Chris Barnes
Posts by chris:
- 29 Apr 2025, Recreating the RFR Adoption Indicator
- 14 Apr 2025, Swapalypse Now
- 08 Apr 2025, What You Need to Know About KRW Swaps
- 01 Apr 2025, What Would a Liberation Index Look Like?
- 26 Mar 2025, Transparency – Where do we go from here?
- 17 Mar 2025, CNY Swaps – What’s New?
- 11 Mar 2025, Swaption Volumes by Strike Q4 2024
- 04 Mar 2025, €STR Volumes and Market Share February 2025
- 25 Feb 2025, The European Active Account Requirements Revisited
- 04 Feb 2025, Mechanics and Definitions of Cross Currency Basis Futures
- 29 Jan 2025, Running the Numbers on the European Active Account Requirement
- 21 Jan 2025, USD Rates 2024 Review
- 15 Jan 2025, FX Clearing 2024 – A Break Out Year For Options
- 08 Jan 2025, Cross Currency Swaps Review 2024
- 18 Dec 2024, INR Swaps – What’s New?
- 10 Dec 2024, €STR Volumes and Market Share November 2024
- 03 Dec 2024, New: Kids on the Block (Sizes)
- 27 Nov 2024, MXN Swaps – What’s New?
- 19 Nov 2024, Swaption Volumes by Strike Q3 2024
- 13 Nov 2024, We Have New Block Sizes
- 05 Nov 2024, US Election Live – What is Trading?
- 30 Oct 2024, EUR Rates – What’s New?
- 21 Oct 2024, RFR Adoption Q3 2024
- 08 Oct 2024, Pre-Hedging in Swaps
- 01 Oct 2024, NDF Clearing – The latest updates
- 25 Sep 2024, €STR Volumes and Market Share August 2024
- 04 Sep 2024, USD Rates – What’s New?
- 27 Aug 2024, Volumes in EUR Swaptions
- 07 Aug 2024, Just how bad are trading conditions right now?
- 31 Jul 2024, GBP Swaps – What’s New?
- 17 Jul 2024, €STR Volumes and Market Share June 2024
- 10 Jul 2024, RFR Adoption Q2 2024
- 03 Jul 2024, Swaption Volumes by Strike Q2 2024
- 25 Jun 2024, CAD Swaps – What’s New?
- 19 Jun 2024, A Dummies Guide to Trading Interest Rate Swaps
- 12 Jun 2024, SOFR Options – How Healthy Is The Market?
- 05 Jun 2024, JPY Swap Clearing – Why do dealers prefer JSCC?
- 28 May 2024, Swaption Volumes by Strike Q1 2024
- 22 May 2024, FX Clearing – What Happens in March stays in March?!
- 15 May 2024, €STR Volumes and Market Share April 2024
- 07 May 2024, What’s New in AUD Swaps in 2024?
- 29 Apr 2024, 10 CCP Policy Proposals to make markets better
- 24 Apr 2024, How Much Margin? The 2023 Edition
- 16 Apr 2024, All You Need To Know To Avoid The Trade Execution Requirement?
- 10 Apr 2024, What’s New in JPY Swaps in 2024?
- 27 Mar 2024, RFR Adoption Update
- 20 Mar 2024, €STR Volumes and Market Share
- 13 Mar 2024, Mechanics and Definitions of the ISDA Credit Support Annex (CSA)
- 05 Mar 2024, Cable Cross Currency Swaps 2024
- 27 Feb 2024, Did we learn anything from the latest European announcements on clearing?
- 21 Feb 2024, Best Practices for Variation Margin
- 14 Feb 2024, Could “enshittification” happen in derivatives markets?
- 06 Feb 2024, EUR Futures Latest – Still a 3 Way Battle
- 31 Jan 2024, USD Rates Overview in 2024
- 24 Jan 2024, RFR Adoption Review 2023
- 17 Jan 2024, Cross Currency Swaps Review 2023
- 10 Jan 2024, Can the UK get transparency right?
- 20 Dec 2023, A Final Check-In On RFRs For The Year
- 13 Dec 2023, What is the latest European plan to onshore rates trading?
- 06 Dec 2023, Dec 4th has been and gone. Where are our new block sizes please?
- 30 Nov 2023, What You Need to Know About INR Swaps
- 22 Nov 2023, Swaption Volumes by Strike Q3 2023
- 15 Nov 2023, New Musings on RFRs
- 08 Nov 2023, A new look at €STR Futures
- 01 Nov 2023, Is Chris Barnes actually a robot?
- 17 Oct 2023, Is volatility in RFR Adoption here to stay?
