SEF MAT Week 4, IRS Volumes and Spot, Spread, Fwd, MAC
Following on from my article SEF MAT Week 3, IRS Volumes Up and Up, I will look at: Figures for Week 4 (Mar 10-14) Market share by SEF Types of IRS traded On SEF Week 4 Lets start with a chart from SDRView Researcher of weekly volumes for all USD Interest Rate Swaps in the six […]
SEF MAT Week 3, IRS Volumes Up and Up
There have been a number of recent articles commenting on the lower volumes of USD Interest Rate Swaps, for example SEFVolumes died last week and US IRS Volumes-SEF MAT Cliff or Steady Decline. So now that 3 weeks have passed I decided to update my article SEF MAT Week One, What Does the Data Show. […]
SEF: Week 23
Thanks for checking in this week. This will be brief as we’re at the FIA in Boca and my blogging time is limited. So on to the data… DATA Daily data for last week: The weekly data: SO WHATS UP? What stands out to me: Bloomberg has continued to shine, with impressive data for both […]
Arbitrage-Free SABR: Finite Difference Techniques
In January a new approach to the SABR model was published in Wilmott magazine, by Hagan et al., the original authors of the well-known SABR model. They review some of the weaknesses of the model, and concentrate on the problem of negative probabilities induced by the original approximation formula, especially at low strikes. To solve […]
CDSIndex On SEF Volumes after MAT
February 27, 2014 was the Made Available Trade (MAT) determination date for CDSIndex contracts based on the TradeWeb submission. Similar to my recent article on Interest Rate Swaps, I will look at what the volumes show. Which products are MAT? Two North American Indices: CDX.NA.IG.5Y and CDX.NA.HY.5Y Two European Indices: iTraxx Europe 5Y and […]
SEF: Week 22 (Welcome CDS)
An interesting week for SEFs. The Tradeweb MAT self-certification went into effect last Wednesday, and MarketAxess’ on Friday, so we now have the 4 primary CDS Indices made available. It appears to have been a fairly active week. Lots had been said about Swap activity after the first MAT week. Headlines were that swap volumes […]
SDRFix, An Update: On SEF & Cross Currency Swaps
My last article on SDRFix was on Oct 28, 2013 and the prior one on Sep 25, 2013, so I thought it was time I provided an update. What is New? Today we released a new version with the following: USD IRS fixing to only use On SEF Cleared trades A new fixing for […]
SEF: Week 21, First Week Data
First week of MAT trading down. Began as a quiet week, particularly given the US holiday. As Amir Khwaja writes about in his analysis of SDR data on the first week of SEF trading, the data returned to roughly match the 4 days of activity from the previous week. We can also see from his analysis […]
SEF MAT Week One, What does the data show?
Now that the first weeks trading after Made Available to Trade determination for Interest Rate Swaps on 15-Feb-2014, is over, I will look at what the data shows. 80% or 35%? First a brief digression. Risk.net on 20 Feb 2014, published an article Cleared US dollar swap volumes drop 80% on first day of […]
Fed Fund Swap Nuances
A few people have recently asked me about the details of USD Fed Fund Swaps. I collected some of my answers together in this post for convenience. Fed Fund Swap and OIS Swap differences Fed Fund Swaps and OIS swap are easily confused at first glance, both are swaps involving the Federal Funds rate, both […]