Clarus data reveals the truth about SONIA derivatives liquidity
A few weeks ago, I highlighted that the EUR swaps market is now larger in size than the USD swaps market (within a broader blog post on the BRL swaps market): LIBOR cessation is likely the main reason for this change in the relative size of EUR markets. EUR markets trade FRAs and Basis swaps […]
3Q23 CCP Volumes and Share in CRD and FXD
A review of Credit Derivatives (CRD) and FX Derivatives (FXD) volumes and market share at Clearing Houses (CCPs) in 3Q 2023. All the charts and detail from CCPView. Credit Derivatives Volume USD CDX, CDS and Swaptions Overall volumes in 2023Q3 at $3.35 trillion as compared to $3.75 trillion in 2022Q3. Market Share of USD CDX The […]
Clarus Goes Podcasting – What Do You Think?
Amir and I have taken the bold decision to dip our toes into podcasts. For the foreseeable future, we will be giving you a verbal update on the blogs (and what doesn’t make the blogs) once a week. It gives us a chance to quiz each other (in the nicest possible way) about what we […]
Central Clearing of US Treasuries
I published an article on the ION Markets Blog, please read at Central Clearing of US Treasuries. It highlights a recent DTCC White Paper on Assessing a Potential Expansion of U.S. Treasury Central Clearing, which includes findings from a survey.
ISDA SIMM – What changes in v2.6?
Version 2.6 ISDA has published ISDA SIMM v2.6 with a full re-calibration of risk weights, correlations and thresholds. The calibration period is a 1-year stress period (Sep-08 to Jun-09, the Great Financial Crisis) and the 3-year recent period ending Dec 2022 (or possibly later, but at time of writing I cannot find this specified, so am going […]
RFR Trading Is Now Back on Track – August 2023
The ISDA-Clarus RFR Adoption Indicator for August 2023 has now been published. Showing; Highlights Can the narrative cloud the facts? I feel like that is the case with RFR Trading. Look at headline adoption of RFRs in 2023: Plus; This is against a backdrop on the Clarus blog, whereby we have noted: The August 2023 ISDA-Clarus […]
Brexit continues to impact EUR Swaps market share for CCPs and SEFs
It all started with a blog titled “Moving Euro Clearing out of the UK: the $77bn problem?“. Now, ISDA and other trade associations have published a statement on the “active account” requirement for Europeans: Which says; In case any of this is new to our readers, Brexit has resulted in a (political) desire in Europe […]
Most Active Names in Credit and Equity Derivatives – August 2023
I last looked at the most active trading names in CDS and TRS in May 2023, so today I will look at August 2023 data from US SEC Securities Based Data Repositorys (SBSDRs). CDS on Sovereigns Using SBSDRView, we can find the most active sovereigns for CDS trades in August 2023. The above list was a […]
What’s New in CCP Disclosures – 2Q23?
Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Background Under the CPMI-IOSCO Public Quantitative Disclosures, CCPs publish over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing and more. CCPView has over 7 years of these quarterly disclosures for 44 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep […]
JPY TONA Futures: A Rising Star in the RFR Market
*I hope our readers don’t mind, but I chose to accept a little help from Bard this week. With so much web traffic generated via Google searches, I thought it a worthwhile experiment. TIBOR Cessation No two markets are the same, and we see this in the adoption of RFR trading. Whilst JPY LIBOR is […]