- 11 Oct 2023, Using SACCR to monitor Counterparty Credit Risk
- 04 Oct 2023, Clarus data reveals the truth about SONIA derivatives liquidity
- 27 Sep 2023, Clarus Goes Podcasting – What Do You Think?
- 19 Sep 2023, RFR Trading Is Now Back on Track – August 2023
- 13 Sep 2023, Brexit continues to impact EUR Swaps market share for CCPs and SEFs
- 05 Sep 2023, JPY TONA Futures: A Rising Star in the RFR Market
- 30 Aug 2023, What You Need to Know about BRL Swaps
- 23 Aug 2023, Clearing of US Treasuries – What Are People Saying?
- 16 Aug 2023, RFR Adoption July 2023
- 25 Jul 2023, Even More on Blocks and new rules for FX
- 19 Jul 2023, New Block Trading Rules Will Now Start in December 2023
- 12 Jul 2023, We Need to Talk About the Clarus API
- 04 Jul 2023, Bollinger, Greenspan and The Millennium Bug: LIBOR Is Now Dead
- 27 Jun 2023, The Latest on Canada and the Transition from CDOR to CORRA
- 20 Jun 2023, Gilty Secrets Of GBP Swaps
- 13 Jun 2023, Find Out What Was Weird About RFR Trading In May
- 06 Jun 2023, We Need to Talk About €STR Futures
- 31 May 2023, Now LCH Have Converted Your USD Swaps too!
- 17 May 2023, Do you know how much now trades in RFRs after the CME conversion exercises?
- 10 May 2023, Is Now The Time to Optimise Your Initial Margin?
- 03 May 2023, CME converted your Eurodollars. This is what happened next.
- 24 Apr 2023, There is a new MAT Filing!
- 18 Apr 2023, The Eurodollar is no more…
- 03 Apr 2023, I asked ChatGPT to write a Clarus blog. Here is what happened….
- 27 Mar 2023, Tracking CAD and SGD RFRs
- 20 Mar 2023, Credit Suisse & UBS LIVE Blog
- 14 Mar 2023, How to Trade A Bank Run
- 08 Mar 2023, Clearing Houses are about to convert your USD LIBOR swaps. What do you need to know?
- 01 Mar 2023, The Most Popular SOFR Trades
- 22 Feb 2023, Now everyone can understand bank capital requirements
- 13 Feb 2023, Why Did SOFR Trading Decrease in January?
- 01 Feb 2023, CORRA First – Clients don’t get it
- 25 Jan 2023, Are Fed Funds the latest winner from benchmark reform?
- 18 Jan 2023, Cross Currency Swap Review 2022
- 11 Jan 2023, Can $62Trn really be about to simply disappear?
- 20 Dec 2022, CORRA First in CAD Markets
- 13 Dec 2022, RFR Adoption – Is This Groundhog Day?
- 07 Dec 2022, The Latest in Aussie and Kiwi Swap Markets
- 25 Nov 2022, NDF Clearing – What’s New in 2022?
- 22 Nov 2022, What’s New in Term SOFR?
- 15 Nov 2022, A New Plateau in RFR Adoption?
- 09 Nov 2022, Have you seen the BIS Triennial Survey 2022?
- 02 Nov 2022, Have You Listened to our new Podcast yet?
- 12 Oct 2022, New RFR Trading Records Everywhere we Look
- 05 Oct 2022, How Kwasi Kwarteng Has Increased Your Initial Margin
- 27 Sep 2022, The GBP Financial Meltdown – what is still trading?
- 20 Sep 2022, RFRs are now half of the market
- 14 Sep 2022, Here Are 6 Things I learnt after writing 400 blogs
- 07 Sep 2022, What is new in GBP Swap Markets?
- 30 Aug 2022, Microservices to monitor new Inflation data
- 24 Aug 2022, CDS Volumes now $6.6Trn higher than last year
- 16 Aug 2022, Do you know what LIBOR cessation has done to volumes?
- 10 Aug 2022, SOFR Futures are now bigger than Eurodollars
- 03 Aug 2022, Are We In A Summer Lull?
- 27 Jul 2022, Cross Currency Volumes head to the moon!
- 19 Jul 2022, The latest on RFR Adoption
- 28 Jun 2022, Are Inflation Expectations Becoming Entrenched? The Data.
- 22 Jun 2022, Did You Know That SACCR Now Makes FX Trading More Expensive?
- 15 Jun 2022, SOFR is now over half the market
- 14 Jun 2022, Mechanics and Definitions of SA-CCR (Part 3)
- 08 Jun 2022, FX Clearing 2022
- 30 May 2022, CDS Data Made Simple
- 25 May 2022, For the first time, we see over $1Trn in Initial Margin
- 10 May 2022, RFR Adoption increases again but markets see lower volumes
- 04 May 2022, Most Actives in CDS Trading
- 27 Apr 2022, A First Look at Total Return Swaps
- 19 Apr 2022, Have You Seen This 60% Decrease In RUB Derivatives?
