USD Swaps: Spreads and Butterflies Part II

Please see Part I of this Spreads & Butterflies series here. Last week, we saw that up to 45% of vanilla, spot starting USD swaps can be considered part of a maturity spread. This week, we expand the analysis to identify exactly which spreads and butterflies are trading (for the sake of clarity, these blogs will […]

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 would look at Asia, starting with the largest market; Japan. While the Japanese FSA (JFSA) requires mandatory derivatives reporting to an […]

USD Swaps: Spreads and Butterflies Part I

In a new line of analysis for these blogs, we’ve been working on a first cut of data that expands upon the “trade types” that we identify. I think all traders and market participants will agree that there is inherent value in being able to identify whether a particular trade is an outright, one leg […]

USD MAC Swaps: How Large is the market?

In my recent blog, USD MAC Swaps: A Closer Look, I noted that once the September roll into the December contract was complete, the cumulative volume of this would provide an interesting in-sight into how large the USD MAC Swap market really is. In this article, I will look to establish this.   Charts of […]

Forward IRSwaps and Initial Margin

In this article I will look at a Forward Start Interest Rate Swaps and the Initial Margin requirement for such a trade. We know from SDR data that Forwards Swaps are a very common trade type and if you are a regular reader of our blog, you will know that they represent the majority of Swap […]

USD IR Swaps Summary Statistics

Sometimes the most simple questions are the most incisive. Having spent some time looking at the SDR data through the prism of the SDRView API, let’s take the time to lay down some simple descriptive statistics for the USD IR Swaps markets. What time do USD Swaps Open? The chart below makes it pretty clear: […]

USD MAC Swaps: A Closer Look

Market Agreed Coupon (MAC) Swaps were created by SIFMA & ISDA as contracts with pre-defined standard terms. They start on IMM dates and the fixed rate is pre-determined in 0.25 increments (e.g. 5Y in USD is 2.25%). For further details see SIFMA. USD MAC Swaps are MAT (first two IMM dates) and so are required to be […]

ECB Sep 2014 Meeting: EUR IRS Markets React

Following on from our look at June’s ECB meeting, and our prediction last week that markets would be shocked in the event of actual rate action, let’s take the opportunity to distill exactly what happened. Using SDRView Pro the drill-down nicely shows the ECB’s impact, with 5 years printing at a low of 0.433% shortly after […]

CME IRS Margin Model Change

CME recently made a change to its margin model for interest rate swaps, see CME Advisory. This explains that on Aug 25, 2014, the model changed to use shifted log returns from log returns. The link in the advisory further states that “data for each currency will be shifted by 4% before computing log returns …..and […]