The Average Maturity of Swaps Is Increasing
We calculate the average maturity of USD IRS traded across SEFs. Over the past 3 years, this average maturity has meaningfully increased. This maturity extension has been seen on both D2D and D2C venues. The activity across D2D venues suggests that dealers continue to hedge the bulk of client trades with swaps themselves (as opposed to futures, […]
MIFID II: Instrument Reference Data
Following on from my article on the Trading Obligation For Derivatives under MiFIR, I wanted to look at more recent documents released by ESMA for MiFID II and MiFIR and found a briefing note released on 12 Jan 2017, titled “MiFID II technical data reporting requirements“. It starts with the following table: Interesting. Lets look […]