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JSCC and Clearing of Yen Interest Rate Swaps

For a while now I have wanted to look into what is happening outside the US in terms of clearing of interest rate swaps. The news late last year that Japan Securities Clearing Corporation (JSCC), was...

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FX NDFs on SEFs: A more detailed look

As we recently released FX NDFs in SDRView Professional, I decided to take a more detailed look into these than my earlier blog titled FX NDF Trading on SEFs.   Whats New? Lets start with the fact that...

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OTC Derivatives Reporting in Japan

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...

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AUD Swap Market

Having blogged for a good few months now, it becomes second nature to look for different lines of analysis within the major markets that we haven’t yet covered. As a result, we find new ways of...

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CDS Clearing Data

A few times last week I heard concerns about whether clearing of Single Name CDS will ever take off.  It inspired me to examine the data we have on hand for credit derivatives, both index and Single...

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SEFs in Japan

The G20 commitment of 2009 that  “all standard OTC Derivative contracts should be traded on exchanges or electronic platforms” has so far only been implemented in the United States where Swap Execution...

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FX NDF Trading On SEFs: April 2015 Update

It is more than a year since I last looked at FX NDF Trading On SEFs (Jan 2014) and as that was one of our Top 10 Blogs of 2014, it is long overdue for me to see What the Data Shows.… Read more ›

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Derivatives Trade Reporting in Australia

Following on from my prior article looking at Canadian Derivatives Reporting to SDRs, I thought I would look next at Australia. The Australian Securities & Investments Commission (ASIC) Derivatives...

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CME-LCH Basis – What does the Term Structure tell us?

We analyse the CME-LCH Basis volumes by tenor and look at what the forward curve implies for prices in the future. There are no signs of normalisation trades in the market, with the basis widening over...

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SEFs in Japan: ETP Data

Japan has joined the SEF party with their own flavor of trading venues known as Electronic Trading Platforms (ETP’s).  ETP’s launched last week on Tuesday, September 1st.  Amir had written about them...

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AUD swap market: Concentration risks from the Clearing Mandate

We present a uniquely Clarus view of the AUD IRS markets Our analysis of the regulatory landscape, bond issuance data and swap market flows suggests that many Swap Dealers will end-up in Add-On...

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AUD Cross Currency Swaps

Clarus explores the AUD/USD Cross Currency Swaps market. We find that our SDR data covers over 20% of the market – both for dealer-to-dealer and dealer-to-client flows. SEF-trading has seen an...

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SEFS in Japan: First Month of ETP Volumes

Following on from our blog, SEFs in Japan: ETP Data, I wanted to look at the first month of trade activity. Background Japanese Electronic Trading Platforms (ETPs) commenced operation on 1 Sep 2015,...

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Why trade level reporting is the only reporting that makes sense

We look at the data sources available for AUD IRS markets…. …and try to reconcile some of the numbers We quickly find this is not as easy as it first appears…. …and conclude that publicly disseminated,...

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Australian Rates Clearing Mandate

Australian Rates Clearing Mandate now only 6 months away. LCH is the current king of AUD$ Rates Clearing ASX goes strong on the Cleared AUD$ OIS product Regulators may delay mandate start on FRAs and...

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What did the Australian Regulators say about OTC Derivatives Trading Mandates?

I read last month with interest the report on the Australian OTC Derivatives Market issued by the Council of Financial Regulators (which includes Australian regulators APRA, ASIC, RBA and The...

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LCH-JSCC Basis in JPY Swaps

Last week a number of our readers alerted us to the sudden formation of a Basis in Yen Swaps between LCH and JSCC, which is interesting to say the least. So lets look at what the data shows. Indicative...

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LCH-JSCC Basis: An Update

My blog last week on LCH-JSCC Basis in JPY Swaps has been massively popular and now that we have another week’s data under our belt, it is worth an update. Indicative CCP Basis Quotes Let start with...

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KRW and INR Swap Clearing

The CME have announced they are planning to clear Korean Won (KRW) and Indian Rupee (INR) interest rate swaps in the near future. I wanted to have a look at what these markets look like.  So first...

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AUD Swaps: What Does the Data Show?

Over the last few years we have published many blogs on the AUD Swap market. Amir also includes an AUD summary in his monthly swaps review. The DTCC does publish some market info from the Australian...

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