Forward Start and Backward Start Swaps?

We’ve received many comments and citations around the data we presented at the CFTC TAC meeting in June. Nearly all of the comments are positive, but as with any data, many wanted to confirm their understanding of the data presented. In particular, people took note of the 72.8% of swaps dealt in June being forward […]

Portugal – Banks quibble over Ronaldo’s haircut

Guest Blog Series Profile: Interest Rate Swaps trader. 12+ years’ experience, European and cross markets focused Cristiano Ronaldo couldn’t make Portugal front page news in July, but its’ financial system certainly could. The worries over the financial soundness of Banco Espirito Santo (BES) began on the July 3rd, but on July 2nd, Portugal issued the […]

The Land of Make Believe: Euribor and Eonia

Guest Blog Series Profile: Interest Rate Swaps trader. 12+ years’ experience, European and cross markets focused A wise man once asked me: Why don’t we all trade OIS instead of Libor swaps? The answer-in-a-nutshell goes something like liquidity, customer demand and habit. Certainly, if you look in the futures space, liquidity is concentrated overwhelmingly in […]

A Six Month Review of Swap volumes

In this article I will look at Interest Rate Swap data volumes and trends in the first half of 2014. This period includes both the start of mandatory SEF trading of IRS (February) as well as the expiry of package trade exemptions (May/June).   USD IRS Volumes Lets start with On SEF USD IRS plain […]

FRA Wars, Episode IV: A New Hope

In a Galaxy FRA, FRA away….the OTC FRA markets were murky places with no one really knowing how much traded during weekly volume matching sessions, or at what price. Enter Dodd Frank, Trade Reporting and Clarus Financial Technology. Now we can produce whole pricing curves from publicly disseminated data. With the right analysis, we can even […]

Oracle $10b Bond Issue, Looking for the Swaps

On June 30, Oracle issued $10 billion in bonds; the second largest corporate bond offering of 2014 after Apple’s $12 billion in April. In this article I will look for Interest Rate Swap trades associated with this bond issue.   Bonds Issued Lets start with the bonds themselves, which were issued in 7 tranches. (See Financial […]

SEF Double-counting?

DEFINITION two-time (to̅o̅′tīm′) tr.v. two-timed, two-tim·ing, two-times Slang 1. To be unfaithful to (a spouse or lover). 2. To deceive; double-cross. BACKGROUND Over the past 8 months, I’ve heard various complaints that some, or all, SEF’s are “double-counting”.  Through these conversations, I’ve learned that people have different definitions of double-counting.  It’s quite a dangerous assumption and accusation to make, for there are […]