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1 week ago | 
clarusft.com | Chris Barnes
Swap Spreads, aka Spreadovers, have seen record amounts of activity in the past week. The move in prices has been large, with long-dated swap spreads generally heading more negative. Swap Spreads are 4.5-7 basis points more negative and trading in all time record volumes. (FT Alphaville came up with the “apocolypse/swapscalypse” first. I am not that clever). As the link to Alphaville shows, the market narrative is adding USD swap spreads to the “people are worried about the basis trade” theme.
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1 week ago | 
gannawarratimes.com.au | Chris Barnes
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2 weeks ago | 
clarusft.com | Chris Barnes
With Average Daily Volumes of $10bn in 2025, trading 200 times per day, KRW swaps are the 14th largest market (outside of the G6 major currencies). The swaps market is split across onshore and offshore products, with up to 95% of volumes cleared in 2025. The offshore market, settled in USD, appears to be much larger than the onshore market, with both LCH SwapClear (for clearing) and Tradeweb (for execution) major players.
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3 weeks ago | 
clarusft.com | Chris Barnes
We design a Liberation Index to track market expectations of tariffs. Based on FX Options trade activity, it looks at USDCAD, USDMXN, USDCNY and EURUSD markets. It is a novel way to use transparency data. 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.
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1 month ago | 
clarusft.com | Chris Barnes
Over 50% of risk in USD OIS is now subject to trade-level reporting. Up to 87% of risk in standardised maturities like 10Y is reported within a couple of minutes of trading. The level of transparency in OTC Rates markets is now comparable to other asset classes, including equities trading.
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1 month ago | 
clarusft.com | Chris Barnes
CNY Swaps are now the largest interest rate swap market outside of the “G6” currencies. Clearing is split between Shanghai Clearing (onshore) and LCH SwapClear (offshore). 90% of the offshore market has been cleared so far in 2025, likely influenced by upcoming Uncleared Margin Rules. SEF trading has increased dramatically in the past three years, with Tradeweb ADVs (Average Daily Volumes) approaching $4bn.
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1 month ago | 
clarusft.com | Chris Barnes
Continuing the work on Swaptions, I delve into the options market activity in Q4. The quarter was characterised by trading activity related to the US election, and from a data perspective we cannot avoid giving a notable hat tip to the change in block sizes. Q4 2024 saw the following daily moves in ten year SOFR swaps:Showing;The daily Volume Weighted Average Price (VWAP) for 10Y USD SOFR Swaps (ticker USOSFR10). There was a 100 basis point range in VWAP, from 3.12% to 4.12% for 10Y SOFR swaps.
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1 month ago | 
clarusft.com | Chris Barnes
Open Interest of €STR futures has hit new records:Open Interest is now over €1.5Trn, and ICE OI has reached over 1 million contracts. Eurex are on top in terms of volumes traded, but ICE were close to wrestling top spot in February. Eurex had a 49% market share by volume in February 2025, whilst 68% of Open Interest sits with ICE.
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1 month ago | 
clarusft.com | Chris Barnes
With a huge Thank You to Eurex, I have to admit that I messed up on a recent blog post. It happens – we work to tight deadlines and cover complex topics. Still, I hold myself to a high standard and it really hurts when mistakes creep in.
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2 months ago | 
clarusft.com | Chris Barnes
EUR/USD Cross-Currency Basis Futures have just been launched by CME, introducing a cash-settled contract that derives its price from FX forwards and short-term interest rate futures (€STR and SOFR). Key Mechanics & Pricing Considerations include margining, convexity, and clearing differences versus the OTC market. Tight cross-currency basis spreads right now make it an ideal time for market adoption. The new futures contract could either complement or compete with OTC swaps.
