Libor OIS – What is Going On?

Libor OIS spreads have been widening. Trading volumes across these products have also shown a spike in activity. We look at price-volume charts and DV01 figures for OIS swaps. We also update our CHF SARON OIS volumes, where a total of CHF37.5bn has now traded versus this new index. Libor OIS Spreads Last week, it […]

NDF Clearing February 2018

We update our NDF Clearing Analysis. A minimum of 17% of the market is now cleared. Clearing volume can account for up to 30% of volumes in some currency pairs. Uncleared Margin Rules continue to motivate clearing. All Time Record Volumes Cleared NDF volumes continue to grow at an impressive rate. Since we last looked […]

Overview of the Hong Kong Trade Repository

Hong Kong started interim trade reporting in August 2013, with Legislative vetted rules implemented on 10 July 2015. Unlike other jurisdictions in Asia, HKMA built the trade reporting solution themselves. The Hong Kong Trade Repository (HKTR) was built by their subsidiary Hong Kong Interbank Clearing Limited (HKICL). HKICL also built/manages Hong Kong’s payment infrastructure on […]

MIFID II Data – Bond Trading

We analyse sovereign bond trading volumes from Bloomberg and Tradeweb APAs and MTFs. Tradeweb APA sees the largest volume of trades. MTF market shares are roughly 50/50 between these two D2C platforms. 67% of German Bund volumes were executed on-venue. Only 18% of French OAT volumes were executed on-venue. Bond Trading by Venue Armed with […]

Final 2017 FCM Rankings & Concentration

The latest batch of FCM data has been assembled.  Lets dig in. We start with the number of FCMs that are registered, by various metrics: Showing us: The number of FCMs registered dropped by 1 firm, from 64 to 63, with the removal of ETRADE Securities (leaving just ETRADE Futures) The number of FCM’s with […]

MAS plays catch up with proposed trading obligation mandate

MAS is playing catch up and proposing to mandate trading of USD, GBP and EUR fixed float swap trades in organised markets, aligning themselves with the EU and US regulators. The proposed tenors covered are the most liquid (under 10Ys) on the respective currencies curve. However no JPY, AUD or SGD trading mandate yet. Proposed […]

MiFID II – NEX APA Public Trade Data

NEX Regulatory Reporting operates a MiFID II APA and it is great that their public website now supports a Market Identifier Code (MIC) level search for post-trade data, which is then easily exportable into a csv file. Brilliant. Lets take a look at the data available. NEX APA The public website is here and selecting Trades shows […]

Swaps Data: the monopoly effect in clearing

My Monthly Swaps Data Review for Risk Magazine was published this week. This looks at 2017 CCP Volumes for: Interest Rate Swaps, in major and minor currencies Credit Derivatives, index and single-name Non-Deliverable Forwards It shows the dominance of one global CCP in each asset class and significant share by other CCPs in a specific […]