- 13 Apr 2022, Latest Data Shows SOFR Trading Soaring
- 05 Apr 2022, Swaption Volumes by Strike Q1 2022
- 30 Mar 2022, The First Cross Cryptocurrency Swap?
- 23 Mar 2022, STIR Trading Volumes – Will They Recover?
- 15 Mar 2022, SOFR Adoption Hits New Highs
- 09 Mar 2022, Russia CDS Trades are now showing in SBSDR Data
- 02 Mar 2022, RUB Derivatives Are Still Trading
- 22 Feb 2022, Mechanics and Definitions of SA-CCR (Part 2)
- 15 Feb 2022, What did January teach us about RFR trading?
- 09 Feb 2022, Big Volumes In Credit And Inflation Plus European Equivalence
- 02 Feb 2022, What is now Trading in RFR Cross Currency Swaps?
- 26 Jan 2022, Mechanics and Definitions of SA-CCR (Part 1)
- 19 Jan 2022, What Now for SOFR?
- 12 Jan 2022, Deciphering the end of LIBOR in the data
- 21 Dec 2021, The Latest RFR First Initiative in Cross Currency Swaps
- 15 Dec 2021, The $7 Trillion Increase in New RFR Positions
- 08 Dec 2021, How Much of the Derivatives Market is Now Cleared? (2021 Edition)
- 30 Nov 2021, What is a Consolidated Tape?
- 24 Nov 2021, Consolidated Tape: Don’t let perfection be the enemy of good for derivatives
- 10 Nov 2021, SOFR First in Swaptions
- 03 Nov 2021, Did The Latest USD Move Really Result In Blood On The Street?
- 19 Oct 2021, SOFR Now 78% of Interdealer Market
- 12 Oct 2021, There Are Now Over 1,000 Clarus Blog Posts!
- 06 Oct 2021, Mechanics and Definitions of RFR Cross Currency Swaps
- 29 Sep 2021, SACCR Multipliers, Initial Margin and KCCP
- 21 Sep 2021, LIVE BLOG: RFR First in Cross Currency Swaps
- 15 Sep 2021, RFR trading is now at 50% in CHF and JPY!
- 08 Sep 2021, Latest EUR Swaps market share for CCPs and SEFs
- 01 Sep 2021, August 2021 – What Happened?
- 26 Jul 2021, SOFR First – LIVE Blog
- 21 Jul 2021, Clearing Mandates and new Trading Obligations – regulatory change is happening.
- 14 Jul 2021, Is RFR Trading Now Ready for Lift-Off?
- 07 Jul 2021, What Is The Outlook for Trading Volumes From Here?
- 29 Jun 2021, Using the Clarus API to monitor the latest Brexit impacts
- 23 Jun 2021, G3 Inflation Swap Volumes are on the up
- 14 Jun 2021, 10.7% of New Risk Traded versus an RFR
- 07 Jun 2021, JPY TIBOR And RFRs: Is There A New Path?
- 01 Jun 2021, CE3 Currencies and Derivatives Clearing
- 19 May 2021, New: What caused volumes to decrease in April?
- 11 May 2021, JSCC and CME RFR Adoption Indicators
- 05 May 2021, Swaption Volumes by Strike Q1 2021
- 27 Apr 2021, You Need To See This SEF Liquidity In RFRs Now
- 21 Apr 2021, Latest: More EUR Are Trading on-SEF than ever before
- 14 Apr 2021, What happened to reduce RFR trading?
- 06 Apr 2021, LIBOR LIVE – Is GBP LIBOR now dead in derivatives?
- 31 Mar 2021, ESG Basics and Fundamentals in Fixed Income
- 24 Mar 2021, The New Status Quo For Derivatives Markets After Brexit
- 17 Mar 2021, What’s New in USD Rates?
- 10 Mar 2021, SONIA is now the Benchmark Rate in GBP Markets
- 03 Mar 2021, Here is what is happening to derivatives market liquidity right now
- 24 Feb 2021, What is happening now with negative rates in the UK?
- 15 Feb 2021, Did You Know That The New Amount of SOFR Risk Hasn’t Changed for 3 Months?
- 09 Feb 2021, US SEFs now have 20-40% of European Derivatives
- 03 Feb 2021, Have You Seen This New Idea for Execution Analysis?
- 26 Jan 2021, New Brexit Rules Move $4Trn Of Derivatives To The US
- 20 Jan 2021, 3 New Fed Fund Charts You Need to See
- 12 Jan 2021, Cessation of LIBOR: Why is so much new risk still being transacted?
