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 […]
February 2015 Review – ICAP vs Bloomberg
Bloomberg and ICAP are fighting it out for the number one position in our latest monthly review of Interest Rate Swap volumes. We show that February looked a lot like January for both SEFs and CCPs, and that nearly 25% of risk was traded as part of a strategy. USD IRS On-SEF Broadly speaking, February 2015 looked a lot like […]
What is the Impact of the BGC Acquisition of GFI?
After a struggle over many months BGC succeeded in getting majority shareholder agreement for its hostile takeover of GFI as announced in the press recently. CME had pulled out shortly before so I had expected this. Using SEFView we can get a sense of the purpose of the acquisition. First, let’s look at total SEF volume. You […]
Can SPAN Margin for Futures be higher than HistSim Margin?
Following on from my article on Portfolio Cross-Margining of Swaps and Futures, I wanted to take a more detailed look into the Initial Margin of Interest Rate Futures. In this article I will compare SPAN with Historical Simulation and check whether SPAN margin is always lower than HistSim margin, which is what we would expect given […]
Our Response to the ESMA Consultation
We recently responded to the European Securities and Markets Authority (ESMA) Consultation Paper on a “Review of the technical standards on reporting under Article 9 of EMIR”. This consultation is on the revision of the Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS) of EMIR which deal with the obligation of Counterparties and CCPs […]
Swap Curve and Fly Trading: What goes in, must come out
Curve and Fly trading looks like a simple old game – existing trades are ripped-up and replaced with spot-starting hedges. So why don’t people do that across the Bloomberg SEF? Curve and Fly Trades Today, we indulge in a little bit of data mining for our recently launched Curve and Fly feature. This is a fascinating […]
Inflation Swaps: What the Data Shows
As LCH SwapClear plans to start clearing Inflation Swaps I thought I would look at what the US SDR data shows for this product. While this is only part of the global market, it still provides very interesting insight into the market. Summary Inflation Swaps trade in USD, EUR, GBP Gross Notional volume averages $2 billion […]
Clearing Efficiency: A New Metric?
With the release of CCPView, we now have a great tool to monitor OTC clearing data. CRYING FOUL My previous articles on the topic of clearing data garnered a lot of comments from folks surprised by some of the data we can see when we start tearing off layers of data. In each of these […]
Swap Curve and Fly Trades: A quarter of all trades are not what they first seem
We now identify package trades within SDR data in real-time. These packages represent 25% of reported trades. Users can access this analysis via our SDRView Pro application, further increasing the utility and transparency of the data within OTC markets. This is a good example of how we can add simplicity and clarity to the data […]
SEF Package Relief Runs Out Again
Happy Valentines Day. Love, The CFTC The next phase of expanded MAT-package interpretations is upon us. Back on November 10, the CFTC released their letter outlining their most recent extended package relief for certain swap packages. The next deadline is now upon us, February 15. SUMMARY The table below is my little summary of the package relief […]