Chris Barnes
Posts by chris:
- 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?