- 06 Jan 2021, Cross Currency Swap Review 2020
- 21 Dec 2020, Toxic FRAs, Fallbacks and Single Period Swaps
- 14 Dec 2020, RFR Trading November 2020
- 09 Dec 2020, GSIBs in 2020
- 02 Dec 2020, Will anyone trade LIBOR after 2021?
- 01 Dec 2020, Margin Calls Q2 2020
- 24 Nov 2020, Anonymous Trading on SEFs
- 11 Nov 2020, ISDA-Clarus RFR Indicator: SOFR, So Good
- 26 Oct 2020, SONIA Day 2 – LIVE Blog
- 16 Oct 2020, SOFR Live Blog
- 14 Oct 2020, LCH SOFR Auction Versus The Market
- 06 Oct 2020, CME Volumes
- 30 Sep 2020, New Block Trading Rules for Derivatives
- 23 Sep 2020, Spreadovers vs SOFR
- 16 Sep 2020, SOFR Swap Nuances
- 10 Sep 2020, RFR Data: Where is the €STR risk?
- 07 Sep 2020, SGD Rates: SORA and the Fallback Rate (SOR)
- 01 Sep 2020, 40% of the GBP Market Trades Versus SONIA
- 26 Aug 2020, US Treasury Quarterly Refunding: Traded Volume Data
- 18 Aug 2020, YouTube: Markets and COVID-19
- 11 Aug 2020, RFR Data: SOFR Sees Record Risk Traded
- 04 Aug 2020, ISDA-Clarus RFR Adoption Indicator Analysis – June 2020
- 29 Jul 2020, ISDA-Clarus RFR Adoption Indicator
- 27 Jul 2020, €STR Discounting Switch
- 22 Jul 2020, Clarus at the CFTC
- 15 Jul 2020, Margin Calls During COVID-19
- 07 Jul 2020, SONIA Q2 2020 Update
- 01 Jul 2020, LIBOR Discontinuation has been Preannounced
- 24 Jun 2020, What Is the Total Size of Rates Markets?
- 17 Jun 2020, US Treasury Market Volumes During COVID
- 10 Jun 2020, What You Need to Know About CNY Swaps
- 02 Jun 2020, $300bn FX Swap Rollover
- 27 May 2020, Will GBP Interest Rates go negative in the UK?
- 19 May 2020, Are USD Rates About to Go Negative?
- 12 May 2020, CFTC Block Trading Consultation May 2020
- 06 May 2020, How Much Margin? 2019 Edition
- 28 Apr 2020, US Treasury Volumes and Market Size
- 21 Apr 2020, The GSIB Framework and Window Dressing
- 14 Apr 2020, Central Bank Responses to COVID-19: FX Swap Arrangements
- 07 Apr 2020, Swap Markets see Record Trading Volumes in response to COVID-19 Market Turmoil
- 01 Apr 2020, MIFID II Transparency – Can we get it right this time?
- 25 Mar 2020, USD Swap Markets during COVID-19 Pandemic
- 20 Mar 2020, Mechanics of Central Bank FX Swap Lines
- 18 Mar 2020, Cross Currency Swaps Trading During a Crisis
- 17 Mar 2020, Want to know all about Global Systemic Banks? Introducing GSIBView
- 11 Mar 2020, Is Transparency Helping Markets Function?
- 11 Mar 2020, SONIA Update
- 02 Mar 2020, SONIA Day – LIVE Blog
- 25 Feb 2020, Block Trades in HKD Derivative Markets
- 19 Feb 2020, Trading RFRs
- 10 Feb 2020, Block Trading
- 04 Feb 2020, Risk Free Rates Trading January 2020
- 28 Jan 2020, Will GBP LIBOR stop trading on 2nd March 2020?
- 21 Jan 2020, £700bn SONIA Traded on a Single Day
- 14 Jan 2020, NOK Rates: What You Need to NOWA
- 08 Jan 2020, What You Need to Know about MXN Swaps
- 18 Dec 2019, MIFID II Data for Bonds
- 11 Dec 2019, Four Trends in Swaps Data 2019
- 04 Dec 2019, G-SIB Scores for US Banks
- 26 Nov 2019, G-SIB Mechanics and Definitions
- 19 Nov 2019, Mechanics and Definitions of ISDA IBOR fallbacks
- 12 Nov 2019, SONIA Term Rates – which is best?
- 06 Nov 2019, What we need to do to fix MIFID II Data
- 22 Oct 2019, What does SOFR volatility mean for LIBOR Fallbacks?
