Invoice Spread Trading in the New CME Ultra-10 Year Treasury Futures Contract
We take a look at Invoice Spreads with the help of two new features in the Clarus SDRView products. We closely examine swaps related to the new CME Ultra 10y UST Future. Swaps related trading looks to be a strong driver of volumes in the new contract so far. Looking at the maturity profile of the Spreadover market suggests […]
A Year of CFTC Fines
aka How to solve the CFTC budget crisis. Just before the 2015 holidays, the public received word that the CFTC had its 2016 budget set at $250 million dollars, representing no change from the previous year’s budget, and significantly less than the $322m that the Chairman proposed here, and that the President had proposed to Congress. […]
Cap and Floor Option Volumes
For a while now I have wanted to look into more detail at Caps and Floors, which are an important but little commented on product type. So it is seems appropriate as we near first the Federal Reserve rate rise since June 2006, to look at a product designed to set a Cap (or Floor) […]
Swap Spreads For Dummies – The LIBOR Joke
If you’re like me, you’ve read the news on negative swap spreads and tried to sift through the reasons behind it. On the surface, it seems such a basic premise that swap spreads need to be positive – surely there is an arbitrage out there. So I set out to understand it better by seeing […]
Quantitative Finance ‘GoodReads’
Two reading lists of books relevant to quantitative finance are provided using the GoodReads platform. Often I am asked to recommend good books to help a student, colleague or customer get a better grasp of quantitative finance. Instead of ad-hoc and incomplete lists, I thought it might be useful (especially for me) to have a […]
Principal Component Analysis of the Swap Curve: An Introduction
Principal Component Analysis (PCA) is a well-known statistical technique from multivariate analysis used in managing and explaining interest rate risk. Before applying the technique it can be useful to first inspect the swap curve over a period time and make qualitative observations. By inspection of the swap curve paths above we can see that; 1. […]
Liquidity
Clarus tools help our users monitor liquidity risk across Swaps markets. In this blog, we quantify how much risk has traded this year across a broad range of swap subtypes, and across venues. We show how our clients can use SDRView to stay on top of the risks they are running. Liquidity Concerns According to […]
Technical Analysis in Swaps
Following on from last week’s look at the volatility in EUR swaps markets, I wanted to switch my attention to see the knock-on effect in USD swap markets. So let’s look at some of the Technical Analysis that is possible via our suite of SDRView tools. Is That an Outright or a Spread Sir? One […]
The Issue with Anonymous Order Books in Swaps
The conversation seems to be heating up again about the topic of anonymous order books for the OTC swap market. The topic has been out there for well over a year, however really had not been in the press or acknowledged by the CFTC until SEFCON V in November 2014. It remains un-addressed. The CFTC […]
Swap Equivalents via Waves
In a recent paper, “Calculating Delta Risks and Hedges via Waves (2015)“, Hagan deals with an old practical problem–determining risk and hedges on an interest rate book. In older systems a delta hedge report is often implemented by perturbing quotes used to construct the yield curves, restripping the curves and then revaluing the book. As […]