FX Options Trading On SEFs
In this article I will look at FX Options trade volumes as reported to US Swap Data Repositories and volumes published by US Swap Execution Facilities. This analysis highlights the following: Vanilla FX Option volume averages 24,000 trades a month in the largest 10 currency pairs EUR/USD is the most active pair with up to […]
SEFs in Japan: ETP Data
Japan has joined the SEF party with their own flavor of trading venues known as Electronic Trading Platforms (ETP’s). ETP’s launched last week on Tuesday, September 1st. Amir had written about them back in April. Some rules have since been tweaked, and of course we now have some data. Lets have a look at everything. […]
Is an All-to-All SEF Market about to arrive?
We combine SEFView and SDRView to strip out Compression flows from D2C SEFs. This allows us to make interesting comparisons between the Dealer to Client (D2C) and Dealer to Dealer (D2D) markets. D2D USD volumes have stagnated year-on-year. D2C volumes have exploded higher by 190%. This is before we even start talking about EUR swaps…. […]
What is the deal with Agency Execution of Swaps
I’ve been wondering about the success of agency execution firms such as UBS Neo. The headline sales pitch for such a service seems to be: One technical integration/onboarding exercise to just one “SEF”, gaining a firm access to the liquidity of all 20+ SEF’s combined. A firm does not need to sign up and review/stay in […]
CFTC’s Roundtable on the Made Available to Trade Process – July 15, 2015
Amir presented ‘Data-based assessment of MAT’ at the CFTC’s division of market oversight roundtable on MAT meeting last week. The meeting has been recorded and is available on youtube (section starts at 0.53.04), (watch out for Tod in the audience at the top-left of the shot). The presentation slides are available for download here, […]
How to Fix the Broken MAT Process
aka “What I learned at the CFTC Roundtable” This past week, Amir sat on a panel at the CFTC to discuss everything MAT. I sat in the audience and heckled. And took notes. I will share those with you below. BACKGROUND If you are an avid reader of our blogs, you’d know we’ve been tracking […]
CME and LCH June 2015 Volumes
Following on from my blog LCH makes gains vs CME in USD IRS, I wanted to provide an update for June. Weekly Volumes Using CCPView lets look at weekly volumes of gross notional for just USD IRS for the past 8 weeks and compare CME IRS Volumes with LCH SwapClear Volumes (All and not just Client). Showing that: Jun […]
Liquidity
Clarus tools help our users monitor liquidity risk across Swaps markets. In this blog, we quantify how much risk has traded this year across a broad range of swap subtypes, and across venues. We show how our clients can use SDRView to stay on top of the risks they are running. Liquidity Concerns According to […]
A New Flavor of Invoice Spreads?
If you’ve been following the package trade exemption, you’d know that Invoice spreads are one of the last package trades yet to be traded on-SEF. The swaps are due to be SEF-required (MAT’d) in November of this year. I wrote a blog last year about the issue here. While I am no further educated on just […]
CME and LCH: What Happened on May 19 and Jun 2?
Continuing with the theme of CME-LCH Basis which has been a phenomenally popular blog, I wanted to look at whether there has been an impact on volumes of Cleared USD Interest Rate Swaps at CME and LCH. Weekly Volumes Using CCPView we can extract weekly volumes of gross notional for just USD IRS for the […]