- 15 Oct 2019, CAD Rates Markets and CORRA Reform
- 09 Oct 2019, NDF Clearing September 2019
- 02 Oct 2019, ISDA September 2019 Consultation on Final Parameters
- 25 Sep 2019, BIS Triennial Survey 2019
- 19 Sep 2019, SOFR Fixed at 5.25%. What happened to the volumes?
- 18 Sep 2019, SACCR vs CEM for FX Products
- 11 Sep 2019, Four Things to Understand about USD SOFR
- 04 Sep 2019, 5 Things That Are Making MIFID II Data Useless
- 04 Sep 2019, ESMA: Let’s Get Transparency Right
- 28 Aug 2019, SACCR vs CEM Comparisons
- 21 Aug 2019, USD Fed Funds and the FHLBs
- 30 Jul 2019, CCP Basis – The Cost of Clearing Fragmentation
- 09 Jul 2019, USD SOFR Volumes June 2019
- 02 Jul 2019, SEK STIBOR Reform
- 17 Jun 2019, Mechanics and Definitions of Singapore Benchmark Rates (SGD SOR and SGD SIBOR)
- 12 Jun 2019, LIBOR Fallbacks and Uncleared Margin Rules
- 04 Jun 2019, LIBOR Fallbacks Again
- 28 May 2019, NDF Clearing 2019
- 22 May 2019, Current Clearing Rates
- 07 May 2019, USD SOFR Volumes April 2019
- 30 Apr 2019, Indices are the best way to calculate compound interest
- 24 Apr 2019, Ameribor: The $1.5bn Index That You Need to Know About
- 17 Apr 2019, MIFID II Transparency Update
- 10 Apr 2019, NOK Rates – NIBOR and NOWA
- 02 Apr 2019, USD Swap Spreads Review Q1 2019
- 26 Mar 2019, €STR – What You Need to Know
- 20 Mar 2019, LIBOR Fallbacks – What will the GBP spread be?
- 13 Mar 2019, KCCP – Clearing is Getting Cheaper
- 04 Mar 2019, Is the Leverage Ratio impacting Swaps Trading?
- 27 Feb 2019, Compression Auctions for RFRs
- 20 Feb 2019, USD Swaps Market vs Futures Market Size
- 12 Feb 2019, What Traded On-SEF in 2018?
- 06 Feb 2019, What Traded Off-SEF in 2018?
- 24 Jan 2019, JPY Swaps – A Market Overview
- 16 Jan 2019, Mechanics and Definitions of Carry in Swap Markets
- 09 Jan 2019, ESTER Term Rates
- 19 Dec 2018, RFRs – CHF SARON Activity
- 12 Dec 2018, What is Left Uncleared in 2018?
- 04 Dec 2018, LIBOR Basis Swaps
- 27 Nov 2018, RFRs – ISDA announce LIBOR fallback methodology
- 20 Nov 2018, RFRs – OIS trades are getting longer!
- 07 Nov 2018, SA-CCR for US Banks
- 31 Oct 2018, SOFR Swaps – Block Trades and Fannie Mae Issuance
- 23 Oct 2018, CLARUS01 Risk Free Rates
- 17 Oct 2018, Scandie Swaps
- 02 Oct 2018, Cross Currency Basis and Turn of the Year
- 18 Sep 2018, ESTER – What You Need To Know
- 04 Sep 2018, Mechanics of FRA Risks
- 29 Aug 2018, SONIA Term Rates
- 22 Aug 2018, LIBOR OIS August 2018 Update
- 14 Aug 2018, USD Spreadovers and SEF Market Share
- 01 Aug 2018, How much of the swaps market is traded as an OIS?
- 25 Jul 2018, LIBOR Fallbacks
- 17 Jul 2018, SOFR Swaps Are Trading!
- 09 Jul 2018, How Much Data Do We Have?
- 05 Jul 2018, FRTB – Basic Approach for CVA
- 26 Jun 2018, Benchmark Reform – An EONIA replacement is coming very soon!
- 19 Jun 2018, FRTB in Excel
- 13 Jun 2018, Settle To Market – What You Need To Know about STM
- 05 Jun 2018, FICC Markets Standards
- 29 May 2018, MIFID II Data – It’s Finally Good News!
- 29 May 2018, Current Exposure Methodology – What You Need To Know
- 22 May 2018, NDF Volume Data
- 16 May 2018, SOFR – What you need to know
- 09 May 2018, Swaps Regulations Are Changing – Part Two, Capital and CCPs
- 02 May 2018, Swaps Regulations Are Changing – Part One, SEFs
- 25 Apr 2018, OIS Volumes – What is the Trend?
- 18 Apr 2018, USD Libor is changing!
