Swaptions Clearing at CME
Last week CME Group announced that it will begin clearing Swaptions on April 11, 2016 and this triggered my interest in revisiting trading volumes and taking a deeper dive into margin requirements for Swaptions. Volumes in SDRs I last covered Swaption volumes in Jan 2015, so lets use SDRView to look at volumes for US persons: Showing: […]
Liquidity on the Bloomberg SEF
We analyse the liquidity on Bloomberg SEF…. …by measuring the price dispersion of 10 Year USD Swaps using the methodology from a recent Bank of England staff paper. We compare these measures of liquidity versus the broader SEF market. We find that in the past 6 months, liquidity is higher on the Bloomberg SEF relative to the rest of the […]