Swaps Compression Continued
Last week we introduced the idea that we can identify compression trades within the SDR data. Combining this with information direct from SEFView, we now have good estimates for compression volumes being traded across the three SEFs currently active in this market – TrueEx, BSEF and Tradeweb. Due to the nature of the exercise, we […]
Compression in USD Swaps
We hear a lot about how much notional is outstanding in OTC Derivatives, and the industry efforts to reduce this burden. We’ve written before about compression and compaction, and what the exact economic and operational benefits are. Now, we can look across the Clarus product suite and augment the data to identify which trades done on-SEF […]
November Volumes in Interest Rate Swaps
Now that November data is in, I wanted to update my blog October Volumes in Interest Rate Swaps. USD IRS ON SEF Lets start with a chart from SDRView Res showing USD IRS On SEF volumes: A disappointing month after the record volumes seen in September and October; with volumes similar to August. And the […]
IR Swap Prices on Reuters, Bloomberg and SDR
SDRView Pro shows the latest IR Swap trade prices reported to US Swap Data Repositories with a 15-minute snap of prices from ICAP. However this requires a user to use a Web browser and login to the SDRView application. We have all heard how difficult it is to get screen real-estate on a traders desktop; even with […]
USD Swaps Liquidity
SDRView now includes DV01 data for USD Swaps. This can be seen in SDRView Researcher, and also in SDRView Pro via both the Web application and the API. I have been using the API to access the data through Excel, and over the course of the past week I’ve been exploring the concept of a liquidity […]
Cross Currency Swap Trends
We like to stay on top of market trends here at Clarus, and following-on from Amir’s blog yesterday on the sharp rise in uncleared, back-dated EUR IRS, I’ve been taking a look at my “alma-mater” – Cross Currency Swaps. As an uncleared market, there are no execution mandates, but it serves as a pivotal part […]
EUR IR Swaps: Huge Spikes in Volumes
The advantage of a dashboard view is that it can quickly highlight interesting information. Looking at the SDRView Res dashboard this morning, I was surprised to see the following: Showing massive EUR IRSwap volumes on 19-Nov and 21-Nov, which were larger than USD volume on those days! Very strange as this never happens. Remember in SDRView […]
CFTC Block and Cap Sizes
Aka “Everything you wanted to know about Block and Cap sizes but were afraid didn’t know who to ask.” Since the inception of SDR trade reporting took hold, there has been a concept of capped trade sizes. The general idea being that transparency is good, but too much transparency can be damaging. The CFTC understood […]
AUD Swap Market
Having blogged for a good few months now, it becomes second nature to look for different lines of analysis within the major markets that we haven’t yet covered. As a result, we find new ways of developing the existing products and adding to the layers of data. However, always searching for that something new can lead us […]
Butterflies and Spreads SEF Market Share
History in the making….. October 2014 was another record month for volumes traded on-SEF. Following on from Amir’s blog, we can see that October on-SEF USD IRS volumes hit a record, breaking $1.5trn for the first time: DV01! Using a new version of SDRView Researcher for USD Swaps, we can also run these numbers in […]