April 2015 Review – Lower Volumes
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in April 2015. First the highlights: April 2015 volumes were the lowest since November 2014 However 2015 YTD volume are up 47% from the same period in 2014 SEF Compression volumes were also down from March FOMC meeting on April 28-29 once again […]
FX NDF Trading On SEFs: April 2015 Update
It is more than a year since I last looked at FX NDF Trading On SEFs (Jan 2014) and as that was one of our Top 10 Blogs of 2014, it is long overdue for me to see What the Data Shows. April 2015 Lets start with SDRView and the latest volumes in the four largest currency […]
Data Visualisation for Swaps – a Tufte Approach
Data visualisation is meant to take something complex and make it simple and easy to understand. When I saw this in a blog recently, I immediately thought “Hey, that’s what Clarus do!” Interest piqued, I’ve begun delving into the fast-evolving field. As a Swaps-trader for over ten years, this aspect of the industry pretty much […]
What percentage of the market is in the US SDR data?
We analyse the SDR data in light of the whole market in the cleared Rates space. SDR data is shown to represent over 60% of total-market volumes at a trade-by-trade level. That’s huge! It’s funny how times change. Next month, the BIS will update their semi-annual review of OTC Derivatives. As recently as 2013 I would have to (manually) […]
March 2015 Review – Bloomberg out in front
Bloomberg are #1 for SEF liquidity in Q1 2015 whilst Tradeweb saw the highest overall volumes. We saw record USD Swap volumes reported to the SDRs in March 2015, with our review highlighting increasing compression activity. The great month for the industry was rounded-out with over 60% of volumes traded across a SEF. USD IRS On-SEF $1.56trn in notional traded across SEFs during March […]
Compression List Trading On SEFs
Compression List Trading volumes have continued on their upward trend this year and in this article I will look into the what the data shows both in terms of volumes and also SEF market share. On SEF Compression Lists By Month Lets start with an SDRView Res chart of monthly gross notionals in G4 currencies […]
Cross Currency Swaps: SEFs enjoy QE-fueled volume boost
SEFs in 2015 have seen huge increases in Cross Currency volumes, seemingly as a result of ECB QE. European credit markets are a hotbed for foreign issuers right now, and this is driving a significant shift to On-SEF trading for this asset class. The FX Effect It’s certainly not new news that EUR/USD FX is plummeting, and has been on a […]
Come on, feel the noise!
Better than an Oasis b-side, we thought what better time to talk about volatility than just after a payrolls report that saw 10 years move by over 12bp? Will the Fed in action be good for the SEF industry? I think we all know the supposition here. Volatility leads to increased trading, increased trading leads to higher […]
February 2015 Review – ICAP vs Bloomberg
Bloomberg and ICAP are fighting it out for the number one position in our latest monthly review of Interest Rate Swap volumes. We show that February looked a lot like January for both SEFs and CCPs, and that nearly 25% of risk was traded as part of a strategy. USD IRS On-SEF Broadly speaking, February 2015 looked a lot like […]
What is the Impact of the BGC Acquisition of GFI?
After a struggle over many months BGC succeeded in getting majority shareholder agreement for its hostile takeover of GFI as announced in the press recently. CME had pulled out shortly before so I had expected this. Using SEFView we can get a sense of the purpose of the acquisition. First, let’s look at total SEF volume. You […]