Fast Valuation of Seasoned OIS Swaps

OIS swaps have coupons determined by compounded daily interest rates settled every few months. The valuation of future coupons is computationally similar to the valuation of a LIBOR payment, in that the valuation involves the ratio of two discount factors associated with the start and end of the accrual period. A problem can arise on […]

There is a new MAT Filing!

Made Available to Trade Let’s do a poll to kick things off. Before you clicked on this blog, did you know that there had been a new MAT filing? I’m betting that most of our readers were well aware. The MAT filing, from Tradeweb, received decent press coverage, including from Risk: What Is It? A […]

1Q23 CCP Volumes and Share in CRD

A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 1Q 2023. All the charts and detail from CCPView. CRD by Currency So 7% decreases in both USD and EUR from a year earlier. USD CDX, CDS and Swaptions CDX volumes in 2023Q1 were 90% of USD volume, single-name CDS 9% […]

The Eurodollar is no more…

Whilst ostensibly this blog is about the March 2023 edition of the ISDA-Clarus RFR Adoption Indicator, I cannot let pass the disappearance of the largest futures contract that I ever traded without comment. A huge part of the Clarus blog in recent times has been focused on the transition away from IBORs and into RFRs. […]

1Q23 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 1Q23 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 […]

Synthetic USD Libor Annoucement

A short blog today to highlight the recent Financial Conduct Authority (FCA) decision on synthetic USD Libor. As all our readers will know, USD Libor is set to end on 30-June-2023, at which point “panel banks” will stop contributing rates to ICE Benchmark Administration (IBA). So let’s summarize the recent FCA decision: There you have […]

Deutsche Bank Credit Default Swaps

One of our readers pointed me to yesterday’s Bloomberg article, “A Single Bet on Deutsche Bank’s Credit Default Swaps is Seen Behind Fridays Rout“, which makes the bold claim that a single CDS trade fuelled a global sell-off on Friday. So in today’s article I will take a look at what the data shows. SEC […]

Tracking CAD and SGD RFRs

ISDA and Clarus have now added CAD and SGD RFRs to the currencies we track in the RFR Adoption Indicator. This brings the total number of currencies up to 8: As we approach the end of USD LIBOR it will be interesting to see how other IBOR rates fare. CAD is in the middle of […]