MAC Trading “McUpdate”

Roughly 3 months ago I wrote an article on MAC contracts where I gave a brief history of these standardized derivatives, preached all of the wonderful benefits of them, and discussed why the buyside should be flocking to them.  I then proceeded to present data that concluded that these products just haven’t taken off. So, has anything […]

Swaption Volumes in 2014

As it is now one year since my last blog on this topic, see Swaptions Trading on SEF Platforms, I thought I would take a look at Swaption volumes in 2014.   EUR & USD Swaptions First using SDRView Res we can select trade counts per month. Which shows that: Jan 2014 was the highest volume […]

Liquidity in USD Swaps

What is most traded – Spot, Fwd, or IMM swaps? Or maybe MAC? Ahead of the MAC coupon change on February 2nd, we examine some of the bifurcations that exist in the USD swaps market at the moment. Liquidity We’ve talked about Liquidity before, and of course there has been a lot of commentary surrounding […]

Our Top 10 Blogs of 2014

Those of you that read my articles will know that I often write about “What the Data Shows” in the context of Swap Data Repositories and Swap Execution Facilities. Given that it is the time of year for many of us to attend Offsite Events in order to plan for 2015 and reflect on performance […]

FX Options and the Swiss National Bank

What can we say about the SNB move that hasn’t already been covered? Simple – we can indulge everyone’s latent voyeuristic tendencies and look at what positioning may have been like in EURCHF OTC FX Options at the time of the SNB announcement. FX Options in SDRView This is an area we haven’t highlighted in […]

Initial Margin and Swap Pricing

Welcome to 2015 everyone! I thought I’d start the year with some simple thoughts on Initial Margin, before later applying these to what may (or may not!) be charged when dealers quote on a compression run that we identified using the SDRView Pro API. Initial Margin Basics As Amir has covered in a number of […]

A Review of 2014 US Swap Volumes

In this article I will review 2014 Swap volumes and do so in a similar format to my July article; A Six Month Review of Swap Volumes. As usual our universe is not global but specific to the United States. It consists of trades reported to US Swap Data Repositories, either executed On a Swap Execution Facility or […]

Year End Turn Rates

The year-end turn-rate (or the turn-of-the-year rate) is the interest rate for the period between the last business day of the year until the first good business day in the next year. For example, in the US the 2014 turn rate is the interest rate for the period between 31-Dec-2014 until 2-Jan-2015. The rate can […]

December Volumes in Interest Rate Swaps

Following-on in our monthly review series, let’s take a look at how volumes developed during the month of December. The results are quite surprising in the end. USD IRS On-SEF From our October review, we know that October 2014 was a record month for SEF trades, mainly down to such extreme market volatility. What we […]