The IMM Roll for Swaps – What is it and what are the volumes?
Every quarter, monthly SEF volumes are distorted artificially higher by IMM roll activity. What is it and how can we identify the trades? The History of the IMM Roll The International Monetary Market (IMM) was a division of the CME back in the 1970s. There is a great essay here for the history buffs. In […]
Compression List Trading On SEFs
Compression List Trading volumes have continued on their upward trend this year and in this article I will look into the what the data shows both in terms of volumes and also SEF market share. On SEF Compression Lists By Month Lets start with an SDRView Res chart of monthly gross notionals in G4 currencies […]
Spreadovers: US Treasury Spreads in the Swaps Data
US Treasury Swap Spreads (“Spreadovers”) are a significant portion of the Swaps market. Up to 1 in 5 trades are identified as a Spreadover, which helps us understand the SDR trade universe in even more detail. As a result, the curated Clarus data now augments over half of all trades from SDRs to enable greater transparency. We continue to refine our […]
MAC Swaps – Any Progress?
We get asked often about the most recent MAC swap activity. So lets look at some data. DATA We are assisted by the Clarus SDRView Researcher service, which enriches all the swap data to mark-up the subtypes (eg MAC, IMM, Spot start, etc) and packages (curve, butterfly, compression, etc). Below is a snapshot of the […]
Cross Currency Swaps: SEFs enjoy QE-fueled volume boost
SEFs in 2015 have seen huge increases in Cross Currency volumes, seemingly as a result of ECB QE. European credit markets are a hotbed for foreign issuers right now, and this is driving a significant shift to On-SEF trading for this asset class. The FX Effect It’s certainly not new news that EUR/USD FX is plummeting, and has been on a […]
Client Portfolios will Dominate CCP Risk
Using Client Open Interest figures we can project the share of CCP portfolio risk due to Clients once Clearing reaches a mature state. This will take several years as legacy non-cleared Rates portfolios (which dominate global notional outstanding) need to run off and be replaced by cleared trades under the US, EU and Asia client clearing mandates. However, […]
Trade Surveillance in Swaps Trading
Swap Execution Facilities (SEFs) and Swap Data Repositories (SDRs) mean that it is now possible to implement effective Trade Surveillance in the OTC Swaps market and to do so in an analogous manner to the Futures market. Swap Dealers or Major Swap Participants can and should compare their executed trades with the trades reported in […]
Come on, feel the noise!
Better than an Oasis b-side, we thought what better time to talk about volatility than just after a payrolls report that saw 10 years move by over 12bp? Will the Fed in action be good for the SEF industry? I think we all know the supposition here. Volatility leads to increased trading, increased trading leads to higher […]
Why has Global Rates Client Clearing Open Interest Plateaued?
Client clearing open interest is steadily increasing right? One would be forgiven for thinking that client clearing open interest is steadily increasing given the 2013 CFTC clearing mandate which impacts US clients directly (as well as any non-US client that trades with a US person). Not true I am afraid. The stats below show that […]
EU Court Ruling on Euro Zone CCP Residency
The lawsuit from the British government in 2011 on euro zone CCP residency is coming to a ruling in the EU court Wednesday March 4th (according to this risk article – subs. required and this otcspace article). The idea is that CCPs clearing a 5% slice of euro-denominated products in a given category have to […]