NDF Trading After 1st March

Open Interest of NDFs has set new records recently. Volumes have continued to be elevated compared to 2016. We have not seen a significant change in behaviour since the 1st March VM big bang. Overall, we estimate 15% of the entire market is now cleared. Up to 35% of D2D volumes are being cleared during any […]

NDF Volumes – It’s all about Clearing

Cleared volumes are now a significant portion of the NDF market. The percentage of the NDF market that is cleared has steadily increased every month since September, to now stand at 14%. We estimate that 35% of Dealer-to-Dealer volumes are now cleared as a consequence of the Uncleared Margin Rules. A Brief Recap Our SDRView data products display trades […]

NDF Clearing – what is trading?

We look at the volumes being cleared in NDFs The growth is impressive, with nearly $200bn cleared in September This growth accelerated in the final weeks of September USDINR saw the highest volumes and USDBRL saw the largest growth Tod took a look at NDF clearing as of the 20th September, noting that volumes were really beginning to take-off. […]

Brexit: FX Option and FRA Analysis

With the referendum just around the corner, it would be amiss if we did not update our analysis of EUR/GBP and GBP/USD FX Options ahead of the vote. We also take a look at GBP FRA activity, particularly the FRA switch over the 24th June. EUR/GBP and GBP/USD activity From SDRView Res, we can compare activity since […]

What is Multilateral Netting – FX NDF Clearing

Only a small portion of the NDF market is cleared We present theoretical exposures within bilateral and multilateral dealer networks to illustrate the reduction in Initial Margin that multilateral netting offers We can see that the motivation to clear varies with a dealer’s position And as positions change over time, more clearing leads to greater reductions in IM After my post last week […]

What’s going on – FX NDF Trading 2016

We update our periodic look at NDF markets for 2016. Over $1.1 trn in NDFs are regularly reported each month to SDRs. With up to 50% of the market traded on-SEF. March 2016 saw record volumes transacted on-SEF with over $500bn trading for the first time. Global cleared volumes have increased to nearly $75bn per […]

BREXIT: What do the FX Option volumes tell us?

Regular readers may recall that we looked at the break of the SNB’s EUR/CHF cap back in January 2015 in this blog. “Francaggedon” was a unique event without any pre-warning, and yet we were still able to see evidence in the data of fortuitous/lucky/profitable trading strategies in fairly decent size. Now that the “Brexit” referendum […]

FX Options Data on the SDR

Chairman Massad has been vocal recently in his intent to clean up the quality of the data in the SDR.  I recall him a few months ago speaking about the progress the CFTC has made policing the industry on data quality for vanilla interest rate swaps, so I thought I’d go have a look at […]