ECB QE and EMIR Reporting. More transparency please!
Will ECB QE affect European Cross Currency swap markets? We need more transparency in European OTC data to definitively answer that question. In this blog, we use 2014 data from the SDRs to first examine what has traded over the past twelve months and then we take a quick look at 2015 data and discover a […]
Clearing Certainty (ESMA’s Version)
I think ESMA has got it wrong when it comes to Pre-Trade Credit Checking / Certainty of Clearing. For starters, Pre-Trade credit checking is discussed under chapter 9 “Post-Trading issues” of both ESMA documents (consultation paper and draft RTS). I can see how it happened: the post-trading issue is that the clearing house does not […]
Portfolio Cross-Margining of Swaps and Futures
We often get asked about Cross-Margining of Swaps and Futures, as well as SPAN margin for Futures. In this article I will introduce the benefits of cross-margining, using a few simple examples and the CME Clearing model. As this is my first article on this topic, I will endeavour to keep it as simple as possible […]
January Volumes in Swaps, Compression To the Fore
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in January 2015. First the highlights: Decent volumes but lower than December. Surprising given the large price moves, with 30Y down 50bps and 9 out of 22 days with >5bps moves in the 5Y. Global USD IRS volumes show LCH SwapClear with […]
HFT in the Swaps market – it’s a good thing!
I thought it was very interesting this week that Commissioner Giancarlo mentioned the potential emergence of HFT in the swaps trading landscape. From a quick read of his remarks, it sounds like he is not a great supporter of continuous CLOB trading as the only mode of swap execution. But what if enabling HFT in […]
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 […]