For some time now I have been noting, but not reading, articles about the Securities Financing Transactions Regulation (SFTR) being implemented in Europe, so today I wanted to take my first look into this regulation. Background The ESMA website has a good section on SFTR Reporting, so I will copy & paste liberally from that, […]
Post-trade transparency in US Treasuries has arrived. CCPView now includes volumes across US Treasuries, Futures and Swaps. This reveals that the true size of the Rates market in the US is $12.5 Trillion per week in notional equivalents for medium and long-dated interest rate products. We can also monitor the split of trading across different […]
What Are GSIBs? If you need a refresher of the GSIB framework, please check-out our blogs on: G-SIB MECHANICS AND DEFINITIONS G-SIB SCORES FOR US BANKS We have recently introduced GSIBView, an app for analysing the scores in more detail. It provides a drill-down into the GSIB components and allows our data customers to analyse […]
The fallback spread is an essential component of the LIBOR cessation plan and represents the credit and liquidity component of LIBOR relative to Risk Free Rates (RFRs). In a case where a benchmark like USD LIBOR ceases to publish, fallbacks such as compounded SOFR plus the spread are used to replace the failed benchmark. ISDA […]
We detail the FX Swap lines offered by several central banks to supply their local markets with USD. For the mechanics of how the USD trades work, please see our previous blog. In this blog, we look at the usage of the FX Swap Lines per central bank. Volatility Markets remain in crisis mode. This […]
My monthly Swaps Review looks at USD Swap volumes over the volatile February to March period, covering Daily and monthly volumes for USD IRS and OIS Days with largest 1-day price changes and volumes Prices of trades on March 6th Please click here for free access to the full article on Risk.net.
4Q 2019 CPMI-IOSCO Quantitative Disclosures for CCPs have just been published and while we are still focused on the Covid-19 pandemic and resulting market volatility, I thought it would be interesting to see what the data shows as of a Dec 31, 2019, before we had any idea what was coming. So a little different to […]
March 2020 saw a flurry of volume records set in interest rate derivatives. The big SEF winners were ICAP, Bloomberg and Tradeweb. Overall, D2D On-SEF volumes for USD IRS hit a new record of ~$1trn. CCPs also saw new combined volume records. Over $50trn was cleared in the top six currencies alone. Over $4.5trn cleared […]
There is a new April 2020 ESMA consultation on the Transparency Regime for OTC derivatives. ESMA are proposing potentially wide-sweeping changes to post-trade transparency in their latest consultation. Deadline for responses is currently April 19th 2020. We encourage all market participants to respond to this vital consultation. We could finally witness the beginning of transparency […]
