¡Dios mío!: Half of the MXN Market Is Now Cleared
I began looking at Mexican Peso swaps last week and was struck by the amount of activity we can see on the SDR, and the degree to which they were being cleared. It does raise some questions that I don’t believe I have the answers for, so I thought I’d put it out to our […]
CME-LCH Basis Widens Again
The last article in our CME-LCH Basis category is dated July 15, 2015 and while our regular Swaps Review does cover CCP Basis Swap Volumes, it is now nearly 3 months since we looked specifically at the CME-LCH Basis. So time to see what has been happening. Daily Price History Lets start with a time […]
Stop Losses Evident in CDX Price Action
CDS indices trade in an almost continuous market This gives us a lot more price and volume data to analyse than for a tenor-specific Interest Rate Swap We briefly look at tick sizes and volume at price for the CDX:IG Index, but don’t find anything too compelling But we find an interesting representation in 3 dimensions when […]
Final US Rules on Margin for Non-Cleared Swaps
On October 22, the United States published its Final Rules to establish the minimum margin requirements for swaps transacted by insured depository institutions, which are not cleared by a clearing house. The Joint Rules are the work of the Federal Deposit Insurance Corporation (FDIC), the Office of the Comptroller of the Currency (OCC), the Federal […]
What I Learned at SEFCON VI
The 6th annual SEF event took place on Monday. Always a good day to meet folks and hear what’s happening in SEF-land. As usual I’ll summarize the event for those who could not attend. For starters, ICAP pulled out of the WMBA so was generally not present. I noted only one ICAP representative in the […]
US Treasuries and Spreadovers – Market Comparisons
We compare Average Daily Volumes in US Treasury bonds to those in Spreadovers reported to the SDR Spreadovers account for about 2.5% of turnover of US Treasuries The maturity profiles of trading are broadly similar But Spreadovers have a greater concentration of trading in the 5y and 10y maturities. Half of all trades are not […]
Update on The Health of FCMs
Six months ago I wrote a report that looked at the health of the FCM community. My general findings were that: The number of FCM’s was actively shrinking Only a small portion of FCM’s were handling Cleared Swaps The amount of client funds to support cleared swaps has doubled in the last year, concentrated largely […]
MiFID II and Best Execution for Derivatives
Following on from my recent article on MiFID II and the Trading Obligation for Derivatives, I wanted to look into another key section in the ESMA Final Report; namely the requirements for Best Execution. There are two specific requirements, one for Trading venues and another for Investment Firms. MiFID II Background The Final Report deals with Draft Regulatory […]
Our new Belfast office
We recently announced our expansion with a new office in Belfast. Key reasons for the choice of Belfast are; Well educated, English speaking STEM graduates, A very positive business environment, An existing financial technology cluster. Universities Belfast has two universities, Queens University of Belfast, dating back to the mid 1800s, and Ulster University a modern […]
Why trade level reporting is the only reporting that makes sense
We look at the data sources available for AUD IRS markets…. …and try to reconcile some of the numbers We quickly find this is not as easy as it first appears…. …and conclude that publicly disseminated, trade-level reporting is the only way to add true transparency to OTC derivative markets. The great data reconciliation game […]