Fed Rate Hikes Are Reducing The Average Life Of USD Swaps
The average maturity of USD OIS swaps has reduced significantly in recent months. OIS swaps now make up almost 20% of all traded risk in USD swaps, up from less than 5% in 2014. As a result of increasing volumes in OIS and their very short maturity, a significant reduction in overall average maturity is […]
Are SEF’s Executing More Non-MAT Trades?
Today we look at any trends in bespoke Fixed/Float swap trading On-SEF. Last year I wrote an article about the longer term trends in the US swaps market by asking “What is Left off-SEF?” We determined that, generally speaking, 2/3rds of the USD Fixed/Float swap market is On-SEF. The Off-SEF world was generally a bunch of […]