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 […]
What You Need to Know about BRL Swaps
But first… Before we plough into BRL swaps, did you know that the EUR Swaps market is now larger than USD? From CCPView: Showing; It doesn’t take a rocket scientist to work out what has caused this: I thought our readers would find that an interesting addition to their Summer reading. Back to the topic […]
Clearing of US Treasuries – What Are People Saying?
The SEC issued a proposal last year regarding a potential clearing mandate for cash treasuries and repos. There is a good two-pager summary from the SEC here: Or you can choose to read the entire proposal here: Clearing of Cash, Repo and Swaps are all different First of all, I think it is important to […]
RFR Adoption July 2023
RFR Adoption is Increasing Again The latest edition of the ISDA-Clarus RFR Adoption Indicator was published earlier this week. You can find the full report over on the ISDA website here. As always, we provide a look into the data: Showing; SOFR Trading Increases As long-time readers well know by now, USD markets (and hence […]
How large are Cleared Swap markets?
I published my first article on the ION Blog covering Cleared Swap markets and comparing open interest and volume between Swaps and Futures for Interest Rate Derivatives. Please read at How large are Cleared Swap markets?
SOFR Swaps Volumes and Share – July 2023
Let’s update my blog on IDB Market Share in SOFR Swaps with the most recent data and expand the coverage to also include D2C venues. Types of SOFR Swaps SOFR Swaps in the IDB (inter-dealer broker, D2D) market trade primarily as Spreadovers to US Treasuries. This is by far the most frequent trade type in […]
FSB Paper on Liquidity in Core Government Bond Markets
I recently took a first look at Central Clearing of Bonds and Repos and in that blog I mentioned a Financial Statility Board (FSB) paper on Liquidity in Core Government Bond Markets. This paper analyses the liquidity, structure and resilience of government bond markets, with a focus on the events of March 2020; characterised as […]