EUR IR Swaps: Huge Spikes in Volumes

The advantage of a dashboard view is that it can quickly highlight interesting information. Looking at the SDRView Res dashboard this morning, I was surprised to see the following: Showing massive EUR IRSwap volumes on 19-Nov and 21-Nov, which were larger than USD volume on those days! Very strange as this never happens. Remember in SDRView […]

CFTC Block and Cap Sizes

Aka “Everything you wanted to know about Block and Cap sizes but were afraid didn’t know who to ask.” Since the inception of SDR trade reporting took hold, there has been a concept of capped trade sizes. The general idea being that transparency is good, but too much transparency can be damaging. The CFTC understood […]

What I learned at SEFCON 5

I had my doubts about SEFCON 5.  I had even told one of the sponsors weeks in advance, tongue in cheek, “SEF’s are live and ticking, what’s there to talk about?”  I knew better, and I indeed learned a few things. I’ll detail a few of the hot topics.  Many of these came up multiple […]

AUD Swap Market

Having blogged for a good few months now, it becomes second nature to look for different lines of analysis within the major markets that we haven’t yet covered. As a result, we find new ways of developing the existing products and adding to the layers of data. However, always searching for that something new can lead us […]

Price Making in Swaps and Sharpening your Axe

Market making in Swaps is a business in the midst of significant change. Regulatory drivers are increasing cost and complexity and while central clearing has helped, it has not yet simplified the business to one which is automated, high-volume and low cost. When making prices Swap dealers have “usually had an axe”, meaning a bias to […]

The Truth in Clearing House Data

I spent time at the FIA Expo in Chicago last week where I sat listening to many speakers and panelists. Chairman Massad gave a fantastic keynote address, and somewhere in his speech, without giving a name, he referred to one clearing house having the lion’s share of cleared OTC. In the back of my mind, […]

Butterflies and Spreads SEF Market Share

History in the making….. October 2014 was another record month for volumes traded on-SEF. Following on from Amir’s blog, we can see that October on-SEF USD IRS volumes hit a record, breaking $1.5trn for the first time: DV01! Using a new version of SDRView Researcher for USD Swaps, we can also run these numbers in […]

October Volumes in Interest Rate Swaps

Now that all October data is in, I wanted to update my blog of Oct21, Record Volumes on SEFs in September and October.   USD IRS ON SEF VOLUMES Lets start with a chart from SDRView Res. Which shows that as we expected October volumes are higher with greater than $1.55 trillion versus $1.46 trillion […]

Lamperti Transform

Let \(X_t\) be an Ito process given by $$dX_t=f(X_t,t)dt+\sigma(X_t,t)dw_t$$ The Lamperti transformation is, $$Z_t=\phi(X_t,t)=\int\frac{1}{\sigma(x,t)}dx$$ and has a unit diffusion; that is, \(dZ_t=(…)dt + dw_t\). This transformation is fairly well used in finance, and particularly useful with separable volatility functions both in analytic and numerical contexts. However I am not sure the name is well known […]

The Rise of MAC ?

Earlier this month, I predicted that just like the CDS market moved to standardized contracts a few years ago, the day would come when the interest rate market would move to a standardized world, namely in the form of Market Agreed Coupon contracts (MAC).  The logic being: Managing line items in a cleared world is easier because they naturally compress […]