CFTC’s Roundtable on the Made Available to Trade Process – July 15, 2015
Amir presented ‘Data-based assessment of MAT’ at the CFTC’s division of market oversight roundtable on MAT meeting last week. The meeting has been recorded and is available on youtube (section starts at 0.53.04), (watch out for Tod in the audience at the top-left of the shot). The presentation slides are available for download here, […]
Is this the scariest chart in 2015 for Swap markets?
Clarus data shows that the average tick size in USD Swaps is increasing. We show evidence that this widening tick size is a feature across all maturities. The data suggests that the amount of liquidity has stayed constant in the market, whilst the cost of liquidity is increasing. This trend has been in place since the beginning […]
Patterns in the Swaps data
a.k.a Predictive Analysis in USD Swaps Clarus, ever since reporting began, have enriched both SDR and SEF data as we identify more and more trade types. Whether the trades are Compression, Spreadovers or Curve trades, we estimate that we are marking up over 1 in 2 trades reported to an SDR. But to what purpose? […]
Liquidity
Clarus tools help our users monitor liquidity risk across Swaps markets. In this blog, we quantify how much risk has traded this year across a broad range of swap subtypes, and across venues. We show how our clients can use SDRView to stay on top of the risks they are running. Liquidity Concerns According to […]
Technical Analysis in Swaps
Following on from last week’s look at the volatility in EUR swaps markets, I wanted to switch my attention to see the knock-on effect in USD swap markets. So let’s look at some of the Technical Analysis that is possible via our suite of SDRView tools. Is That an Outright or a Spread Sir? One […]
A New Flavor of Invoice Spreads?
If you’ve been following the package trade exemption, you’d know that Invoice spreads are one of the last package trades yet to be traded on-SEF. The swaps are due to be SEF-required (MAT’d) in November of this year. I wrote a blog last year about the issue here. While I am no further educated on just […]
Volatility and Volumes in Europe
Since European Rates made all-time lows on 17th April, we have seen an unprecedented sell-off in European fixed income. SDRFix shows the moves from 17th April to the close on 5th June 2015: Showing: A huge steepening on the yield curve, with 30y rates 90bp higher (!), versus 2y higher by only 7.2bp. 5y are […]
The Issue with Anonymous Order Books in Swaps
The conversation seems to be heating up again about the topic of anonymous order books for the OTC swap market. The topic has been out there for well over a year, however really had not been in the press or acknowledged by the CFTC until SEFCON V in November 2014. It remains un-addressed. The CFTC […]
CFTC Swap Success (In Pictures)
They say a picture is worth a thousand words. But if you are like me, it’s hard to quantify, because getting through 1,000 words can be quite tough. By the 100th word you’re skipping ahead to find the bulletpoints, bolded sections, and charts. It occurred to me recently that we at Clarus have reams of data, […]
Derivatives Trade Reporting in Australia
Following on from my prior article looking at Canadian Derivatives Reporting to SDRs, I thought I would look next at Australia. The Australian Securities & Investments Commission (ASIC) Derivatives Transaction Reporting requirements began as follows: Phase 1 firms (Swap Dealers) in October 2013 Phase 2 firms in April 2014 and October 2014 Phase 3 firms in April […]