Swap Spreads, aka Spreadovers, have recently turned negative again in the US. They rebounded back into positive territory fairly quickly. This is against a background of all-time record volumes in USD swaps reported to US SDRs. Should Swap Spreads be at zero versus SOFR after LIBOR disappears? Negative Again In case you missed it, Swap […]

We take a look at the total size of uncleared derivative markets. FX Options are the largest Uncleared market, followed by Swaptions and NDFs. Cross Currency swaps are the fourth largest uncleared market. Around $5.5trn each month trades uncleared – almost equivalent to the US market for cleared IRS. Uncleared Markets The death of uncleared […]

We saw record cleared volumes in vanilla IRS in June 2018. We take a look at the data behind these records. SDR data covers 60% of cleared volumes in USD swaps. SDR data also covers non-USD swaps and we quantify exactly what proportion of the market it covers. Introduction With MIFID data soon to be […]

January 2018 saw all time notional volume records in Cross Currency Swaps. Some of this volume was in short-dated USDJPY products. BGC captured a large portion of the uptick in volumes, seeing a 40% market share for on-SEF products. We need to be able to see European volumes to improve our understanding of this important […]

The Office of the Chief Economist at the CFTC, recently published the research paper “Introducing ENNs: A Measure of the Size of Interest Rate Swap Markets“, which I found very interesting. This paper argues that gross notional , a common measure of the size of swap markets, does not accurately represent the amount of risk […]

EUR/USD, GBP/USD and JPY/USD are the big three in Cross Currency Basis swaps. The maturity profiles of the three markets are very different to each other. We can confidently state that JPY/USD is a short-end market, EUR/USD a medium term one and GBP/USD long-end. ICAP are dominant in the SEF market, with BGC increasing market […]