- 09 Apr 2018, Cross Currency Swaps and Libor-OIS
- 04 Apr 2018, LIBOR OIS – March 2018 Update
- 27 Mar 2018, MIFID II Data – APA Market Share
- 21 Mar 2018, SONIA Market March 2018
- 20 Mar 2018, Libor OIS – What is Going On?
- 14 Mar 2018, NDF Clearing February 2018
- 06 Mar 2018, MIFID II Data – Bond Trading
- 27 Feb 2018, All time record volumes in Cross Currency Swaps
- 14 Feb 2018, Clarus Daily Briefing
- 06 Feb 2018, Tradeweb and Bloomberg MTF Market Share
- 31 Jan 2018, Tradeweb APA Data and the Trading Obligation
- 24 Jan 2018, Tradeweb MIFID Data – Interest Rate Swaps
- 17 Jan 2018, MIFID II Data – Bonds on Bloomberg
- 15 Jan 2018, MIFID II Data – $4trn in Compression
- 10 Jan 2018, Bloomberg MTF Data – Week One
- 04 Jan 2018, MIFID II Data Day Two
- 03 Jan 2018, MIFID II Live Blog – The Data
- 19 Dec 2017, FSB Survey on Derivatives
- 12 Dec 2017, G10 FX NDF Clearing
- 05 Dec 2017, LIBOR Reform – Latest Developments
- 28 Nov 2017, What is going on in Uncleared Derivative Markets?
- 21 Nov 2017, We found the CHF SARON Swaps!
- 15 Nov 2017, FX Clearing – the $750bn market that keeps growing
- 08 Nov 2017, CHF SARON – What is Going On?
- 08 Nov 2017, Bank Ring Fencing – What You Need to Know
- 31 Oct 2017, Initial Margin, Compression Volumes and why the time to Optimise is now
- 30 Oct 2017, Cross Currency Swap Volumes
- 10 Oct 2017, MIFID II – ESMA Finalises the Trading Obligation
- 03 Oct 2017, AUD Swap Markets in August 2017
- 26 Sep 2017, Libor Reform – What You Need to Know
- 20 Sep 2017, Introducing Our Daily Briefing, Direct to your inbox
- 12 Sep 2017, ISDA SIMM 2.0 – What You Need to Know
- 05 Sep 2017, VM Big Bang – Impact on FX Markets
- 30 Aug 2017, MIFID II Transparency will leave us in the dark
- 22 Aug 2017, Curve Trading in USD Swaps
- 16 Aug 2017, MAC Swap Trading
- 16 Aug 2017, Our Response to the ESMA Trading Obligation Consultation
- 09 Aug 2017, Array Formulas in Excel
- 01 Aug 2017, CCP Disclosures: How much does it cost to run a trading business?
- 25 Jul 2017, MIFID II: What Should Transparency Look Like?
- 18 Jul 2017, ISDA SIMM For Excel
- 12 Jul 2017, MIFID II Transitional Transparency
- 05 Jul 2017, GBP Swaps for Dummies
- 28 Jun 2017, MIFID II: ESMA Trading Obligation
- 20 Jun 2017, NDF Clearing Update
- 07 Jun 2017, Clearing Mandates 2017
- 31 May 2017, BREXIT: Moving Euro clearing conflicts with G20 Market Reforms
- 24 May 2017, CAD Swaps – What Does the Data Show?
- 16 May 2017, SONIA Reform – What is Going On?
- 09 May 2017, Euribor Reform – What Is Going On?
- 03 May 2017, How Big Is The Asset Swap Market?
- 18 Apr 2017, Mechanics of Cross Currency Swaps
- 05 Apr 2017, ISDA SIMM™ in Excel – Cross Currency Swaps
- 29 Mar 2017, The Unintended Consequences of Uncleared Margin Rules
- 22 Mar 2017, Fed Rate Hikes Are Reducing The Average Life Of USD Swaps
- 13 Mar 2017, SA-CCR – Explaining the Calculations
- 07 Mar 2017, NDF Trading After 1st March
- 01 Mar 2017, ISDA SIMM™ in Excel – Equity Options
- 22 Feb 2017, ISDA SIMM™ in Excel – Equity Derivatives
- 14 Feb 2017, FRTB Curvature Risk Charge
- 07 Feb 2017, FRTB Vega Risk Charge
- 31 Jan 2017, ISDA SIMM™: Concentration Thresholds
- 25 Jan 2017, The Average Maturity of Swaps Is Increasing
- 18 Jan 2017, VM Big Bang – Analysing CSA Amendments
- 11 Jan 2017, What percentage of client trades are cleared?
