What’s going on – FX NDF Trading 2016

We update our periodic look at NDF markets for 2016. Over $1.1 trn in NDFs are regularly reported each month to SDRs. With up to 50% of the market traded on-SEF. March 2016 saw record volumes transacted on-SEF with over $500bn trading for the first time. Global cleared volumes have increased to nearly $75bn per […]

Found: The First Cleared Swaption

I took a bit of heat for my recent report citing the first cleared swaption that did not show up on the public SDR. By all accounts, the trade was cleared at CME on April 11, as witnessed by CCPView where it shows up as a “1Yr” swaption.  While its valuable to see it in […]

LCH-JSCC Basis: An Update

My blog last week on LCH-JSCC Basis in JPY Swaps has been massively popular and now that we have another week’s data under our belt, it is worth an update. Indicative CCP Basis Quotes Let start with Tradition’s page as of Friday April 22, 2016. Showing, Yen IRS quotes at JSCC, Yen IRS quotes at LCH, LCH/JSCC Basis and 6v3 […]

Equity TRS data on the SDR

Today I continue my analysis of equity derivatives data within the SDR, to see what other useful nuggets of data lie within there. Lets pick up from our previous analysis from a couple weeks back.  As a refresher, I began by: Taking all March 2016 equity data (847,648 trades) Removed anything that was post-trade (terminations, […]

CME Invoice Spread Volumes – updated

We update our analysis on the new CME Ultra 10 UST Future by looking at volumes in Invoice Spreads with matching dates to the futures contract. We find continued impressive volumes. About 6% of the risk-weighted volume in futures can be attributed to Swaps-related trades. The headline numbers Invoice Spreads versus the CME Ultra 10 UST Future are continuing to […]

LCH-JSCC Basis in JPY Swaps

Last week a number of our readers alerted us to the sudden formation of a Basis in Yen Swaps between LCH and JSCC, which is interesting to say the least. So lets look at what the data shows. Indicative CCP Basis Quotes Tradition kindly sent us a screenshot of their new page. Showing, Yen IRS dealer quotes at JSCC, […]



Missing In Action: The First Cleared Swaption

Surely you’ve heard about the CME launch of cleared swaptions this week – quite an important milestone in the progress towards maximizing capital efficiencies and minimizing counterparty credit risk. The CME press release can be found here.  One can glean that the first cleared swaption was dealt between Barclays and perhaps RBS on April 11th, 2016. […]

CME Compression and CCP Basis

The CME Compression run in March coincided with a peak in daily volumes for 30 year USD Swaps. Amongst falling Average Daily Volumes in USD Swaps over March as a whole, this extra 30 year activity was particularly noticeable. We also saw a peak in 30 year CCP Basis trading a day before the CME Compression run. We wonder […]

CCP Skin in the Game: An Update

The topic of whether CCPs have sufficient “skin in the game” was a popular and contentious one at conferences in 2014 and 2015, but one that I thought had been done and dusted. So I was surprised that it came up again at one of the FIA Boca 2016 panels in mid-March and with the usual […]