Swap Curve and Fly Trading: What goes in, must come out
Curve and Fly trading looks like a simple old game – existing trades are ripped-up and replaced with spot-starting hedges. So why don’t people do that across the Bloomberg SEF? Curve and Fly Trades Today, we indulge in a little bit of data mining for our recently launched Curve and Fly feature. This is a fascinating […]
Inflation Swaps: What the Data Shows
As LCH SwapClear plans to start clearing Inflation Swaps I thought I would look at what the US SDR data shows for this product. While this is only part of the global market, it still provides very interesting insight into the market. Summary Inflation Swaps trade in USD, EUR, GBP Gross Notional volume averages $2 billion […]
SEF Package Relief Runs Out Again
Happy Valentines Day. Love, The CFTC The next phase of expanded MAT-package interpretations is upon us. Back on November 10, the CFTC released their letter outlining their most recent extended package relief for certain swap packages. The next deadline is now upon us, February 15. SUMMARY The table below is my little summary of the package relief […]
Clearing Certainty (ESMA’s Version)
I think ESMA has got it wrong when it comes to Pre-Trade Credit Checking / Certainty of Clearing. For starters, Pre-Trade credit checking is discussed under chapter 9 “Post-Trading issues” of both ESMA documents (consultation paper and draft RTS). I can see how it happened: the post-trading issue is that the clearing house does not […]
January Volumes in Swaps, Compression To the Fore
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in January 2015. First the highlights: Decent volumes but lower than December. Surprising given the large price moves, with 30Y down 50bps and 9 out of 22 days with >5bps moves in the 5Y. Global USD IRS volumes show LCH SwapClear with […]
HFT in the Swaps market – it’s a good thing!
I thought it was very interesting this week that Commissioner Giancarlo mentioned the potential emergence of HFT in the swaps trading landscape. From a quick read of his remarks, it sounds like he is not a great supporter of continuous CLOB trading as the only mode of swap execution. But what if enabling HFT in […]
Swaption Volumes in 2014
As it is now one year since my last blog on this topic, see Swaptions Trading on SEF Platforms, I thought I would take a look at Swaption volumes in 2014. EUR & USD Swaptions First using SDRView Res we can select trade counts per month. Which shows that: Jan 2014 was the highest volume […]
A Review of 2014 US Swap Volumes
In this article I will review 2014 Swap volumes and do so in a similar format to my July article; A Six Month Review of Swap Volumes. As usual our universe is not global but specific to the United States. It consists of trades reported to US Swap Data Repositories, either executed On a Swap Execution Facility or […]
December Volumes in Interest Rate Swaps
Following-on in our monthly review series, let’s take a look at how volumes developed during the month of December. The results are quite surprising in the end. USD IRS On-SEF From our October review, we know that October 2014 was a record month for SEF trades, mainly down to such extreme market volatility. What we […]
Compression in USD Swaps
We hear a lot about how much notional is outstanding in OTC Derivatives, and the industry efforts to reduce this burden. We’ve written before about compression and compaction, and what the exact economic and operational benefits are. Now, we can look across the Clarus product suite and augment the data to identify which trades done on-SEF […]