CE3 Currencies and Derivatives Clearing
Did you know that volumes in CZK interest rate derivatives have increased ten-fold in the past five years? CZK is now the largest Rates market amongst CE3 currencies. In the same time-period, HUF cleared markets have actually shrunk. PLN markets have grown by about 50%. Did the expiry of the Exchange Rate Commitment in CZK […]
Archegos, APAs and Uncleared Margin Rules
My recent blog on Archegos, Trade Repositories and Initial Margin, was very popular, so I wanted to do a follow up on the same two topics; transparency of derivatives and initial margin requirements. For those of you not familiar with the three letter acronym, APA, it stands for Approved Publication Arrangement which is a European […]
New: What caused volumes to decrease in April?
The latest ISDA-Clarus RFR Adoption Indicator has just been published for April 2021. It saw an increase to 10.1% and it is now back to the levels it has been at for most of 2021. Was March maybe just a blip in the RFR story? Showing; The RFR Adoption Indicator was at 10.1%, higher than last month […]
Archegos, Trade Repositories and Initial Margin
Amongst the many questions that standout from the huge losses suffered by prime brokers in closing out the positions of Archegos Capital Management, the two that interest me most are, first the lack of transparency of the derivatives (total return swaps) used for these positions and second the in-adequate risk management by the prime brokers. […]
JSCC and CME RFR Adoption Indicators
A client recently asked us if we had ever calculated our RFR Adoption Indicators for individual CCPs. The answer was a surprising “No” so I thought I should rectify that in today’s blog. This was somewhat motivated by this Risk.net story on JPY this week. The story highlights how different CCP market shares are at […]
Swaption Volumes by Strike Q1 2021
USD Swaptions activity hit all time records in March 2021. Driven by the large sell-off in Fixed Income markets, we see particular evidence in 5Y tails of convexity hedging in Swaptions markets. We analyse the activity by strike and underlying (tails). For once, we are playing catch-up here. Chris Whittall over at IFR brought to […]
You Need To See This SEF Liquidity In RFRs Now
USD SOFR trading on D2C SEFs is very small, and well behind the industry average. 72% of GBP risk was versus SONIA on D2D SEFs in April 2021. CHF SARON adoption has jumped to 15% on D2D SEFs this month. RFR Adoption Indicators In this blog I turn the RFR Adoption Indicator methodology onto SEF […]
Cleared Swap Volumes and Share – 1Q 2021
USD IRS with record volume in 1Q 2021, LCH share up YoY SOFR Swaps at new highs, LCH dominant, CME share higher than in IRS EUR IRS volumes up, Eurex share up YoY as it’s gains continue €STR Swaps a record month, LCH dominant, Eurex share higher than in IRS JPY Swaps volumes up, JSCC […]
Latest: More EUR Are Trading on-SEF than ever before
16% of the global EUR D2D swaps market is now on-SEF. This has recently increased above the levels we saw in January 2021. We do not know why there has been another increase in EUR SEF trading. But the data shows it is happening! US venues continue to be the main beneficiaries of Brexit in […]
What happened to reduce RFR trading?
March 2021 saw 8.8% of all derivatives risk traded versus an RFR. This reduced from the previous levels around 10%. The pre-cessation announcements last month do not appear to have accelerated RFR Adoption. There was an increase in the amount of IBOR-related activity last month. Overall for Q1 2021, the total amount of RFR activity […]