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 […]
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, […]
What did the Australian Regulators say about OTC Derivatives Trading Mandates?
I read last month with interest the report on the Australian OTC Derivatives Market issued by the Council of Financial Regulators (which includes Australian regulators APRA, ASIC, RBA and The Treasury). The full report of which can be found here. Given we already know a lot about the Trade Reporting and Central Clearing developments, I […]
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 […]
Why trade level reporting is the only reporting that makes sense
We look at the data sources available for AUD IRS markets…. …and try to reconcile some of the numbers We quickly find this is not as easy as it first appears…. …and conclude that publicly disseminated, trade-level reporting is the only way to add true transparency to OTC derivative markets. The great data reconciliation game […]