INR Swaps are the 16th largest swap market in 2024. Over $3Trn equivalent has already been cleared in INR swaps in 2024, a new record. The onshore cleared market at CCIL accounts for about 30% of v…

Clarus Financial Technology

11.12.2024

€STR Volumes and Market Share November 2024 |

Open Interest of €STR futures has continued to increase: Open Interest is now over €1.2Trn, up from ~€700bn at the time of our previous blog. ICE wrestled top spot from Eurex in terms of volumes tr…

Clarus Financial Technology

04.12.2024

New: Kids on the Block (Sizes) |

October 2024 saw new block sizes implemented in the US which are 64% larger. This results in more notional being reported. We estimate that SDR data covers up to 80% of global USD swap markets. The…

Clarus Financial Technology

28.11.2024

MXN Swaps – What’s New? |

Conversion to the MXN RFR (F-TIIE) has commenced at CME. This has kick-started MXN OIS trading, with over 80% of swaps now reported versus F-TIIE. MXN is the 8th largest swaps market in the world. …

Clarus Financial Technology

19.11.2024

Swaption Volumes by Strike Q3 2024 |

This blog covers USD Options markets in Q3 – so please note that is before the election result! This is the latest in a series of blogs covering Swaptions: Swaption Volumes by Strike Q1 2024 …

Clarus Financial Technology

13.11.2024

We Have New Block Sizes |

October 4th saw new block sizes implemented in the US. The new block thresholds are now 64% larger in USD Swaps. This will result in better post-trade transparency in derivatives markets. Block Cal…

Clarus Financial Technology

07.11.2024

US Election Live – What is Trading? |

We will follow what is trading in Interest Rate Derivatives markets across the election, with the latest post at the top of the blog. As a reminder, we have seen record volumes trading in Swap mark…

Clarus Financial Technology

31.10.2024

EUR Rates – What’s New? |

EUR Rates markets are hitting volume records. This is elevating EUR to be the largest swaps market in the world during 2024. SEF volumes are also benefitting from this increase in activity. We expl…

Clarus Financial Technology

21.10.2024

RFR Adoption Q3 2024 |

60-70-30 are the three numbers you need to know for RFR Trading now. 60% is the percentage of global trading that takes place against RFRs. 70% is the amount of the USD market that trades versus SO…

Clarus Financial Technology

17.10.2024

3Q24 CCP Volumes and 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…

Clarus Financial Technology

09.10.2024

Pre-Hedging in Swaps |

Is pre-hedging the same as front running? In swap markets, pre-hedging describes a dealer taking on risk in anticipation of a possible incoming transaction. There are certain situations where pre-h…

Clarus Financial Technology

01.10.2024

NDF Clearing – The latest updates |

We look at continued growth in cleared NDF volumes. NDFs now see over $2Trn in Open Interest. Average Daily Volumes are now greater than $65bn. NDFs in 5 currency pairs dominate cleared OTC volumes…

Clarus Financial Technology

25.09.2024

€STR Volumes and Market Share August 2024 |

Open Interest of €STR futures has continued to increase: Open Interest is over €800bn, up from ~€50bn at the beginning of the year. €STR Futures are becoming a more significant portion of trading a…

Clarus Financial Technology

18.09.2024

What’s New in CCP Disclosures – 2Q24? |

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Initial margin for ETD at $470 billion is down -2% QoQ and up 5% YoY Initial margin for IRS at $304 billion is …

Clarus Financial Technology

11.09.2024

TARF pricing with the Dupire local volatility model |

Following on from the first article on Target Redemption Forwards (see Handling the complexities), my colleagues Serena Manti and Gianluca Molteni have written an interesting article on pricing usi…

Clarus Financial Technology

05.09.2024

USD Rates – What’s New? |

I am surprised to be writing this (again!) – there are new all time highs in volumes traded! Average Daily Volumes across Swaps, Futures and Bonds in USD Rates are now at $1.68Trn in Q3 2024.…

