Summary Of Treasury’s Capital Markets Report to Trump

Shortly after Trump became president, true to his campaign promises to “roll back regulation”, he issued an executive order for a review of the American Financial system, with some core principles around making regulation smarter and fostering growth, among others. The US Treasury is responding to this order by providing 4 reports covering Banking, Capital […]

FX NDF Package Transactions

Today, I looked at packages of FX NDF trades on the SDR, expecting to be able to find some basic packages, or even just logical groupings of trades such as: FX NDF Swaps.  These would have a near & far leg, and the price differs by some forward points. Par Forwards.  These are a structure […]

Curve Trading in USD Swaps

Curve trades account for around 10% of volumes reported to US SDRs. We identify these package trades by matching timestamps and risk equivalence of the two legs. Benchmark curve switches trade every single day in decent size. We look at the USD Curve Trade market during 2017. Curve Trading Call them Curve Trades, Spreads or […]

How Big Is The Asset Swap Market?

We identify Asset Swaps trading in USD and EUR in the SDR data. Different types of Asset Swap package are active across different markets. Understanding these differences allows us to examine the data accurately. In the US, about 15% by risk of Libor-based swaps are linked to Asset Swaps. In Europe, over 90% of non-standard Euribor-based swaps are […]

Are SEF’s Executing More Non-MAT Trades?

Today we look at any trends in bespoke Fixed/Float swap trading On-SEF. Last year I wrote an article about the longer term trends in the US swaps market by asking “What is Left off-SEF?”  We determined that, generally speaking, 2/3rds of the USD Fixed/Float swap market is On-SEF.  The Off-SEF world was generally a bunch of […]

Impact Of March 1st VM Regime

The big VM deadline has come and passed.  Did trading grind to a halt? Prior to the date, based primarily upon what I had read in news articles, I would summarize my sentiment around the VM implementation as: The industry had not gotten through even half of the required new paperwork Large asset managers being […]

Exploring Energy Swaps On The SDR

Back in August, I had a look at the wealth of commodity data on the US Swap Data Repositories.  The general takeaways were: There’s lots of data Much of it is murky. Describing many OTC commodity trades require lots of details that are missing. Case in point, we found the second most active commodity to […]

Canadian Derivatives Public Dissemination

Canadian Derivatives public dissemination of transactions is now in effect We can see transactions starting from Jan 16, 2017 Published with a 48 hour delay from execution time Covering Interest Rate, Credit and Equity Derivatives Similar in content to US CFTC public dissemination Clarus SDRView now includes this Canadian data Background Following on from my blog on […]