Initial Margin and Swap Pricing
Welcome to 2015 everyone! I thought I’d start the year with some simple thoughts on Initial Margin, before later applying these to what may (or may not!) be charged when dealers quote on a compression run that we identified using the SDRView Pro API. Initial Margin Basics As Amir has covered in a number of […]
A Review of 2014 US Swap Volumes
In this article I will review 2014 Swap volumes and do so in a similar format to my July article; A Six Month Review of Swap Volumes. As usual our universe is not global but specific to the United States. It consists of trades reported to US Swap Data Repositories, either executed On a Swap Execution Facility or […]
Year End Turn Rates
The year-end turn-rate (or the turn-of-the-year rate) is the interest rate for the period between the last business day of the year until the first good business day in the next year. For example, in the US the 2014 turn rate is the interest rate for the period between 31-Dec-2014 until 2-Jan-2015. The rate can […]
December Volumes in Interest Rate Swaps
Following-on in our monthly review series, let’s take a look at how volumes developed during the month of December. The results are quite surprising in the end. USD IRS On-SEF From our October review, we know that October 2014 was a record month for SEF trades, mainly down to such extreme market volatility. What we […]