Inflation Swaps: What the Data Shows
As LCH SwapClear plans to start clearing Inflation Swaps I thought I would look at what the US SDR data shows for this product. While this is only part of the global market, it still provides very interesting insight into the market. Summary Inflation Swaps trade in USD, EUR, GBP Gross Notional volume averages $2 billion […]
Swap Curve and Fly Trades: A quarter of all trades are not what they first seem
We now identify package trades within SDR data in real-time. These packages represent 25% of reported trades. Users can access this analysis via our SDRView Pro application, further increasing the utility and transparency of the data within OTC markets. This is a good example of how we can add simplicity and clarity to the data […]
ECB QE and EMIR Reporting. More transparency please!
Will ECB QE affect European Cross Currency swap markets? We need more transparency in European OTC data to definitively answer that question. In this blog, we use 2014 data from the SDRs to first examine what has traded over the past twelve months and then we take a quick look at 2015 data and discover a […]
January Volumes in Swaps, Compression To the Fore
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in January 2015. First the highlights: Decent volumes but lower than December. Surprising given the large price moves, with 30Y down 50bps and 9 out of 22 days with >5bps moves in the 5Y. Global USD IRS volumes show LCH SwapClear with […]
Swaption Volumes in 2014
As it is now one year since my last blog on this topic, see Swaptions Trading on SEF Platforms, I thought I would take a look at Swaption volumes in 2014. EUR & USD Swaptions First using SDRView Res we can select trade counts per month. Which shows that: Jan 2014 was the highest volume […]
Liquidity in USD Swaps
What is most traded – Spot, Fwd, or IMM swaps? Or maybe MAC? Ahead of the MAC coupon change on February 2nd, we examine some of the bifurcations that exist in the USD swaps market at the moment. Liquidity We’ve talked about Liquidity before, and of course there has been a lot of commentary surrounding […]
FX Options and the Swiss National Bank
What can we say about the SNB move that hasn’t already been covered? Simple – we can indulge everyone’s latent voyeuristic tendencies and look at what positioning may have been like in EURCHF OTC FX Options at the time of the SNB announcement. FX Options in SDRView This is an area we haven’t highlighted in […]
A Review of 2014 US Swap Volumes
In this article I will review 2014 Swap volumes and do so in a similar format to my July article; A Six Month Review of Swap Volumes. As usual our universe is not global but specific to the United States. It consists of trades reported to US Swap Data Repositories, either executed On a Swap Execution Facility or […]
December Volumes in Interest Rate Swaps
Following-on in our monthly review series, let’s take a look at how volumes developed during the month of December. The results are quite surprising in the end. USD IRS On-SEF From our October review, we know that October 2014 was a record month for SEF trades, mainly down to such extreme market volatility. What we […]
Margin Games 2014
2014 So, it’s that time of year when we look back at 2014, the year that was. We go through the (painful) year-end reviews, give the year a mark out of 10 if you must. Think about all of the tail events you’ve traded through during the year. Those once-in-10,000-lifetime events that seem to occur at least […]