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Tag: Clarus

CME converted your Eurodollars. This is what happened next.

The recent CME USD LIBOR conversion shows the power of netting for futures contracts. The standardisation of futures contracts increases the netting potential substantially...

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Synthetic USD Libor Annoucement

A short blog today to highlight the recent Financial Conduct Authority (FCA) decision on synthetic USD Libor. As all our readers will know, USD...

I asked ChatGPT to write a Clarus blog. Here is what happened….

I am travelling in APAC this week so I could do with a helping hand on the blog-writing front. SACCR is our most...

Deutsche Bank Credit Default Swaps

One of our readers pointed me to yesterday’s Bloomberg article, “A Single Bet on Deutsche Bank’s Credit Default Swaps is Seen Behind Fridays Rout“,...

Tracking CAD and SGD RFRs

ISDA and Clarus have now added CAD and SGD RFRs to the currencies we track in the RFR Adoption Indicator. This brings the total...

USD Swaps Margin Calls in March 2023

I know our readers will have followed the events of the last two weeks, covering Silicon Valley Bank (SVB), First Republic Bank(FRC) and Credit...

Clearing Houses are about to convert your USD LIBOR swaps. What do you need to know?

A crucial step in the final transition to USD SOFR is the physical conversion of outstanding cleared OTC swaps from USD LIBOR to USD...

The Most Popular SOFR Trades

The SOFR Swaps market is now mature and fully developed. Almost all activity in OTC markets longer than 2 years is now traded versus...

Now everyone can understand bank capital requirements

In January 2022, I wrote about SACCR: Bank Capital. A bank will typically have one of two constraints – either Leverage Ratio or Credit...

Why Did SOFR Trading Decrease in January?

The ISDA-Clarus RFR Adoption Indicator declined to 51.1% last month. This is the sixth consecutive month that it has remained around 51%. SOFR adoption dropped...

CORRA First – Clients don’t get it

CORRA First was put in place on January 9th 2023 to help CAD interest rate derivatives transition from CDOR to CORRA. For all of...

Are Fed Funds the latest winner from benchmark reform?

How much of the USD Rates market is now traded versus Fed Funds (“EFFR“)? We run through the data and find that it really...

Cross Currency Swap Review 2022

With Cross Currency Swap blogs continuing to perform well on the Clarus Blog each year, let’s take a look at what traded during 2022....

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