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 […]
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 […]