ClarusFT

CCP Notionals Scoresheet

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The data has been kindly supplied by ClarusFT from their CCPView service which gives you a weekly update on the amount of business at global CCPs.

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MAC swaps: not yet needed by dealers

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MAC swaps are touted by some as a major contribution to swap market liquidity but how is the project progressing?  Tod Skarecky of ClarusFT takes a look in his latest ClarusFT blog post.   My sense is banks focus is elsewhere for now.

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OTC Derivatives Reporting in Japan

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Earlier this year I looked into European derivatives trade reporting (see EMIR Trade Reporting) and as not much of note has improved in the public dissemination of aggregate data in Europe, I thought I would look at Asia, starting with the largest market; Japan.

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LCH-CME Switch Trades and Margin Management

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Recently we have started to see stories on large LCH-CME Switch trades (aka Basis Swaps) starting to be traded.

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Interest Rate Swap Prices, Dealer-to-Dealer vs Dealer-to-Client, Is there a difference?

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In this article, I will look at whether we can see any differences in USD Interest Rate Swap Prices in the Dealer-to-Dealer and Dealer-to-Client markets.

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Interest Rate Swaps - SEF MAT Week 2

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Following my post last week, I took a quick look at IRS SEF MAT week 2.  It is unclear why there has been no post-MAT shift onto SEFs but perhaps we are seeing a post-MAT shift of EUR offshore.

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US IRS volumes - SEF MAT cliff or steady decline?

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A couple of recent pieces suggested a dramatic downturn in SEF IRS trading in week 1 of MAT.   Such short-term effects may be shown significant by more weeks of data but my analysis suggests there is a steady decline since the beginning of the year across both on and off SEF IRS implying that Basel III and Dodd-Frank ET rules are more the causes.

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CDSIndex Product in SDRView Professional

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ClarusFT discuss data on CDS trading in their SDRView service.

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