Average and Term SOFR Volumes in 2022
Recently I looked at Term SOFR and BSBY Volumes in 2022 and in that article I used a pretty loose definition of Term SOFR; basically anything where the index was not the standard overnight SOFR index. My goal being to isolate the trades not using overnight SOFR. Today I want to seperate out the use […]
Most Active Names in Credit and Equity Derivatives – Jan2023
Late last year I looked at the SEC Securities Based SDRs (SBSDRs) for the Most Active Names in Credit and Equity Derivatives in Oct22, so today I will update that blog for the entity names that were most actively traded in the month of January 2023. CDS on Sovereigns Using SBSDRView, we can find the […]
Why Did SOFR Trading Decrease in January?
The ISDA-Clarus RFR Adoption Indicator for January 2023 has now been published. Showing; Why The Stasis? Am I becoming a broken record? In the past few weeks, I have written: All of those blogs are very much about the slower than required adoption of RFRs, particularly SOFR, as June 2023 fast approaches. What does this tell […]
Term SOFR and BSBY Volumes in 2022
We looked into Term SOFR and BSBY Swap Volumes in April 2022 and What’s New in Term SOFR in November 2022, so today I will update that blog to see how trade volumes in these reference indices developed in 2022. Term SOFR Swaps In SDRView, I can group USD FixedFloat Swaps by the Reference Index […]
CORRA First – Clients don’t get it
CORRA First was put in place on January 9th 2023 to help CAD interest rate derivatives transition from CDOR to CORRA. For all of the juicy details, please see my blog from last year: Transparency is Better Than Ever RFR transition in Canadian markets may seem a little niche for some of our readers. However, […]
SOFR Swaps D2D Volumes and Share
SOFR Swap Volumes at D2D SEFs Volumes in SEFView reported by D2D SEFs under CFTC Part 16 regulations for last week. Showing that Tradition is the largest with $70 billion, followed by TP at $42 billion and IGDL(ICAP) at $32 billion. However we know that in terms of market share that represents revenue share, these […]
Are Fed Funds the latest winner from benchmark reform?
This is a follow-up to an RFR Adoption blog that I wrote in November: In that blog, I noted that Fed Funds seemed to be settling at around 10% of the USD market (excluding LIBOR, which continued to print in relatively large size every month in 2022). However, last week I noticed the following Linkedin […]
2022 CCP Volumes and Share in CRD
A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 2022. All the charts and detail from CCPView. CRD by Currency USD CDX, CDS and Swaptions CDX volumes at $12.9 trillion, representing 91% of USD volume with single-name 7.5% and CDXSwaptions volumes six times higher in 2022. USD CRD Index Series […]
Cross Currency Swap Review 2022
With Cross Currency Swap blogs continuing to perform well on the Clarus Blog each year, let’s take a look at what traded during 2022. SDRView Volumes SDRView shows the monthly volumes transacted of Cross Currency Basis swaps. These are, on the whole, the vanilla interbank type of mark-to-market cross currency swaps. Showing; SDRView also shows the DV01 […]
2022 CCP Volumes and Market Share in IRD
2022 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 analysis and comparisons. Contents: Onto the charts, data and details. Volumes and Market Share For major currencies and regions, vanilla swaps referencing IBORs and […]