SEF Trading on US Holidays

EUR swaps trading is intriguing on US holidays We don’t have many data points to play with… ….but the data shows continued EUR Swap activity on-SEF on US Holidays. Of this activity, much of it is client trading, which I find surprising. These volumes naturally filter into the data for Client Clearing at LCH on US Holidays.. […]

ECB QE and Eonia Swaps

We take a look at Eonia invoice swaps, which match the dates for German bond futures traded at Eurex: From volume data, we see an increase in Eonia swap activity post-QE. The price action in Schatz appears closely related to short-end Eonia swaps, whilst in Bobls and Bunds it is harder to pin-down. The appearance of trades with […]

Volatility and Volumes in Europe

Since European Rates made all-time lows on 17th April, we have seen an unprecedented sell-off in European fixed income. SDRFix shows the moves from 17th April to the close on 5th June 2015: Showing: A huge steepening on the yield curve, with 30y rates 90bp higher (!), versus 2y higher by only 7.2bp. 5y are […]

Data Visualisation for Swaps – a Tufte Approach

Data visualisation is meant to take something complex and make it simple and easy to understand. When I saw this in a blog recently, I immediately thought “Hey, that’s what Clarus do!” Interest piqued, I’ve begun delving into the fast-evolving field. As a Swaps-trader for over ten years, this aspect of the industry pretty much […]

What percentage of the market is in the US SDR data?

We analyse the SDR data in light of the whole market in the cleared Rates space. SDR data is shown to represent over 60% of total-market volumes at a trade-by-trade level. That’s huge! It’s funny how times change. Next month, the BIS will update their semi-annual review of OTC Derivatives. As recently as 2013 I would have to (manually) […]

Cross Currency Swaps: SEFs enjoy QE-fueled volume boost

SEFs in 2015 have seen huge increases in Cross Currency volumes, seemingly as a result of ECB QE. European credit markets are a hotbed for foreign issuers right now, and this is driving a significant shift to On-SEF trading for this asset class. The FX Effect It’s certainly not new news that EUR/USD FX is plummeting, and has been on a […]

EU Court Ruling on Euro Zone CCP Residency

The lawsuit from the British government in 2011 on euro zone CCP residency is coming to a ruling in the EU court Wednesday March 4th (according to this risk article – subs. required and this otcspace article). The idea is that CCPs clearing a 5% slice of euro-denominated products in a given category have to […]

Our Response to the ESMA Consultation

We recently responded to the European Securities and Markets Authority (ESMA) Consultation Paper on a “Review of the technical standards on reporting under Article 9 of EMIR”. This consultation is on the revision of the Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS) of EMIR which deal with the obligation of Counterparties and CCPs […]

ECB QE and EMIR Reporting. More transparency please!

Will ECB QE affect European Cross Currency swap markets? We need more transparency in European OTC data to definitively answer that question. In this blog, we use 2014 data from the SDRs to first examine what has traded over the past twelve months and then we take a quick look at 2015 data and discover a […]

Clearing Certainty (ESMA’s Version)

I think ESMA has got it wrong when it comes to Pre-Trade Credit Checking / Certainty of Clearing. For starters, Pre-Trade credit checking is discussed under chapter 9 “Post-Trading issues” of both ESMA documents (consultation paper and draft RTS).  I can see how it happened:  the post-trading issue is that the clearing house does not […]