US Swaps transparency has yielded numerous benefits

FOW (Futures & Options World) recently published my article on US Swaps transparency. If you are a subscriber to FOW, you can view the complete article here. Otherwise, the article is re-produced below. _________________________________________________________________________________ The Dodd-Frank Act requires both the real-time reporting of all OTC Derivatives trades done by US persons to Swap Data Repositories […]

Japanese version of Feb 2016 Swaps Review

マンスリー・レビュー・シリーズの、2月の金利スワップのボリュームを見てみよう。まずはハイライトから

SEFを経由した(オンSEFの)USD(ドル)の金利スワップの2月のボリュームは1.3兆ドル以上となった
DV01は前月に比べて11%上昇した
バタフライやカーブト・レードも増加

CFTC Attempt to Improve SDR Data

The CFTC want to make the SDR data better. On December 22, 2015, when the financial markets had visions of sugarplums dancing in their collective heads, the CFTC snuck out a document, asking the industry to comment on their plans to increase reporting requirement for swaps. The document can be found here.  At 68 pages […]

Feb 2016 Swaps Review – Compression Up, CME-LCH Basis Down, AUD OIS Up

Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in February 2016. First the highlights: On SEF USD IRS in February 2016 volume was > $1.3 trillion For price forming trades, DV01 was 11% higher than the prior month Butterfly and Curve trades were up USD SEF Compression volumes was exceptional at >$220 billion USD Swap Rates […]

Liquidity Variables in the Swaps Market

We follow-up on a recent Bank of England study on the Swaps market. The Bank report finds that SEF trading has increased liquidity and decreased trading costs. Clarus data backs these findings up with 2016 data… …and shows that liquidity is much greater On-SEF than Off-SEF. This is an important and rigorous measurement of liquidity in today’s markets. Following […]