Most active names in Credit Derivatives – April 2025
After about a year since our last blog on this topic, it is high time for another look at the most active names in CDS, using data reported to US SEC Securities Based Data Repositories (SBSDRs). CDS on sovereigns Using SBSDRView, we can find the most active sovereign CDS trades in April 2025, starting with USD activity. Table 1 – […]
2024 SEF volumes and share in SOFR swaps
SOFR Swaps at D2D venues were usually spreadover, butterfly, curve switch or CCP switch packages. On D2C venues, spot-starting SOFR swaps were dominated by outright trades. As well as spot-starters, forward, IMM and MAC SOFR swaps also trade in significant numbers on D2C venues (unlike D2D venues). Continue reading for the charts, tables, and details. Background This post iterates, for […]
2024 CCP Volumes and Share in CRD and FXD
A review of Credit Derivatives (CRD) and FX Derivatives (FXD) volumes and market share at Clearing Houses (CCPs) in 2024. For CRD – index, single-name and swaptions: For FXD – NDF, options, forwards and spot: All the charts and detail from CCPView. Credit Derivatives Volume First, we look at USD CDX, single-name CDS and Swaptions. Chart 1 – […]
2024 US SDR-Reported IR Compression
Key takeaways: Data background For 8+ years, SDRView data has included the package type field to allow compression to be broken out from outright and other package types. In late 2022 we used the CFTC reporting upgrade to immediately add platform id which allows platforms’ compression market share to be analyzed. Platform id values consist […]
2025Q1 CCP volumes and share in IRD
Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalized, and aggregated to allow meaningful volume comparisons. Today, we look at 2025Q1 CCP volumes 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 Swaps referencing RFRs, using […]
Recreating the RFR Adoption Indicator
This blog is unashamedly targeted at our data subscribers. Specifically, those of you interested to replicate our RFR Adoption Indicator. Read on for your “cut out and keep” guide to RFR data. A Bit of History Clarus and ISDA teamed up way back in 2020 to “help derivatives market participants keep tabs on progress to […]
What’s new in CCP Disclosures – 4Q24
Clearinghouses have published their latest CPMI-IOSCO Quantitative Disclosures: Background Under the CPMI-IOSCO Public Quantitative Disclosures, central counterparties (CCPs) publish over 200 quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing, and more. CCPView has more than 8 years of these quarterly disclosures for 44 clearinghouses, each with multiple Clearing Services, covering the period from 30 September […]
Swapalypse Now
(FT Alphaville came up with the “apocolypse/swapscalypse” first. I am not that clever). Hello Swap Spreads As the link to Alphaville shows, the market narrative is adding USD swap spreads to the “people are worried about the basis trade” theme. Whilst there is potentially more notional tied to the basis between cash USTs and CME-traded […]
What You Need to Know About KRW Swaps
Where do KRW Swaps Rank on the Global Picture? CCPView allows us to compare the relative size of KRW swap markets to other currencies. Taking out the “G6” – USD, EUR, GBP, AUD, CAD and JPY – we see the below: Showing; Are All Volumes Cleared at LCH SwapClear? Our CCPView data shows that almost all […]
What Would a Liberation Index Look Like?
Today is meant to be Trump’s so-called “Liberation Day” with tariffs potentially being activated with some of the largest trading partners of the US. It is surely no coincidence that it is happening on April Fool’s Day. Just for the sake of it, I wondered what a “Liberation Index” might look like. What are the […]