A Dummies Guide to Trading Interest Rate Swaps

This week marks the 10th Anniversary of my first ever blog. That also means it is a long time since I last traded an interest rate swap. To mark the occasion, I have documented the trading strategy that I used all those years ago. Enjoy! Three Rules This strategy follows three rules: What is Positive […]

What’s New in CCP Disclosures – 1Q24?

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Background Under the CPMI-IOSCO Public Quantitative Disclosures, CCPs publish over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing and more. CCPView has over 8 years of these quarterly disclosures for 44 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep […]

SOFR Options – How Healthy Is The Market?

With LIBOR now a distant memory, is options activity in USD rates markets back to pre-cessation levels? Let’s tour the data…. Futures – Exchange Traded Options on SOFR contracts Options on Exchange Traded Derivatives are the “standardised” version of non-linear liquidity, with standardised expiries (quarterly, monthly and even weekly for certain underlyings) and strikes in […]

JPY Swap Clearing – Why do dealers prefer JSCC?

And equally “Why do clients prefer SwapClear?” The Data It was only recently that I provided a general overview of the JPY Swaps Market in 2024. As so often happens, that blog sparked some conversations, which sparked some number crunching, leading us here. Last time, I noted that the JSCC-LCH basis had shown a significant […]

SOFR Swap SEF Volumes – May 2024

Continue reading for the charts, tables and details Background In February 2024, I published the blog 2023 SEF Volumes and Share in SOFR Swaps, which used data we collect, filter and enhance in our SDRView product. That blog looked at the type of SOFR Swaps that trade on Dealer-to-Dealer (D2D) and Dealer-to-Client (D2C) venues; namely Spreadovers, Curves […]

Swaption Volumes by Strike Q1 2024

Time to update and revisit one of our most interesting 2023 blogs – Swaptions: Swaptions showcase a different use case for SDR data, and highlight why data augmentation is necessary. Straddles Are Back! My previous look at 2023 trade counts highlighted: As soon as we noticed this, we set our sights on identifying Straddles again […]

€STR Volumes and Market Share April 2024

It feels almost disingeneous to say I “wrote” this blog – and this time I don’t even have to resort to AI co-pilots to say that! The data really writes the story itself – there is little need for accompanying commentary this week: €STR Futures Our €STR Dashboard summarises key liquidity attributes in this growing […]

Using AI for Market Abuse Surveillance

The EU Market Abuse Regulation (MAR) requires institutions to monitor transactions and develop specific algorithms to check for possible abuse covering insider dealing, market manipulation and other categories. One of the challenges is that calibrated monitoring thresholds tend to be conservative and consquently produce a high number of false positives. These must then be manually […]