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 Mar 2017, Fed Rate Hikes Are Reducing The Average Life Of USD Swaps
  2. 13 Mar 2017, SA-CCR – Explaining the Calculations
  3. 07 Mar 2017, NDF Trading After 1st March
  4. 01 Mar 2017, ISDA SIMM™ in Excel – Equity Options
  5. 22 Feb 2017, ISDA SIMM™ in Excel – Equity Derivatives
  6. 14 Feb 2017, FRTB Curvature Risk Charge
  7. 07 Feb 2017, FRTB Vega Risk Charge
  8. 31 Jan 2017, ISDA SIMM™: Concentration Thresholds
  9. 25 Jan 2017, The Average Maturity of Swaps Is Increasing
  10. 18 Jan 2017, VM Big Bang – Analysing CSA Amendments
  11. 11 Jan 2017, What percentage of D2C Swap trades are cleared?
  12. 03 Jan 2017, Spreadovers
  13. 21 Dec 2016, NDF Volumes – It’s all about Clearing
  14. 14 Dec 2016, ISDA SIMM™ – Swaptions IM in Excel
  15. 06 Dec 2016, ISDA SIMM™ IM Comparisons
  16. 29 Nov 2016, What is the size of the Uncleared IRS Market?
  17. 22 Nov 2016, FRTB – Excel Calculator for the Standardised Approach
  18. 15 Nov 2016, Understanding BIS Derivatives Statistics
  19. 09 Nov 2016, What is a 0x3s FRA?
  20. 02 Nov 2016, BRL NDF Market – 30% of Dealer to Dealer flow is now cleared
  21. 26 Oct 2016, Calculating MVA under ISDA SIMM™
  22. 18 Oct 2016, BIS 2016 FX Data – how much of the NDF market is Cleared?
  23. 11 Oct 2016, BIS 2016 Data and Clearing Mandates
  24. 04 Oct 2016, NDF Clearing – what is trading?
  25. 03 Oct 2016, ISDA SIMM マルチ・カレンシー・ポートフォリオ
  26. 26 Sep 2016, ISDA SIMMをExcelで計算する
  27. 20 Sep 2016, ISDA SIMM™: Multi Currency Portfolios
  28. 07 Sep 2016, ISDA SIMM Excel Calculator
  29. 30 Aug 2016, Cross Currency Swaps – how much margin will they need?
  30. 24 Aug 2016, How much Initial Margin will Uncleared Derivatives require in the first month of trading?
  31. 16 Aug 2016, Compression and SPS in MXN Swaps
  32. 09 Aug 2016, Spreads and Butterflies – what is trading?
  33. 02 Aug 2016, SDR Data via Microservices
  34. 25 Jul 2016, Liquidity Conditions in USD Swaps
  35. 19 Jul 2016, Mechanics and Definitions of Bond Futures
  36. 13 Jul 2016, Will the Bank of England cut rates?
  37. 06 Jul 2016, Mechanics and Definitions of Short Term Interest Rate Futures
  38. 01 Jul 2016, BREXIT – What is Trading?
  39. 29 Jun 2016, BREXIT – Day Four, What is Trading?
  40. 28 Jun 2016, BREXIT – Day Three, What is Trading?
  41. 27 Jun 2016, BREXIT – Day Two, What is Trading?
  42. 24 Jun 2016, BREXIT – What is Trading after the result? Day One
  43. 20 Jun 2016, Brexit: FX Option and FRA Analysis
  44. 14 Jun 2016, The CFTC’s New Clearing Mandate 2016
  45. 07 Jun 2016, Fed meetings and OIS Volumes
  46. 31 May 2016, Fewer customer trades & more compression. How does a trader make money in a market like this?
  47. 17 May 2016, FVA for Cleared Swaps
  48. 10 May 2016, What’s the average trade size in swap markets?
  49. 04 May 2016, What is Multilateral Netting – FX NDF Clearing
  50. 27 Apr 2016, What’s going on – FX NDF Trading 2016
  51. 20 Apr 2016, CME Invoice Spread Volumes – updated
  52. 13 Apr 2016, CME Compression and CCP Basis
  53. 05 Apr 2016, How to identify the CCP of trades from the SDR data
  54. 30 Mar 2016, Identifying CCP Basis Trades in the SDR
  55. 21 Mar 2016, Swaps Price Data – Painting the full Liquidity Picture
  56. 15 Mar 2016, Liquidity on the Bloomberg SEF
  57. 09 Mar 2016, BREXIT: What do the FX Option volumes tell us?
  58. 01 Mar 2016, Liquidity Variables in the Swaps Market
  59. 23 Feb 2016, Volatility and Trading Volumes in Swap Markets
  60. 17 Feb 2016, Invoice Spread Trading in the New CME Ultra-10 Year Treasury Futures Contract
  61. 09 Feb 2016, CDS – Record Volumes, Expiring Swaptions and Bloomberg
  62. 03 Feb 2016, SDR Prices, Python and plotly
  63. 25 Jan 2016, The Bank of England finds this interesting. So should you!
  64. 20 Jan 2016, Fed Pulse – A New OIS Index
  65. 15 Jan 2016, スワップのコンプレッション
  66. 05 Jan 2016, Fed Surprises in the USD OIS Data
  67. 21 Dec 2015, Fed Surprise Indicators
  68. 16 Dec 2015, Compression in Swaps
  69. 08 Dec 2015, Is that a fair price? Measuring Swap Execution
  70. 01 Dec 2015, SEF Trading on US Holidays
  71. 24 Nov 2015, A sideways look at Swap Spreads
  72. 17 Nov 2015, Is Balance Sheet contraction driving Swap Spreads negative?