Clarus Financial Technology

28.08.2024

Volumes in EUR Swaptions |

June 2024 saw the largest number of EUR Swaptions reported to SDRs in the past three years: Number of EUR Swaptions reported to US SDRs. Source: SDRView Showing; The number of EUR Swaptions reporte…

Clarus Financial Technology

21.08.2024

Monitoring of Hedge Funds |

Hedge funds are frequently in the financial news, which is not at all surprising given the size of the sector and the public profile and wealth of the founders. So it is good to see that a Hedge Fu…

Clarus Financial Technology

08.08.2024

Handling the complexities of TARF FX Options |

Target Redemption Fowards (TARFs) are complex OTC financial instruments used in FX markets. An instrument type that many of us will have heard about in passing, but not had the need or time to delv…

Clarus Financial Technology

07.08.2024

Just how bad are trading conditions right now? |

August 5th 2024 saw the highest volumes ever reported to SDRs in a single day. I take a quick glance at the data for Rates markets. This is very likely a premature blog. But it’s August, it&#…

Clarus Financial Technology

31.07.2024

GBP Swaps – What’s New? |

DV01 traded across all GBP Rates derivatives was 76% higher in Q2 2024 versus a year earlier, hitting 3 year highs. More GBP SONIA OIS notional traded at LCH SwapClear in Q2 this year than ever bef…

Clarus Financial Technology

24.07.2024

Allocation Workflow in Futures and Options |

At Industry Events focusing on Futures and Options, you often hear about trade allocation workflow and efforts to improve this important post-trade process. Not knowing much about this topic, I rec…

Clarus Financial Technology

18.07.2024

€STR Volumes and Market Share June 2024 |

Open Interest of €STR futures has continued to increase: Open Interest is now ~€470bn equivalent, up from ~€50bn at the beginning of the year. ADVs were €170bn in May and June 2024, up from ~€80bn …

Clarus Financial Technology

10.07.2024

RFR Adoption Q2 2024 |

RFR trading in Q2 looked a lot like Q1, with some changes in USD and EUR. 60-80-30 are the three numbers you need to know for RFR Trading now. 60% is the percentage of global trading that takes pla…

Clarus Financial Technology

10.07.2024

2Q24 CCP Volumes and 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…

Clarus Financial Technology

03.07.2024

Swaption Volumes by Strike Q2 2024 |

This blog follows on from the interesting activity we have seen across Options markets so far this year. Take a look if you have missed anything: Swaption Volumes by Strike Q1 2024 SOFR Options – H…

Clarus Financial Technology

26.06.2024

CAD Swaps – What’s New? |

OMG. The last time I wrote about CAD Swaps was in 2017! Seven years later, what has changed? (Skip to the Summary to find out :-P ). CDOR-CORRA Conversion The not-so-new news is that CDOR will ceas…

Clarus Financial Technology

19.06.2024

A Dummies Guide to Trading Interest Rate Swaps |

This week marks the 10th Anniversary of my first ever blog. That also means it is a long time since I last traded an interest rate swap. To mark the occasion, I have documented the trading strategy…

Clarus Financial Technology

19.06.2024

What’s New in CCP Disclosures – 1Q24? |

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Initial margin for ETD at $480 billion is up 3.5% QoQ and 3% YoY Initial margin for IR…

Clarus Financial Technology

13.06.2024

SOFR Options – How Healthy Is The Market? |

Options trading accounts for 22% of all notional equivalent volume in SOFR futures and nearly 60% of Open Interest. In the old LIBOR world, options trading accounted for slightly more of the tradin…

Clarus Financial Technology

12.06.2024

Improving transparency in ML models for market abuse detection |

We recently covered an article on Using AI for Market Abuse Surveillance, a very interesting use of Machine Learning (ML) to improve the classification of alarms generated in market surveliance. On…

Clarus Financial Technology

05.06.2024

SOFR Swap SEF Volumes – May 2024 |

SOFR Swaps at D2D Venues trade as Spreadovers, Butterflys or Curve trades Spreadovers are the largest with ICAP leading Butterflys next, Dealrweb and Tradition Curves with ICAP leading CC…

