Chris Barnes |

Chris Barnes

Chris has over 19 years experience in OTC Derivatives markets. He started out 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 also served as the 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:

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?