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 […]
Mechanics and Definitions of Spread and Butterfly Swap Packages
(a.k.a. Spreads and Butterflies Part Zero) Interest Rate Swap markets are jargon-heavy. Traders live and breathe the language. Professional investors pick-up the nuances over time and the vicious circle of incomprehensibility is complete. However, now that Swaps markets have transitioned to electronic trading, will we see market-standard terms adopted across asset-classes? As a result, will […]
SEF: A Year In Review
It’s been a year since the first SEF executed trade. Whether you’ve been subscribing to our data services, peeking in on the freeview versions of these tools, or just reading our blogs, you probably have a good idea about how its all gone down over the past year. I thought it worthwhile to share a general […]
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 […]
Bunched Orders And Other Services On SEFs
A while back, we began noticing a lot of “back start” swaps on the SDR ticker in SDRView. Reconciling this with some particularly large days on SEF, we determined that many of these were “compression” runs. Amir wrote a blog about this back in July here. Fast forward a couple months and I’ve become aware […]
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 […]
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 […]
Is It Time to MAT the Entire Curve? (part 2)
Picking up from last week, I am still wondering if we need to MAT the entire interest rate curve. We’ve addressed transparency. We’ve addressed systemic risk. What are SEF’s all about? My belief is that the G20 and Dodd Frank want to address “fairness”. There is a perception of an unequal playing field, and the […]
Is It Time To MAT The Entire Curve? (Part 1)
Scrutinizing the most recent OTC data tells a fairly consistent picture over the previous months. The percentage of trades registered On-SEF in recent times is, at best, inching up. In fact the preliminary August data shows no change from July, hovering right around 58% of all trades (and 67% of all cleared trades). Let’s not […]
SEF: Month 10 (Another look at Futures?)
A few months ago I examined swap futures at Eris and CME, and postulated that the swap market has most certainly not moved to swaps. While there has not been a shift to futures products, the infrastructure and behavior of the market most certainly has been “futurized”. You need to look no further than the transparency […]