Clarus Financial Technology

05.06.2024

JPY Swap Clearing – Why do dealers prefer JSCC? |

And equally “Why do clients prefer SwapClear?” For JPY Swaps JSCC is the main Dealer to Dealer CCP. LCH SwapClear is the main Dealer to Client CCP. This is probably caused by the interp…

Clarus Financial Technology

29.05.2024

Swaption Volumes by Strike Q1 2024 |

Time to update and revisit one of our most interesting 2023 blogs – Swaptions: Swaption Volumes by Strike Q3 2023 by Chris Barnes Swaptions showcase a different use case for SDR data, and hig…

Clarus Financial Technology

22.05.2024

FX Clearing – What Happens in March stays in March?! |

Cleared FX now accounts for over $4Trn notional in a busy month across both OTC and Futures. The past two years have seen particular growth in OTC FX clearing. OTC volumes are no longer only in NDF…

Clarus Financial Technology

16.05.2024

€STR Volumes and Market Share April 2024 |

It feels almost disingeneous to say I “wrote” this blog – and this time I don’t even have to resort to AI co-pilots to say that! The data really writes the story itself &#82…

Clarus Financial Technology

15.05.2024

Using AI for Market Abuse Surveillance |

The EU Market Abuse Regulation (MAR) requires institutions to monitor transactions and develop specific algorithms to check for possible abuse covering insider dealing, market manipulation and othe…

Clarus Financial Technology

08.05.2024

Most Active Names in Credit Derivatives – April 2024 |

More than six months have passed since I last looked at the most active names in CDS and TRS, so high time to take a look at recent data from US SEC Securities Based Data Repositorys (SBSDRs). CDS …

Clarus Financial Technology

08.05.2024

What’s New in AUD Swaps in 2024? |

With so many AUD blogs behind us, I figured it was high time we started adding dates to the titles – otherwise I’ll never remember what I wrote and when! The previous AUD articles are l…

Clarus Financial Technology

01.05.2024

Regulating the transformative power of AI in Asset management |

Artificial Intelligence (AI) is a transformative technology and this article covers a number of key regulatory areas for asset management including the recent EU AI Act, bias, transparency and secu…

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Clarus Financial Technology - Economy

INR Swaps – What’s New? |

€STR Volumes and Market Share November 2024 |

New: Kids on the Block (Sizes) |

MXN Swaps – What’s New? |

Swaption Volumes by Strike Q3 2024 |

We Have New Block Sizes |

US Election Live – What is Trading? |

EUR Rates – What’s New? |

RFR Adoption Q3 2024 |

3Q24 CCP Volumes and Share in IRD |

Pre-Hedging in Swaps |

NDF Clearing – The latest updates |

€STR Volumes and Market Share August 2024 |

What’s New in CCP Disclosures – 2Q24? |

TARF pricing with the Dupire local volatility model |

USD Rates – What’s New? |

Volumes in EUR Swaptions |

Monitoring of Hedge Funds |

Handling the complexities of TARF FX Options |

Just how bad are trading conditions right now? |

GBP Swaps – What’s New? |

Allocation Workflow in Futures and Options |

€STR Volumes and Market Share June 2024 |

RFR Adoption Q2 2024 |

2Q24 CCP Volumes and Share in IRD |

Swaption Volumes by Strike Q2 2024 |

CAD Swaps – What’s New? |

A Dummies Guide to Trading Interest Rate Swaps |

What’s New in CCP Disclosures – 1Q24? |

SOFR Options – How Healthy Is The Market? |

Improving transparency in ML models for market abuse detection |

SOFR Swap SEF Volumes – May 2024 |

JPY Swap Clearing – Why do dealers prefer JSCC? |

Swaption Volumes by Strike Q1 2024 |

FX Clearing – What Happens in March stays in March?! |

€STR Volumes and Market Share April 2024 |

Using AI for Market Abuse Surveillance |

Most Active Names in Credit Derivatives – April 2024 |

What’s New in AUD Swaps in 2024? |

Regulating the transformative power of AI in Asset management |

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