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 […]
I asked ChatGPT to write a Clarus blog. Here is what happened….
I am travelling in APAC this week so I could do with a helping hand on the blog-writing front. SACCR is our most popular topic on the blog, so as the title says, I asked ChatGPT to help out. If you are not familiar with ChatGPT (where have you been?) you can check out this […]
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 […]
USD Swaps Margin Calls in March 2023
I know our readers will have followed the events of the last two weeks, covering Silicon Valley Bank (SVB), First Republic Bank(FRC) and Credit Suisse (CS). Each different institutions, but each faced with massive depositor withdrawals caused by a loss of trust in the soundness of their business. At the start of 2023, who would […]
Credit Suisse & UBS LIVE Blog
SBSDRView allows us to track trading in single name CDS: Follow the blog live today to see what the market thinks of the Credit Suisse-UBS deal. We will also be following other banking CDS (Deutsche amongst others….) to monitor any potential contagion. 10:00am CET We have already had the first Credit Suisse CDS trade of […]
How to Trade A Bank Run
Much of what is written on this blog stems from the “OG” Financial Crisis back in 2008. Without that, we would not have seen the Dodd Frank Act or post trade transparency in OTC derivative markets. Back in 2008 I was trading cross currency swaps. These were one of the hardest hit instruments as the […]
What’s New in CCP Disclosures – 4Q22?
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 […]