September 2015 Review – More of the Same
Continuing with our monthly review series, let’s take a look at US Interest Rate Swap volumes in Sep 2015. First the highlights: On SEF USD IRS Sep 2015 volume was >$1.2 trillion, Up from August and similar to July SEF Market Share remains the same as YTD Bloomberg in front with 30%, Tradeweb 23%, IDBs in mid-teens […]
Performance of Block Trades on RFQ Platforms
The nature of swaps trading (RFQ to 1 participant for example) means that there can be a motivation to trade large-sized tickets in an old-school fashion – bilaterally. Therefore, unlike more mature electronic markets, these orders are not sliced’n’diced. This means that not only the performance of these large trades can be monitored in public data…. […]
Identifying Customer Block Trades in the SDR Data
Following up on our previous blog, What’s the story behind Tradeweb block trading? Regulations mean that different market participants will transact trades of block size in different ways This allows us to identify whether a block trade is transacted across a D2D venue, Tradeweb or Bloomberg We therefore have increased transparency as to whether these […]
SEFS in Japan: First Month of ETP Volumes
Following on from our blog, SEFs in Japan: ETP Data, I wanted to look at the first month of trade activity. Background Japanese Electronic Trading Platforms (ETPs) commenced operation on 1 Sep 2015, with trading in Vanilla JPY Fixed vs Libor Swaps, Cleared at JSCC with 5Y, 7Y, 10Y tenors and trades executed between large […]
MiFID II and the Trading Obligation for Derivatives
Following on from my recent article on MiFID II and Transparency for Swaps, I wanted to look into another key item in the ESMA Final Report; namely the obligation for derivatives to only be transacted on a Trading Venue. Background The Final Report deals with Draft Regulatory Technical Standards (RTS) of which there are 28 and […]
MIFID II and Transparency for Swaps: What You Need to Know
Today ESMA published its Final Report on Regulatory Technical Standards for MiFID II. A process that started in May 2014 with a Discussion Paper and then two Consultation Papers, is now nearing completion. For this article I have read as many of the 577 pages as possible, to try and understand what MiFID II will mean […]
AUD Cross Currency Swaps
Clarus explores the AUD/USD Cross Currency Swaps market. We find that our SDR data covers over 20% of the market – both for dealer-to-dealer and dealer-to-client flows. SEF-trading has seen an impressive uptake, with an average daily volume over $500m. The off-SEF market remains important – not surprising, given a lack of clearing or execution […]
Swap Market Behavior on Fed-Day
Like many of you, I was tuned into CNBC last Tuesday to keep an eye on what the Fed decided to do with rates. Perhaps like many others, I also had SDRView Professional up and running on my desktop to see how the swap market was behaving. Here is what the 5YR USD swap was doing […]
What’s the story behind Tradeweb block trading?
Tradeweb appear to have a 75% market share for Dealer-to-Customer Block trading which has increased substantially since the early days of SEF trading This is against a backdrop of fairly stable overall block activity… …but more and more block trades are being done on-SEF rather than off-SEF. Sadly, this may raise a question over good ol’ voice broking… […]
Basis Swap Volumes
For a while I have wanted to look into more detail at Interest Rate Basis Swaps, which are an important but little noted product type. So in this article I will look at what the data shows in terms of volume and trends. First the highlights: Basis Swaps are the fifth-largest USD IR product $230 billion […]