Even More on Blocks and new rules for FX
CFTC Global Markets Advisory Committee Following up on my blog last week, there is now the recording of the CFTC’s Global Markets Advisory Committee (GMAC) available on youtube: There are some interesting take-aways: Showing; Elsewhere, Tradeweb and Bloomberg provided insights into the RFQ1 vs RFQ-to-many split amongst large trades. This is some really interesting data. […]
2Q23 CCP Volumes and Share in CRD
A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 2Q 2023. All the charts and detail from CCPView. USD CDX, CDS and Swaptions CDX volumes significantly down compared to all the prior quarters shown. Market Share of USD CDX The upcoming ICE Clear Europe shutdown later in 2023, resulting in […]
New Block Trading Rules Will Now Start in December 2023
Those of you with long memories will recall a particular blog I wrote about Block Trading and new rules that were going to come into play: Those new rules could have come into play as early as March 2023, but they have been delayed until December 2023. As a result, we have just seen learnt […]
We Need to Talk About the Clarus API
Most of our readers come to the Clarus blog to receive new information from us. Whether that be on the data side (such as the monthly RFR Adoption Indicator) or about new regulations (such as Central Clearing of Bonds and Repos). But do our readers ever stop to consider which tools we use to deliver […]
2Q23 CCP Volumes and Share in IRD
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. Today we look at 2Q23 Volume and market share in IRD for: Onto the charts, data and details. Volumes and Market Share For major currencies and regions, vanilla swaps referencing IBORs and OIS […]
Bollinger, Greenspan and The Millennium Bug: LIBOR Is Now Dead
USD LIBOR is no more: I will likely never type US0003M into my Bloomberg ever again. I doubt many will shed a tear at the ultimate demise of LIBOR because: LIBOR – The Numbers This is as good a time as any to therefore pause and consider some of the things we saw in USD […]
The Latest on Canada and the Transition from CDOR to CORRA
ISDA recently published a very informative webinar on the CDOR Transition: From this, I learned that 30th June 2023 (i.e. Friday!) is a big day for Canada Rates markets. Succinctly, no more new CDOR trading should take place after this date, other than for some well-defined exceptions. The CARR website is a great resource (from […]
Gilty Secrets Of GBP Swaps
(Sorry/not sorry for the title) UK Rates UK rates markets have been interesting ever since the autumn meltdown, and there are now lots of headlines around as yields break the highs last reached in those tumultuous trading days: The FT Alphaville overview of why June 2023 is not September 2022 is well worth a read […]
Most Active Names in Credit and Equity Derivatives – May 2023
Last month I looked at the most active trading names in CDS and TRS in April 2023, so today I will update that for May 2023. This data is from U.S. SEC Securities Based Swap Data Repositorys (SBSDRs). CDS on Sovereigns Using SBSDRView, we can find the most active sovereigns for CDS trades in May 2023. […]
What’s New in CCP Disclosures – 1Q23?
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 […]