Rates IM optimization and swaption terminations
In our June blog on rates IM optimization, we used SDR-reported swaption trade volume spike days from BGC’s London-based OTF platform to spot rates Capitolis IM optimization runs. Today, we look for signs of similar services from other optimization vendors in Q2 and Q3 2025 swaption volumes. Key takeaways Background There are three main players […]
Reset optimization: part 2 – SPS activity
In part 1 of this blog, we promised to follow up with part 2. Here it is. Key takeaways Background In Part 1, we estimated that, of the $31.1 trillion SDR-reported FRA activity in H1 2025, reset optimization-driven FRA spike days from OSTTRA’s Reset service and Tullett Prebon’s Matchbook service (formerly “tpMatch”) totaled $25.0 trillion. […]
Reset optimization: part 1 – FRA activity
Our recent blog noted that FRA compressions were $18.8 trillion of the total $97.4 trillion SDR-reported in H1 2025. The $18.8 trillion FRA compressions were dominated by the EUR currency and by the OSTTRA REST platform. I skipped further analysis to tee up a separate analysis in this blog. Key takeaways Background Multilateral reset optimization […]
FX IM optimization
I wanted to do a long-overdue follow-up on a blog I wrote in 2019, ISDA SIMM FX Optimization and NDFs. That blog outlined the growth of G10 NDFs in response to the initial phases of UMR go-live from 2016 onwards, hypothesizing that multilateral FX IM optimization was driving the trend. (Note that another term was […]
Rates IM optimization
Background Several points are listed here for convenience. Feel free to skip to the next section now and refer to them later. According to the ISDA margin survey, uncleared SIMM IM collected exceeded $350 billion at the end of 2024, a large slice of which is incurred by rates derivatives portfolios. Capitolis kindly confirmed that […]
2024 US SDR-Reported IR Compression
Key takeaways: Data background For 8+ years, SDRView data has included the package type field to allow compression to be broken out from outright and other package types. In late 2022 we used the CFTC reporting upgrade to immediately add platform id which allows platforms’ compression market share to be analyzed. Platform id values consist […]