AUD Swap Markets in August 2017

Time to re-acquaint ourselves with the world’s 4th/5th largest cleared swap market – the mighty Aussie dollar. August is traditionally a quiet month, so does quality come to the fore when execution is more difficult in thin markets? About 30% of new risk is transacted on a SEF. We take a look at the volumes. […]

APRA – Margining for non-centrally cleared derivatives

It is almost two years since I wrote about the Final US Rules on Margin for Non-Cleared Swaps. How time flies and since then we have seen implementation of this rule in the US and equivalent rules and regulations in many other jurisdictions. Today I will look at the Australian regulation recently made final by […]

AUD Swaps: What Does the Data Show?

Over the last few years we have published many blogs on the AUD Swap market. Amir also includes an AUD summary in his monthly swaps review. The DTCC does publish some market info from the Australian SDR, but the aggregated nature of this data does not allow for a meaningful analysis of what is actually […]

KRW and INR Swap Clearing

The CME have announced they are planning to clear Korean Won (KRW) and Indian Rupee (INR) interest rate swaps in the near future. I wanted to have a look at what these markets look like.  So first things first, I grabbed all trades for non-G4 swaps on the US SDRs, year-to-date.  Did this for both […]

LCH-JSCC Basis: An Update

My blog last week on LCH-JSCC Basis in JPY Swaps has been massively popular and now that we have another week’s data under our belt, it is worth an update. Indicative CCP Basis Quotes Let start with Tradition’s page as of Friday April 22, 2016. Showing, Yen IRS quotes at JSCC, Yen IRS quotes at LCH, LCH/JSCC Basis and 6v3 […]

LCH-JSCC Basis in JPY Swaps

Last week a number of our readers alerted us to the sudden formation of a Basis in Yen Swaps between LCH and JSCC, which is interesting to say the least. So lets look at what the data shows. Indicative CCP Basis Quotes Tradition kindly sent us a screenshot of their new page. Showing, Yen IRS dealer quotes at JSCC, […]

Australian Rates Clearing Mandate

Australian Rates Clearing Mandate now only 6 months away. LCH is the current king of AUD$ Rates Clearing ASX goes strong on the Cleared AUD$ OIS product Regulators may delay mandate start on FRAs and OIS? Will a market share split see a CCP basis spread like for USD on LCH-CME? I thought might be […]

SEFS in Japan: First Month of ETP Volumes

Following on from our blog, SEFs in Japan: ETP Data, I wanted to look at the first month of trade activity. Background Japanese Electronic Trading Platforms (ETPs) commenced operation on 1 Sep 2015, with trading in Vanilla JPY Fixed vs Libor Swaps, Cleared at JSCC with 5Y, 7Y, 10Y tenors and trades executed between large […]