Entity Netted Notionals – Turning $179 trillion into $15 trillion
The Office of the Chief Economist at the CFTC, recently published the research paper “Introducing ENNs: A Measure of the Size of Interest Rate Swap Markets“, which I found very interesting. This paper argues that gross notional , a common measure of the size of swap markets, does not accurately represent the amount of risk […]
Cross Currency Swap Volumes
EUR/USD, GBP/USD and JPY/USD are the big three in Cross Currency Basis swaps. The maturity profiles of the three markets are very different to each other. We can confidently state that JPY/USD is a short-end market, EUR/USD a medium term one and GBP/USD long-end. ICAP are dominant in the SEF market, with BGC increasing market […]
Summary Of Treasury’s Capital Markets Report to Trump
Shortly after Trump became president, true to his campaign promises to “roll back regulation”, he issued an executive order for a review of the American Financial system, with some core principles around making regulation smarter and fostering growth, among others. The US Treasury is responding to this order by providing 4 reports covering Banking, Capital […]
FX NDF Package Transactions
Today, I looked at packages of FX NDF trades on the SDR, expecting to be able to find some basic packages, or even just logical groupings of trades such as: FX NDF Swaps. These would have a near & far leg, and the price differs by some forward points. Par Forwards. These are a structure […]
Curve Trading in USD Swaps
Curve trades account for around 10% of volumes reported to US SDRs. We identify these package trades by matching timestamps and risk equivalence of the two legs. Benchmark curve switches trade every single day in decent size. We look at the USD Curve Trade market during 2017. Curve Trading Call them Curve Trades, Spreads or […]
CAD Swaps – What Does the Data Show?
Amir took a look at CAD swaps when we first added the new Canadian DTCC data source at the beginning of this year. Now that we have more data and reporting has bedded down a bit, I thought it worthwhile to analyse the data to see if two sources are better than one. Canadian reporting […]
How Big Is The Asset Swap Market?
We identify Asset Swaps trading in USD and EUR in the SDR data. Different types of Asset Swap package are active across different markets. Understanding these differences allows us to examine the data accurately. In the US, about 15% by risk of Libor-based swaps are linked to Asset Swaps. In Europe, over 90% of non-standard Euribor-based swaps are […]
Fed Rate Hikes Are Reducing The Average Life Of USD Swaps
The average maturity of USD OIS swaps has reduced significantly in recent months. OIS swaps now make up almost 20% of all traded risk in USD swaps, up from less than 5% in 2014. As a result of increasing volumes in OIS and their very short maturity, a significant reduction in overall average maturity is […]
Are SEF’s Executing More Non-MAT Trades?
Today we look at any trends in bespoke Fixed/Float swap trading On-SEF. Last year I wrote an article about the longer term trends in the US swaps market by asking “What is Left off-SEF?” We determined that, generally speaking, 2/3rds of the USD Fixed/Float swap market is On-SEF. The Off-SEF world was generally a bunch of […]
Impact Of March 1st VM Regime
The big VM deadline has come and passed. Did trading grind to a halt? Prior to the date, based primarily upon what I had read in news articles, I would summarize my sentiment around the VM implementation as: The industry had not gotten through even half of the required new paperwork Large asset managers being […]