Do you know what LIBOR cessation has done to volumes?
I wanted to follow up on two of our 2022 blogs to estimate the impact on overall volumes in GBP, JPY and CHF markets of LIBOR cessation (which was only 7 months ago, believe it or not!). DECIPHERING THE END OF LIBOR IN THE DATA THE ENDGAME FOR BASIS SWAPS? All of the data in […]
SOFR Futures are now bigger than Eurodollars
The ISDA-Clarus RFR Adoption Indicator retained its all-time high of 46.4% in July 2022. SOFR adoption hit a new record at 51.7% of the market. 20.3% of EUR risk traded versus €STR, below last month’s all-time high. July 2022 was a relatively quiet month for trading activity, with the total risk traded falling by ~25% from last […]
Are We In A Summer Lull?
I take a look at the volume data for July 2022 in CCPView to see whether we have now hit the quiet weeks of summer trading. Cleared OTC Rates Volumes As always, Cleared Rates markets provide a great barometer of overall market activity. They are the largest OTC markets and the most transparent. Showing; Notional […]
Most Active Equity Total Return Swaps
Since our First Look at Total Return Swaps blog, we have added a Most Actives view in SBSDRView. This identifies the most active stocks on which TRS are transacted and below I look at what this data shows. Number of trades The two main derivative products in SBSDRs for Equities are Total Return Swaps (TRS) […]
Cross Currency Volumes head to the moon!
I keep a close eye on what is going on in Cross Currency Swaps, but somehow I missed quite how significant the past few quarters have been in terms of volumes traded. Let’s take a look. All-Time Record Volumes Taking a look in SDRView shows significant volumes in EURUSD and GBPUSD during 2022: The chart […]
The Endgame for Basis Swaps?
Interest Rate Basis Swaps can be categorised into two distinct types, with floating sides/legs which reference either: Distinct reference indices e.g. USD Libor 3M vs Fedfunds, or Tenor Basis e.g. USD Libor 3M vs 6M Basis Swaps are used to hedge or trade the basis spread between the reference indices or Libor tenors and are […]
The latest on RFR Adoption
The ISDA-Clarus RFR Adoption Indicator recorded another all-time high of 46.4% in June 2022. SOFR adoption was at 49.7% of the market. 23.8% of EUR risk traded versus €STR, a new all time high. June 2022 saw the largest notional ever traded in RFRs, at $86.5Trn. The ISDA-Clarus RFR Adoption Indicator for June 2022 has now been published. […]
2Q22 CCP Volumes and Market 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 2Q22 Volume and market share in IRD for: USD Swaps (LIBOR, OIS, SOFR) EUR Swaps (EURIBOR, OIS, €STR) GBP Swaps (LIBOR, SONIA) JPY Swaps (IBOR, TONA) AUD Swaps (BBSW, […]
2Q22 CCP Volumes and Share in CRD
A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 2Q 2022. Index, Single-name and Swaptions Volumes lower in 2Q than 1Q but massively higher than 2Q 2021 USD CDX volumes up 100% in 2Q 2022 than 2Q 2021 ICE Clear Credit with 97.2% share of volume in USD CDX […]
Are Inflation Expectations Becoming Entrenched? The Data.
With inflation front and centre of everyone’s mind, let’s test a simple hypothesis. If inflation expectations are becoming entrenched – i.e. people expect inflation to be elevated for a longer period – is there evidence of this in trading activity? What evidence might we see? There are two potential signals: More trading activity in Inflation […]