Swaption Volumes by Strike Q4 2024
Continuing the work on Swaptions, I delve into the options market activity in Q4. The quarter was characterised by trading activity related to the US election, and from a data perspective we cannot avoid giving a notable hat tip to the change in block sizes. Q4 2024 saw the following daily moves in ten year SOFR […]
€STR Volumes and Market Share February 2025
€STR Futures Our €STR Dashboard summarises key liquidity attributes in this growing market: Showing; Open Interest CCPView provides all the data we need on Open Interest for €STR futures: EURIBOR No change that I can see in EURIBOR trading. It continues to dominate EUR STIR future volumes: January volumes in EURIBOR were close to the October […]
The European Active Account Requirements Revisited
With a huge Thank You to Eurex, I have to admit that I messed up on a recent blog post. It happens – we work to tight deadlines and cover complex topics. Still, I hold myself to a high standard and it really hurts when mistakes creep in. What Did I Get Wrong? On the […]
2024 CCP Volumes and Share in IRD
2024 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. Contents: Onto the charts, data, and details. Volumes and Market Share For major currencies and regions, vanilla swaps referencing IBORs and OIS […]
Mechanics and Definitions of Cross Currency Basis Futures
CME are taking a bold step into the (relatively) unknown and launching EUR/USD Cross-Currency Basis futures. Let’s take a look… Definition The Cross-Currency Basis Future can be defined as; A contract for difference that cash-settles the implied 3 month cross-currency basis from observable EUR/USD FX-forward, USD and EUR short-term interest rate futures. Recall that a […]
Running the Numbers on the European Active Account Requirement
27th January marked the deadline for the latest ESMA consultation on the European Active Account Requirement. Risk.net wrote a good summary of the requirements back in November when the consultation was first published: What has been proposed? The Active Account Requirement for OTC derivatives means the following trades must occur at a CCP located inside […]
What’s new in CCP Disclosures – 3Q24?
Clearinghouses have published their latest CPMI-IOSCO Quantitative Disclosures: Background Under the CPMI-IOSCO Public Quantitative Disclosures, central (clearing) counterparties CCPs publish over 200 quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing, and more. CCPView has over 8 years of these quarterly disclosures for 44 clearinghouses, each with multiple Clearing Services, covering the period from 30 September […]
USD Rates 2024 Review
Cleared USD Rates We start with looking at notional volume cleared in OIS referencing either Fed Funds or SOFR indices. 2024 volume of $264 trillion is a new all time high (across both OIS and Swaps), exceeding the previous high set last year. All of that volatility over the Summer and the election drove volumes […]
FX Clearing 2024 – A Break Out Year For Options
FX Cleared Volumes CCPView shows that cleared OTC FX has grown substantially over the past three years: Showing that cleared OTC FX volumes surpassed $18 trillion in 2024, with notable growth trends: LCH ForexClear continued its dominance, holding over 98% market share in FX OTC clearing. FX Products FX clearing remains dominated by NDFs, although […]
Cross Currency Swaps Review 2024
Happy New Year to all of our readers! Thank you for your continued support and readership. This first blog of the year marks my 500th blog – it’s nice to start the year with a proper achievement! That is over ten years of blogs – if you want to know what I did before Clarus, […]