How Much Data Do We Have?

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 […]

Cross Currency Swaps and Libor-OIS

USD can be funded domestically or in international funding markets. These two funding markets create natural links between Libor-OIS spreads and Cross Currency Basis. We saw record volumes in USD Libor-OIS trading over the past three months. We also saw record notional volumes traded in Cross Currency Basis during Q1 2018. However, when we look […]

Cross Currency Swap Volumes

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 […]

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 […]