Chris Barnes


Chris Barnes

Chris has over 12 years experience trading OTC Derivatives markets. He cut his teeth trading Cross Currency Swaps at HSBC in London between 2002 and 2010, before helping to launch Rates Trading at State Street in London (2010-2012). Having relocated to Switzerland, he was most recently Director of Product Development at Gottex.

Chris holds an MA from the University of Cambridge in Natural Sciences, where his dissertation on artificial intelligence was published in 2001.


Posts by chris:

  1. 22 Feb 2017, ISDA SIMM™ in Excel – Equity Derivatives
  2. 14 Feb 2017, FRTB Curvature Risk Charge
  3. 07 Feb 2017, FRTB Vega Risk Charge
  4. 31 Jan 2017, ISDA SIMM™: Concentration Thresholds
  5. 25 Jan 2017, The Average Maturity of Swaps Is Increasing
  6. 18 Jan 2017, VM Big Bang – Analysing CSA Amendments
  7. 11 Jan 2017, What percentage of D2C Swap trades are cleared?
  8. 03 Jan 2017, Spreadovers
  9. 21 Dec 2016, NDF Volumes – It’s all about Clearing
  10. 14 Dec 2016, ISDA SIMM™ – Swaptions IM in Excel
  11. 06 Dec 2016, ISDA SIMM™ IM Comparisons
  12. 29 Nov 2016, What is the size of the Uncleared IRS Market?
  13. 22 Nov 2016, FRTB – Excel Calculator for the Standardised Approach
  14. 15 Nov 2016, Understanding BIS Derivatives Statistics
  15. 09 Nov 2016, What is a 0x3s FRA?
  16. 02 Nov 2016, BRL NDF Market – 30% of Dealer to Dealer flow is now cleared
  17. 26 Oct 2016, Calculating MVA under ISDA SIMM™
  18. 18 Oct 2016, BIS 2016 FX Data – how much of the NDF market is Cleared?
  19. 11 Oct 2016, BIS 2016 Data and Clearing Mandates
  20. 04 Oct 2016, NDF Clearing – what is trading?
  21. 03 Oct 2016, ISDA SIMM マルチ・カレンシー・ポートフォリオ
  22. 26 Sep 2016, ISDA SIMMをExcelで計算する
  23. 20 Sep 2016, ISDA SIMM™: Multi Currency Portfolios
  24. 07 Sep 2016, ISDA SIMM Excel Calculator
  25. 30 Aug 2016, Cross Currency Swaps – how much margin will they need?
  26. 24 Aug 2016, How much Initial Margin will Uncleared Derivatives require in the first month of trading?
  27. 16 Aug 2016, Compression and SPS in MXN Swaps
  28. 09 Aug 2016, Spreads and Butterflies – what is trading?
  29. 02 Aug 2016, SDR Data via Microservices
  30. 25 Jul 2016, Liquidity Conditions in USD Swaps
  31. 19 Jul 2016, Mechanics and Definitions of Bond Futures
  32. 13 Jul 2016, Will the Bank of England cut rates?
  33. 06 Jul 2016, Mechanics and Definitions of Short Term Interest Rate Futures
  34. 01 Jul 2016, BREXIT – What is Trading?
  35. 29 Jun 2016, BREXIT – Day Four, What is Trading?
  36. 28 Jun 2016, BREXIT – Day Three, What is Trading?
  37. 27 Jun 2016, BREXIT – Day Two, What is Trading?
  38. 24 Jun 2016, BREXIT – What is Trading after the result? Day One
  39. 20 Jun 2016, Brexit: FX Option and FRA Analysis
  40. 14 Jun 2016, The CFTC’s New Clearing Mandate 2016
  41. 07 Jun 2016, Fed meetings and OIS Volumes
  42. 31 May 2016, Fewer customer trades & more compression. How does a trader make money in a market like this?
  43. 17 May 2016, FVA for Cleared Swaps
  44. 10 May 2016, What’s the average trade size in swap markets?
  45. 04 May 2016, What is Multilateral Netting – FX NDF Clearing
  46. 27 Apr 2016, What’s going on – FX NDF Trading 2016
  47. 20 Apr 2016, CME Invoice Spread Volumes – updated
  48. 13 Apr 2016, CME Compression and CCP Basis
  49. 05 Apr 2016, How to identify the CCP of trades from the SDR data
  50. 30 Mar 2016, Identifying CCP Basis Trades in the SDR
  51. 21 Mar 2016, Swaps Price Data – Painting the full Liquidity Picture
  52. 15 Mar 2016, Liquidity on the Bloomberg SEF
  53. 09 Mar 2016, BREXIT: What do the FX Option volumes tell us?
  54. 01 Mar 2016, Liquidity Variables in the Swaps Market
  55. 23 Feb 2016, Volatility and Trading Volumes in Swap Markets
  56. 17 Feb 2016, Invoice Spread Trading in the New CME Ultra-10 Year Treasury Futures Contract
  57. 09 Feb 2016, CDS – Record Volumes, Expiring Swaptions and Bloomberg
  58. 03 Feb 2016, SDR Prices, Python and plotly
  59. 25 Jan 2016, The Bank of England finds this interesting. So should you!
  60. 20 Jan 2016, Fed Pulse – A New OIS Index
  61. 15 Jan 2016, スワップのコンプレッション
  62. 05 Jan 2016, Fed Surprises in the USD OIS Data
  63. 21 Dec 2015, Fed Surprise Indicators
  64. 16 Dec 2015, Compression in Swaps
  65. 08 Dec 2015, Is that a fair price? Measuring Swap Execution
  66. 01 Dec 2015, SEF Trading on US Holidays