- 03 Jan 2017, Spreadovers
- 21 Dec 2016, NDF Volumes – It’s all about Clearing
- 14 Dec 2016, ISDA SIMM™ – Swaptions IM in Excel
- 06 Dec 2016, ISDA SIMM™ IM Comparisons
- 29 Nov 2016, What is the size of the Uncleared IRS Market?
- 22 Nov 2016, FRTB – Excel Calculator for the Standardised Approach
- 15 Nov 2016, Understanding BIS Derivatives Statistics
- 09 Nov 2016, What is a 0x3s FRA?
- 02 Nov 2016, BRL NDF Market – 30% of Dealer to Dealer flow is now cleared
- 26 Oct 2016, Calculating MVA under ISDA SIMM™
- 18 Oct 2016, BIS 2016 FX Data – how much of the NDF market is Cleared?
- 11 Oct 2016, BIS 2016 Data and Clearing Mandates
- 04 Oct 2016, NDF Clearing – what is trading?
- 03 Oct 2016, ISDA SIMM マルチ・カレンシー・ポートフォリオ
- 26 Sep 2016, ISDA SIMMをExcelで計算する
- 20 Sep 2016, ISDA SIMM™: Multi Currency Portfolios
- 07 Sep 2016, ISDA SIMM Excel Calculator
- 30 Aug 2016, Cross Currency Swaps – how much margin will they need?
- 24 Aug 2016, How much Initial Margin will Uncleared Derivatives require in the first month of trading?
- 16 Aug 2016, Compression and SPS in MXN Swaps
- 09 Aug 2016, Spreads and Butterflies – what is trading?
- 02 Aug 2016, SDR Data via Microservices
- 25 Jul 2016, Liquidity Conditions in USD Swaps
- 19 Jul 2016, Mechanics and Definitions of Bond Futures
- 13 Jul 2016, Will the Bank of England cut rates?
- 06 Jul 2016, Mechanics and Definitions of Short Term Interest Rate Futures
- 01 Jul 2016, BREXIT – What is Trading?
- 20 Jun 2016, Brexit: FX Option and FRA Analysis
- 14 Jun 2016, The CFTC’s New Clearing Mandate 2016
- 07 Jun 2016, Fed meetings and OIS Volumes
- 31 May 2016, Fewer customer trades & more compression. How does a trader make money in a market like this?
- 17 May 2016, FVA for Cleared Swaps
- 10 May 2016, What’s the average trade size in swap markets?
- 04 May 2016, What is Multilateral Netting – FX NDF Clearing
- 27 Apr 2016, What’s going on – FX NDF Trading 2016
- 20 Apr 2016, CME Invoice Spread Volumes – updated
- 13 Apr 2016, CME Compression and CCP Basis
- 05 Apr 2016, How to identify the CCP of trades from the SDR data
- 30 Mar 2016, Identifying CCP Basis Trades in the SDR
- 21 Mar 2016, Swaps Price Data – Painting the full Liquidity Picture
- 15 Mar 2016, Liquidity on the Bloomberg SEF
- 09 Mar 2016, BREXIT: What do the FX Option volumes tell us?
- 01 Mar 2016, Liquidity Variables in the Swaps Market
- 23 Feb 2016, Volatility and Trading Volumes in Swap Markets
- 17 Feb 2016, Invoice Spread Trading in the New CME Ultra-10 Year Treasury Futures Contract
- 09 Feb 2016, CDS – Record Volumes, Expiring Swaptions and Bloomberg
- 03 Feb 2016, SDR Prices, Python and plotly
- 25 Jan 2016, The Bank of England finds this interesting. So should you!
- 20 Jan 2016, Fed Pulse – A New OIS Index
- 15 Jan 2016, スワップのコンプレッション
- 05 Jan 2016, Fed Surprises in the USD OIS Data
- 21 Dec 2015, Fed Surprise Indicators
- 16 Dec 2015, Compression in Swaps
- 08 Dec 2015, Is that a fair price? Measuring Swap Execution
- 01 Dec 2015, SEF Trading on US Holidays
- 24 Nov 2015, A sideways look at Swap Spreads
- 17 Nov 2015, Is Balance Sheet contraction driving Swap Spreads negative?
- 11 Nov 2015, Negative Swap Spreads – Prices and Volume
- 09 Nov 2015, October 2015 Swaps Review – Wins for LCH, Trads & Tulletts
- 02 Nov 2015, Stop Losses Evident in CDX Price Action
- 26 Oct 2015, US Treasuries and Spreadovers – Market Comparisons
- 20 Oct 2015, Why trade level reporting is the only reporting that makes sense
- 12 Oct 2015, Performance of Block Trades on RFQ Platforms
- 07 Oct 2015, Identifying Customer Block Trades in the SDR Data
- 28 Sep 2015, AUD Cross Currency Swaps
- 23 Sep 2015, What’s the story behind Tradeweb block trading?
