What’s the Deal with Invoice Spreads and How Active Are They?
The final no-action relief of SEF packages is due to expire November 15, 2014. Many folks have turned to us asking if this will be something that significantly impacts the amount of trades being dealt On-SEF. BIT OF HISTORY Back when the no-action relief was first given in May, the November 15 date was by […]
SABR Calibration: A simple, explicit initial guess
The SABR model is widely used, particularly in the interest rate world, to help manage the volatility smile. Depending on 4 parameters, \(\alpha\), \(\beta\), \(\rho\) and \(\nu\), often \(\beta\) is considered a fixed constant whilst the other 3 parameters are calibrated to liquid market prices. There tends to be two types of calibration algorithms; local […]
Fed Fund Swap Nuances
A few people have recently asked me about the details of USD Fed Fund Swaps. I collected some of my answers together in this post for convenience. Fed Fund Swap and OIS Swap differences Fed Fund Swaps and OIS swap are easily confused at first glance, both are swaps involving the Federal Funds rate, both […]
2013, The Year The Swap Market Changed
As 2013 draws to a close, I thought I would summarise what has been a momentous year in the history of the Swap market. Five years on from the 2008 Financial Crises, we finally saw the implementation of major regulatory reforms. This article will look predominately at the US Dodd-Frank Act reforms in 2013 and […]
Will regulation improve the quality of markets?
Amir’s article in FTSE Global Markets, Will regulation improve the quality of markets?
Cleared Swap prices versus Bi-lateral Swap prices
Last month, I posted a blog titled “Swaps, Actual Traded Prices and Size”. Today I would like to make a correction in one of the interesting insights I noted in that blog. Namely the point that the “The price differences between UnCleared and Cleared Swaps can be observed and is sizeable” and I went on […]
Swaps, actual traded prices and size
A new and interesting insight into the the Swaps market is provided by the transparency of actual traded prices and traded size that is now reported daily in the US to DTCC DDR. A new Traded Prices tab in our SDR View can be used each day to view these prices. Interesting insights from this are: […]
Shining a light on derivatives
Today we are making available daily summary views extracted from the DDR Rates files. These can be found here. The Depository Trust & Clearing Corporation (DTCC) announced on January 3, 2013, that all (US) registered swap dealers active in credit and interest rate trading are now reporting trades to DTCC’s swap data repository, DTCC Data […]