  73. 11 Nov 2015, Negative Swap Spreads – Prices and Volume
  74. 09 Nov 2015, October 2015 Swaps Review – Wins for LCH, Trads & Tulletts
  75. 02 Nov 2015, Stop Losses Evident in CDX Price Action
  76. 26 Oct 2015, US Treasuries and Spreadovers – Market Comparisons
  77. 20 Oct 2015, Why trade level reporting is the only reporting that makes sense
  78. 12 Oct 2015, Performance of Block Trades on RFQ Platforms
  79. 07 Oct 2015, Identifying Customer Block Trades in the SDR Data
  80. 28 Sep 2015, AUD Cross Currency Swaps
  81. 23 Sep 2015, What’s the story behind Tradeweb block trading?
  82. 14 Sep 2015, AUD swap market: Concentration risks from the Clearing Mandate
  83. 08 Sep 2015, Is an All-to-All SEF Market about to arrive?
  84. 01 Sep 2015, August 2015 Review – What Summer lull?
  85. 28 Jul 2015, ECB QE and Eonia Swaps
  86. 21 Jul 2015, Is this the scariest chart in 2015 for Swap markets?
  87. 14 Jul 2015, Patterns in the Swaps data
  88. 08 Jul 2015, June 2015 Review – Clients start trading CME-LCH Basis
  89. 01 Jul 2015, CME-LCH Basis: Convexity in Eurodollar Futures
  90. 24 Jun 2015, Liquidity
  91. 17 Jun 2015, Technical Analysis in Swaps
  92. 09 Jun 2015, Volatility and Volumes in Europe
  93. 02 Jun 2015, May 2015 Review – CCP Basis and Increased Client Flows
  94. 26 May 2015, CME-LCH Basis – What does the Term Structure tell us?
  95. 18 May 2015, Mechanics of Asset Swaps and Government Bond Swap Spreads
  96. 11 May 2015, Mechanics and Definitions of Spreadovers (Swap Spreads)
  97. 05 May 2015, BIS and Clarus Data: The $200 trillion reconciliation
  98. 27 Apr 2015, Data Visualisation for Swaps – a Tufte Approach
  99. 21 Apr 2015, What percentage of the market is in the US SDR data?
  100. 15 Apr 2015, March 2015 Review – Bloomberg out in front
  101. 31 Mar 2015, The IMM Roll for Swaps – What is it and what are the volumes?
  102. 23 Mar 2015, Spreadovers: US Treasury Spreads in the Swaps Data
  103. 17 Mar 2015, Cross Currency Swaps: SEFs enjoy QE-fueled volume boost
  104. 10 Mar 2015, Come on, feel the noise!
  105. 03 Mar 2015, February 2015 Review – ICAP vs Bloomberg
  106. 23 Feb 2015, Swap Curve and Fly Trading: What goes in, must come out
  107. 16 Feb 2015, Swap Curve and Fly Trades: A quarter of all trades are not what they first seem
  108. 11 Feb 2015, ECB QE and EMIR Reporting. More transparency please!
  109. 03 Feb 2015, HFT in the Swaps market – it’s a good thing!
  110. 27 Jan 2015, Liquidity in USD Swaps
  111. 20 Jan 2015, FX Options and the Swiss National Bank
  112. 14 Jan 2015, Initial Margin and Swap Pricing
  113. 05 Jan 2015, December Volumes in Interest Rate Swaps
  114. 23 Dec 2014, Margin Games 2014
  115. 16 Dec 2014, Swaps Compression Continued
  116. 08 Dec 2014, Compression in USD Swaps
  117. 02 Dec 2014, USD Swaps Liquidity
  118. 25 Nov 2014, Cross Currency Swap Trends
  119. 18 Nov 2014, AUD Swap Market
  120. 04 Nov 2014, Butterflies and Spreads SEF Market Share
  121. 28 Oct 2014, NDFs and Clearing
  122. 22 Oct 2014, Market Share in the Swaps Market
  123. 16 Oct 2014, Swaps and the Flash Crash 15th October 2014
  124. 14 Oct 2014, Mechanics and Definitions of Spread and Butterfly Swap Packages
  125. 07 Oct 2014, USD Swaps: Spreads and Butterflies Part III
  126. 30 Sep 2014, USD Swaps: Spreads and Butterflies Part II
  127. 24 Sep 2014, USD Swaps: Spreads and Butterflies Part I
  128. 15 Sep 2014, USD IR Swaps Summary Statistics
  129. 09 Sep 2014, ECB Sep 2014 Meeting: EUR IRS Markets React
  130. 02 Sep 2014, ECB September Meeting – Activity versus Price Indicators
  131. 26 Aug 2014, Super Mario’s EONIA Effect
  132. 19 Aug 2014, Hawkeye and Super Slo-Mo for USD Swaps
  133. 11 Aug 2014, Sterling Work: Looking into GBP Swaps
  134. 06 Aug 2014, The Professionals: USD Swaps on Bloomberg SEF
  135. 30 Jul 2014, SONIA’S Mansion House: OIS Swaps on the Up and Up
  136. 22 Jul 2014, Portugal – Banks quibble over Ronaldo’s haircut
  137. 16 Jul 2014, The Land of Make Believe: Euribor and Eonia
  138. 09 Jul 2014, FRA Wars, Episode IV: A New Hope
  139. 01 Jul 2014, The Principals of Swap Trading
  140. 24 Jun 2014, A Voyeur’s Delight: Bond Issuance and Swaps
  141. 18 Jun 2014, ECB June Meeting – Were EUR Swaps Traders at Lunch?