What You Need to Know about BRL Swaps

But first… Before we plough into BRL swaps, did you know that the EUR Swaps market is now larger than USD? From CCPView: Showing; It doesn’t take a rocket scientist to work out what has caused this: I thought our readers would find that an interesting addition to their Summer reading. Back to the topic […]

What You Need to Know about MXN Swaps

MXN Swaps are the 8th most traded interest rate swap at CCPs. 99% of cleared volumes are at CME, and most MXN swaps are now cleared. MXN swaps are a long-dated market. Almost half of all risk is executed in the 5y and 10y tenors. 66% of MXN swaps are executed on-SEF, but there is […]

Latam Swaps: Trends in IRS and NDF Data

I last looked at Latam swaps back in February this year, with the focus on Interest Rate swaps.  We learned that both BRL and MXN swaps had migrated to a primarily cleared market at CME.  We also then looked at CME margin requirements for these swaps and noted they were more expensive than similar USD swaps. […]

Latam Swaps Data & Analytics

This week, we go south of the border to look at Latin American Interest rate swaps. Over the past few years we have looked at MXN (Mexican Peso) and BRL (Brazilian Real) swaps in some detail, particularly around their launch of clearing: Sizing the MXN Swaps Market (Dec 2013) A Year of MXN Swaps data […]

Mandatory Execution and Clearing Hits Mexico

A couple weeks ago, we noticed some notable changes in the Mexican Peso swap market.  When I began asking around, I discovered that mandatory clearing had hit Mexico.  Why then write a blog about it?  Well, it has become clear that I’m not the only person that hadn’t been told mandatory clearing had hit the 15th […]

BRL Interest Rate Swaps

The CME are due to begin clearing Brazilian Real interest rate swaps by the end of August 2015.  I thought it worthwhile to uncover what we can see in the data prior to their launch. What is a BRL Swap? BRL swaps have a few peculiarities.  Let’s have a brief look at the characteristics: Fixed […]

FX NDF Trading On SEFs: April 2015 Update

It is more than a year since I last looked at FX NDF Trading On SEFs (Jan 2014) and as that was one of our Top 10 Blogs of 2014, it is long overdue for me to see What the Data Shows.   April 2015 Lets start with SDRView and the latest volumes in the four largest currency […]

MXN Interest Rate Swaps

My earlier article on Mexican Peso Interest Rate Swaps looked at the trade volume, both On and Off SEF and noted that CME were going offer Clearing for these. So almost exactly one year later, I thought it would be interesting to look at what the data show.   Weekly Volumes Lets start with weekly volumes using […]

FX NDFs on SEFs: A more detailed look

As we recently released FX NDFs in SDRView Professional, I decided to take a more detailed look into these than my earlier blog titled FX NDF Trading on SEFs.   Whats New? Lets start with the fact that we can now see volumes and prices for each forward tenor, in this case USD/KRW on 10 Feb […]

Mexican Peso Interest Rate Swaps

CME in a recent SEC filing noted its intention to start offering Clearing for MXN TIIE Interest Rate Swaps. So I decided to look at what the data in the DTCC USD SDR shows using SDRView.   Weekly Volumes Lets start with weekly volumes using SDRView Researcher, for the prior 3 months. From this we can […]