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 […]


Clarus data now includes the implied Spread to the nearest on the run US Treasury bond for spot starting USD interest rate swaps. These so-called Spreadover trades make up over 10% of the USD derivatives market. Analysing price action and volume trends in these packages highlights important market insights, which can be explained by seasonal trends in bond […]

30% of The Euro Swap Market Is Standardized ?

I was pulling some data recently out of SDRView and stumbled across some interesting metrics in EUR and GBP swaps.  It would seem there has been a proliferation of standardized swaps, traded amongst the US-named business and reported to SDRs. GET OUR BEARINGS To begin, let’s get our bearings and terminology straight.  To do so, […]

Compression and SPS in MXN Swaps

The MXN IRS market saw over MXN 6trn compressed in July 2016 This compression activity was from the first TriOptima run in MXN at CME, resulting in a large notional reduction MXN markets also see significant volumes in Single Period Swaps – which are equivalent to FRAs in all but name For on-SEF Compression, all of the […]