The Principals of Swap Trading
Guest Blog Series Profile: Interest Rate Swaps trader. 12+ years’ experience, European and cross markets focused Yes, that is principals not principles. We are not talking stop-losses or take-profit levels today, although you might be able to leverage a relative value strategy out of the findings. With the first two blogs focussing on specific market […]
A Voyeur’s Delight: Bond Issuance and Swaps
Guest Blog Series Guest Blogger Profile: Interest Rate Swaps trader. 12+ years’ experience, European and cross markets focused Gather round and let me tell you a (hypothetical) story…… After the ECB cut rates, a friendly Debt Capital Markets executive pitched an idea to the European Investment Bank about selling some USD bonds. The EIB were […]
ECB June Meeting – Were EUR Swaps Traders at Lunch?
Guest Blog Series Guest Blogger Profile: Interest Rate Swaps trader. 12+ years’ experience, European and cross markets focused. When Amir approached me to guest write for the blog, I thought I would use the data to shine a light on the daily peaks and troughs of a swaps trader. After a few years trading, market […]
Swap Curve and Butterfly Package trades on Bloomberg SEF
In my recent articles Bloomberg SDR and SEF and Interest Rate Swap Prices, D2C vs D2D, I looked at different aspects of the data now available to us. In this article I am going to show that we can get an interesting insight into Swap Curve and Swap Butterfly trades. (Thank you to one of our regular […]
Interest Rate Swap Prices, D2D vs D2C, is there a difference?
In my recent article, Tick data for Swaps: What is now available, I noted that it would be interesting to look at price tick data and to do so for Interest Rate Swaps. While in my earlier article, Bloomberg SDR is now live, I showed an intra-day chart of prices for 5Y IRS comparing DTCC […]
Interest Rate Swaps, Spot vs Forwards, which is the greater?
In last weeks blog, SEF Package Exemptions, So Far So Good, I included a chart showing that 52.5% of USD IRS were On SEF and mentioned that there were lots of Forward Start Swaps that were Off SEF. Today I will take a look at these and provide a breakdown on the USD Swap types that […]
SEF Package Exemptions, So Far So Good
Given that it is now one week since the first of the IRS Package exemptions expired on May 16, I thought I would look at the data. We know from our blog, SEF:Week 32 (Final Week Before Packages) that from May 16, the first of the package types, those where all components are MAT, are no […]
Tick Data for Swaps: What is now available?
If you read my blogs, you will know that I am a true believer in the benefits of the real-time public dissemination available from US Swap Data Repositories. Today I want to focus on a specific aspect; Tick Data. Tick Data is widely used in Equities and Futures markets. To use just one topical example; […]
Bloomberg SDR and SEF: What can we now see?
Following on from yesterday’s article, Bloomberg SDR is now Live, I will look at what we can learn from the first trading days data. Using both our SEFView and SDRView products. First a quick re-cap on these. SEFView SEFView sources data from each of the 20+ SEF websites. This data is published at the […]
SEF: Week 32 (Final Week Before Packages)
Over the past week, we got final word on the plan for packaged trades on SEF. We now have a phased-compliance timeline as follows: May 16 – packages where all components are MAT. June 2 – packages with at least one MAT swap combined with other swaps that (while not MAT) are subject to clearing requirement […]