Cross Currency Swap Trends
We like to stay on top of market trends here at Clarus, and following-on from Amir’s blog yesterday on the sharp rise in uncleared, back-dated EUR IRS, I’ve been taking a look at my “alma-mater” – Cross Currency Swaps. As an uncleared market, there are no execution mandates, but it serves as a pivotal part […]
AUD Swap Market
Having blogged for a good few months now, it becomes second nature to look for different lines of analysis within the major markets that we haven’t yet covered. As a result, we find new ways of developing the existing products and adding to the layers of data. However, always searching for that something new can lead us […]
Price Making in Swaps and Sharpening your Axe
Market making in Swaps is a business in the midst of significant change. Regulatory drivers are increasing cost and complexity and while central clearing has helped, it has not yet simplified the business to one which is automated, high-volume and low cost. When making prices Swap dealers have “usually had an axe”, meaning a bias to […]
Butterflies and Spreads SEF Market Share
History in the making….. October 2014 was another record month for volumes traded on-SEF. Following on from Amir’s blog, we can see that October on-SEF USD IRS volumes hit a record, breaking $1.5trn for the first time: DV01! Using a new version of SDRView Researcher for USD Swaps, we can also run these numbers in […]
Market Share in the Swaps Market
Interest Rate trading volumes are going up and up – October 14th last week saw nearly 2.5 times the Average Daily Volume trading when compared to the past year. As volumes move higher, it is important to appreciate where those volumes are coming from and what it means for your business. As a result, we […]
Swaps and the Flash Crash 15th October 2014
Did SEFs Survive the Crash? Yesterday’s events reminded everyone, everywhere of what trading in ‘08 and ‘09 was like. And yet Swaps trading has changed completely since then. In theory, we should now see continuous trading across SEFs with a degree of liquidity constantly available. The market conditions yesterday were the first real test of […]
Mechanics and Definitions of Spread and Butterfly Swap Packages
(a.k.a. Spreads and Butterflies Part Zero) Interest Rate Swap markets are jargon-heavy. Traders live and breathe the language. Professional investors pick-up the nuances over time and the vicious circle of incomprehensibility is complete. However, now that Swaps markets have transitioned to electronic trading, will we see market-standard terms adopted across asset-classes? As a result, will […]
USD Swaps: Spreads and Butterflies Part III
This is Part III in a series. Please also see Part I and Part II. As we continue upon our noble goal of democratizing swaps market knowledge, we look into (maturity) spread prices and their volumes. We’ve so far been focussed on the previous FOMC meeting, but let’s bring the analysis a little more up-to-date […]
USD Swaps: Spreads and Butterflies Part II
Please see Part I of this Spreads & Butterflies series here. Last week, we saw that up to 45% of vanilla, spot starting USD swaps can be considered part of a maturity spread. This week, we expand the analysis to identify exactly which spreads and butterflies are trading (for the sake of clarity, these blogs will […]
USD Swaps: Spreads and Butterflies Part I
In a new line of analysis for these blogs, we’ve been working on a first cut of data that expands upon the “trade types” that we identify. I think all traders and market participants will agree that there is inherent value in being able to identify whether a particular trade is an outright, one leg […]