- 14 Sep 2015, AUD swap market: Concentration risks from the Clearing Mandate
- 08 Sep 2015, Is an All-to-All SEF Market about to arrive?
- 01 Sep 2015, August 2015 Review – What Summer lull?
- 28 Jul 2015, ECB QE and Eonia Swaps
- 21 Jul 2015, Is this the scariest chart in 2015 for Swap markets?
- 14 Jul 2015, Patterns in the Swaps data
- 08 Jul 2015, June 2015 Review – Clients start trading CME-LCH Basis
- 01 Jul 2015, CME-LCH Basis: Convexity in Eurodollar Futures
- 24 Jun 2015, Liquidity
- 17 Jun 2015, Technical Analysis in Swaps
- 09 Jun 2015, Volatility and Volumes in Europe
- 02 Jun 2015, May 2015 Review – CCP Basis and Increased Client Flows
- 26 May 2015, CME-LCH Basis – What does the Term Structure tell us?
- 18 May 2015, Mechanics of Asset Swaps and Government Bond Swap Spreads
- 11 May 2015, Mechanics and Definitions of Spreadovers (Swap Spreads)
- 05 May 2015, BIS and Clarus Data: The $200 trillion reconciliation
- 27 Apr 2015, Data Visualisation for Swaps – a Tufte Approach
- 21 Apr 2015, What percentage of the market is in the US SDR data?
- 15 Apr 2015, March 2015 Review – Bloomberg out in front
- 31 Mar 2015, The IMM Roll for Swaps – What is it and what are the volumes?
- 23 Mar 2015, Spreadovers: US Treasury Spreads in the Swaps Data
- 17 Mar 2015, Cross Currency Swaps: SEFs enjoy QE-fueled volume boost
- 10 Mar 2015, Come on, feel the noise!
- 03 Mar 2015, February 2015 Review – ICAP vs Bloomberg
- 23 Feb 2015, Swap Curve and Fly Trading: What goes in, must come out
- 16 Feb 2015, Swap Curve and Fly Trades: A quarter of all trades are not what they first seem
- 11 Feb 2015, ECB QE and EMIR Reporting. More transparency please!
- 03 Feb 2015, HFT in the Swaps market – it’s a good thing!
- 27 Jan 2015, Liquidity in USD Swaps
- 20 Jan 2015, FX Options and the Swiss National Bank
- 14 Jan 2015, Initial Margin and Swap Pricing
- 05 Jan 2015, December Volumes in Interest Rate Swaps
- 23 Dec 2014, Margin Games 2014
- 16 Dec 2014, Swaps Compression Continued
- 08 Dec 2014, Compression in USD Swaps
- 02 Dec 2014, USD Swaps Liquidity
- 25 Nov 2014, Cross Currency Swap Trends
- 18 Nov 2014, AUD Swap Market
- 04 Nov 2014, Butterflies and Spreads SEF Market Share
- 28 Oct 2014, NDFs and Clearing
- 22 Oct 2014, Market Share in the Swaps Market
- 16 Oct 2014, Swaps and the Flash Crash 15th October 2014
- 14 Oct 2014, Mechanics and Definitions of Spread and Butterfly Swap Packages
- 07 Oct 2014, USD Swaps: Spreads and Butterflies Part III
- 30 Sep 2014, USD Swaps: Spreads and Butterflies Part II
- 24 Sep 2014, USD Swaps: Spreads and Butterflies Part I
- 15 Sep 2014, USD IR Swaps Summary Statistics
- 09 Sep 2014, ECB Sep 2014 Meeting: EUR IRS Markets React
- 02 Sep 2014, ECB September Meeting – Activity versus Price Indicators
- 26 Aug 2014, Super Mario’s EONIA Effect
- 19 Aug 2014, Hawkeye and Super Slo-Mo for USD Swaps
- 11 Aug 2014, Sterling Work: Looking into GBP Swaps
- 06 Aug 2014, The Professionals: USD Swaps on Bloomberg SEF
- 30 Jul 2014, SONIA’S Mansion House: OIS Swaps on the Up and Up
- 22 Jul 2014, Portugal – Banks quibble over Ronaldo’s haircut
- 16 Jul 2014, The Land of Make Believe: Euribor and Eonia
- 09 Jul 2014, FRA Wars, Episode IV: A New Hope
- 01 Jul 2014, The Principals of Swap Trading
- 24 Jun 2014, A Voyeur’s Delight: Bond Issuance and Swaps
- 18 Jun 2014, ECB June Meeting – Were EUR Swaps Traders at Lunch?