ECB QE and Eonia Swaps

We take a look at Eonia invoice swaps, which match the dates for German bond futures traded at Eurex: From volume data, we see an increase in Eonia swap activity post-QE. The price action in Schatz appears closely related to short-end Eonia swaps, whilst in Bobls and Bunds it is harder to pin-down. The appearance of trades with […]

How to Fix the Broken MAT Process

aka “What I learned at the CFTC Roundtable” This past week, Amir sat on a panel at the CFTC to discuss everything MAT.  I sat in the audience and heckled.  And took notes.  I will share those with you below. BACKGROUND If you are an avid reader of our blogs, you’d know we’ve been tracking […]

CME-LCH Basis Swaps Volumes Update

Eight weeks and six follow-on blogs later, my CME-LCH Basis Spreads blog continues to be one of our most popular blogs with a high number of daily views. So I thought it was high time I revisited the SEF volumes to see what the data shows for CME-LCH Switch trades. First a note to make […]

Patterns in the Swaps data

a.k.a Predictive Analysis in USD Swaps Clarus, ever since reporting began, have enriched both SDR and SEF data as we identify more and more trade types. Whether the trades are Compression, Spreadovers or Curve trades, we estimate that we are marking up over 1 in 2 trades reported to an SDR. But to what purpose? […]

June 2015 Review – Clients start trading CME-LCH Basis

A typical month in swaps? Far from it! These were the highlights: A record ever month for SEF trading. A big increase in client flows. The data suggests that some clients used the IMM roll to trade the CME-LCH basis, in particular on Tradeweb. Bloomberg saw some huge compression flows in MAC-dated swaps after the IMM roll. Consolidation of […]