Market Share in the Swaps Market
Interest Rate trading volumes are going up and up – October 14th last week saw nearly 2.5 times the Average Daily Volume trading when compared to the past year. As volumes move higher, it is important to appreciate where those volumes are coming from and what it means for your business. As a result, we […]
Record Volumes On SEFs in September and October
Recent weeks and months have seen record volumes traded On SEFs, so I wanted to update my July Blog; A Six Month Review of Swap Volumes. USD IRS On SEF Volumes Lets start with On SEF USD IRS plain vanilla volumes by month in SDRView Res. Which shows that: September was a record month […]
Swaps and the Flash Crash 15th October 2014
Did SEFs Survive the Crash? Yesterday’s events reminded everyone, everywhere of what trading in ‘08 and ‘09 was like. And yet Swaps trading has changed completely since then. In theory, we should now see continuous trading across SEFs with a degree of liquidity constantly available. The market conditions yesterday were the first real test of […]
USD Swaps: Spreads and Butterflies Part III
This is Part III in a series. Please also see Part I and Part II. As we continue upon our noble goal of democratizing swaps market knowledge, we look into (maturity) spread prices and their volumes. We’ve so far been focussed on the previous FOMC meeting, but let’s bring the analysis a little more up-to-date […]
USD Swaps: Spreads and Butterflies Part II
Please see Part I of this Spreads & Butterflies series here. Last week, we saw that up to 45% of vanilla, spot starting USD swaps can be considered part of a maturity spread. This week, we expand the analysis to identify exactly which spreads and butterflies are trading (for the sake of clarity, these blogs will […]
OTC Derivatives Reporting in Japan
Earlier this year I looked into European derivatives trade reporting (see EMIR Trade Reporting) and as not much of note has improved in the public dissemination of aggregate data in Europe, I thought I would look at Asia, starting with the largest market; Japan. While the Japanese FSA (JFSA) requires mandatory derivatives reporting to an […]
USD Swaps: Spreads and Butterflies Part I
In a new line of analysis for these blogs, we’ve been working on a first cut of data that expands upon the “trade types” that we identify. I think all traders and market participants will agree that there is inherent value in being able to identify whether a particular trade is an outright, one leg […]
What’s the Deal with Invoice Spreads and How Active Are They?
The final no-action relief of SEF packages is due to expire November 15, 2014. Many folks have turned to us asking if this will be something that significantly impacts the amount of trades being dealt On-SEF. BIT OF HISTORY Back when the no-action relief was first given in May, the November 15 date was by […]
USD IR Swaps Summary Statistics
Sometimes the most simple questions are the most incisive. Having spent some time looking at the SDR data through the prism of the SDRView API, let’s take the time to lay down some simple descriptive statistics for the USD IR Swaps markets. What time do USD Swaps Open? The chart below makes it pretty clear: […]
ECB Sep 2014 Meeting: EUR IRS Markets React
Following on from our look at June’s ECB meeting, and our prediction last week that markets would be shocked in the event of actual rate action, let’s take the opportunity to distill exactly what happened. Using SDRView Pro the drill-down nicely shows the ECB’s impact, with 5 years printing at a low of 0.433% shortly after […]