  67. 24 Nov 2015, A sideways look at Swap Spreads
  68. 17 Nov 2015, Is Balance Sheet contraction driving Swap Spreads negative?
  69. 11 Nov 2015, Negative Swap Spreads – Prices and Volume
  70. 09 Nov 2015, October 2015 Swaps Review – Wins for LCH, Trads & Tulletts
  71. 02 Nov 2015, Stop Losses Evident in CDX Price Action
  72. 26 Oct 2015, US Treasuries and Spreadovers – Market Comparisons
  73. 20 Oct 2015, Why trade level reporting is the only reporting that makes sense
  74. 12 Oct 2015, Performance of Block Trades on RFQ Platforms
  75. 07 Oct 2015, Identifying Customer Block Trades in the SDR Data
  76. 28 Sep 2015, AUD Cross Currency Swaps
  77. 23 Sep 2015, What’s the story behind Tradeweb block trading?
  78. 14 Sep 2015, AUD swap market: Concentration risks from the Clearing Mandate
  79. 08 Sep 2015, Is an All-to-All SEF Market about to arrive?
  80. 01 Sep 2015, August 2015 Review – What Summer lull?
  81. 28 Jul 2015, ECB QE and Eonia Swaps
  82. 21 Jul 2015, Is this the scariest chart in 2015 for Swap markets?
  83. 14 Jul 2015, Patterns in the Swaps data
  84. 08 Jul 2015, June 2015 Review – Clients start trading CME-LCH Basis
  85. 01 Jul 2015, CME-LCH Basis: Convexity in Eurodollar Futures
  86. 24 Jun 2015, Liquidity
  87. 17 Jun 2015, Technical Analysis in Swaps
  88. 09 Jun 2015, Volatility and Volumes in Europe
  89. 02 Jun 2015, May 2015 Review – CCP Basis and Increased Client Flows
  90. 26 May 2015, CME-LCH Basis – What does the Term Structure tell us?
  91. 18 May 2015, Mechanics of Asset Swaps and Government Bond Swap Spreads
  92. 11 May 2015, Mechanics and Definitions of Spreadovers (Swap Spreads)
  93. 05 May 2015, BIS and Clarus Data: The $200 trillion reconciliation
  94. 27 Apr 2015, Data Visualisation for Swaps – a Tufte Approach
  95. 21 Apr 2015, What percentage of the market is in the US SDR data?
  96. 15 Apr 2015, March 2015 Review – Bloomberg out in front
  97. 31 Mar 2015, The IMM Roll for Swaps – What is it and what are the volumes?
  98. 23 Mar 2015, Spreadovers: US Treasury Spreads in the Swaps Data
  99. 17 Mar 2015, Cross Currency Swaps: SEFs enjoy QE-fueled volume boost
  100. 10 Mar 2015, Come on, feel the noise!
  101. 03 Mar 2015, February 2015 Review – ICAP vs Bloomberg
  102. 23 Feb 2015, Swap Curve and Fly Trading: What goes in, must come out
  103. 16 Feb 2015, Swap Curve and Fly Trades: A quarter of all trades are not what they first seem
  104. 11 Feb 2015, ECB QE and EMIR Reporting. More transparency please!
  105. 03 Feb 2015, HFT in the Swaps market – it’s a good thing!
  106. 27 Jan 2015, Liquidity in USD Swaps
  107. 20 Jan 2015, FX Options and the Swiss National Bank
  108. 14 Jan 2015, Initial Margin and Swap Pricing
  109. 05 Jan 2015, December Volumes in Interest Rate Swaps
  110. 23 Dec 2014, Margin Games 2014
  111. 16 Dec 2014, Swaps Compression Continued
  112. 08 Dec 2014, Compression in USD Swaps
  113. 02 Dec 2014, USD Swaps Liquidity
  114. 25 Nov 2014, Cross Currency Swap Trends
  115. 18 Nov 2014, AUD Swap Market
  116. 04 Nov 2014, Butterflies and Spreads SEF Market Share
  117. 28 Oct 2014, NDFs and Clearing
  118. 22 Oct 2014, Market Share in the Swaps Market
  119. 16 Oct 2014, Swaps and the Flash Crash 15th October 2014
  120. 14 Oct 2014, Mechanics and Definitions of Spread and Butterfly Swap Packages
  121. 07 Oct 2014, USD Swaps: Spreads and Butterflies Part III
  122. 30 Sep 2014, USD Swaps: Spreads and Butterflies Part II
  123. 24 Sep 2014, USD Swaps: Spreads and Butterflies Part I
  124. 15 Sep 2014, USD IR Swaps Summary Statistics
  125. 09 Sep 2014, ECB Sep 2014 Meeting: EUR IRS Markets React
  126. 02 Sep 2014, ECB September Meeting – Activity versus Price Indicators
  127. 26 Aug 2014, Super Mario’s EONIA Effect
  128. 19 Aug 2014, Hawkeye and Super Slo-Mo for USD Swaps
  129. 11 Aug 2014, Sterling Work: Looking into GBP Swaps
  130. 06 Aug 2014, The Professionals: USD Swaps on Bloomberg SEF
  131. 30 Jul 2014, SONIA’S Mansion House: OIS Swaps on the Up and Up
  132. 22 Jul 2014, Portugal – Banks quibble over Ronaldo’s haircut
  133. 16 Jul 2014, The Land of Make Believe: Euribor and Eonia
  134. 09 Jul 2014, FRA Wars, Episode IV: A New Hope
  135. 01 Jul 2014, The Principals of Swap Trading
  136. 24 Jun 2014, A Voyeur’s Delight: Bond Issuance and Swaps
  137. 18 Jun 2014, ECB June Meeting – Were EUR Swaps Traders at Lunch?