January 2016 Swaps Review – Gains and Losses

Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in January 2016. First the highlights: On SEF USD IRS in January 2016 volume was higher than December 2015 For price forming trades, DV01 was 10% higher Butterfly volume was much lower than prior months USD SEF Compression volumes were back down to November levels USD Swap Rates fell 37 bps […]