A sideways look at Swap Spreads

We take a look at Swap Spreads, this time by way of Cross Currency Basis swaps. We find that Cross Currency swaps are also moving sharply lower and have seen impressive volumes….. …..with increases in volumes around key price levels that have acted as support in the past. More negative Cross Currency levels would normally […]

Swap Spreads For Dummies – The LIBOR Joke

If you’re like me, you’ve read the news on negative swap spreads and tried to sift through the reasons behind it. On the surface, it seems such a basic premise that swap spreads need to be positive – surely there is an arbitrage out there. So I set out to understand it better by seeing […]

CME-LCH Basis Spreads Blow Out

Following on from my Nov 3rd blog on CME-LCH Basis Widens Again, I thought I would look to see if anything interesting has happened since. Well it most definitely has, so lets take a look at the data. Starting with a screenshot of Tradition’s pricing page on BBG from Nov 17th. Wow! 30Y is showing 3.7 bps! An […]

Australian Rates Clearing Mandate

Australian Rates Clearing Mandate now only 6 months away. LCH is the current king of AUD$ Rates Clearing ASX goes strong on the Cleared AUD$ OIS product Regulators may delay mandate start on FRAs and OIS? Will a market share split see a CCP basis spread like for USD on LCH-CME? I thought might be […]

What is the Impact of the ICAP and Tullet Deal?

The recent announcement of the ICAP and Tullet deal (see ICAP’s statement) has resulted in a lot of press coverage, see Financial Times (subs required) or The Guardian or Bloomberg for details. The transaction will result in Tullet taking over ICAP’s brokerage business (with ICAP retaining a minority stake in the Tullet Prebon Group) and ICAP focusing on its […]

What I Learned at FIA Expo

Good event last week in Chicago.  I thought I’d summarize what I learned. Day 1: Keynote by Chairman Massad The day began with some personal excitement.  The Chairman and other Commissioners have been very good about giving “shout-outs” to Clarus on our efforts with enriching the public swaps data.  Just the prior week, the Chairman […]