] to contribute the required data fields and supporting commercial […]