February 2017 Swaps Review

Continuing with our monthly Swaps review series, let’s look at volumes in February 2017. Summary: SDR USD IRS price-forming volume > $2 trillion gross notional 8% lower than a year earlier On SEF vs Off SEF at 65% to 35% SEF Compression activity in USD IRS > $230 billion USD OIS volume at > $3.3 trillion is massively up  (3 times Feb […]

January 2017 Swaps Review

Continuing with our monthly Swaps review series, let’s look at volumes in January 2017. Summary: SDR USD IRS price-forming volume > $2.3 trillion gross notional 21% higher than a year earlier On SEF vs Off SEF at 62% to 38% is lower than average; 65% to 35% SEF Compression activity in USD IRS was > $220 billion USD OIS volume at […]

2016 SEF Market Share Statistics

In this article I will look at Swap Execution Facility (SEF) volumes and market share in 2016 for Credit, Foreign Exchange and Interest Rate Derivative asset classes. Clarus SEFView collects daily volumes published by each SEF and normalises this data to allow meaningful comparison and determination of market share statistics. Summary: CRD Index, Option and […]

December 2016 Swaps Review

Continuing with our monthly Swaps review series, let’s look at volumes in December 2016. Summary: SDR On SEF USD IRS price-forming volume >$1.3 trillion gross notional 13% higher than a year earlier SEF Compression activity was >$350 billion in USD IRS The highest month on record and 66% higher than a year earlier USD OIS surprisingly has Off SEF volume up and On […]

November 2016 Swaps Review

Continuing with our monthly review series, let’s review Swap volumes in November 2016. SDR highlights: On SEF USD IRS price-forming volume in November was > $1.5 trillion Almost 50% higher than the prior month USD Swap Rates were up 50 bps for 10Y, with a steeper curve SEF Compression activity was > $250 billion in USD IRS On SEF EUR, GBP, […]

USD Swap Volumes after Nov 8, 2016

Following on from US Election Live – What is Trading, lets look at USD Swap volumes in the past two weeks. Number of Trades Starting with SDRView and the weekly trade counts reported by US persons. Showing On SEF Cleared USD IRS price-forming: For the eight weeks prior to Nov 7 Averaging 3,700 trades a week Jumping to […]

October 2016 Swaps Review

Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in October 2016. First the highlights: On SEF USD IRS volume in October at >$1.6 trillion was 12% lower than September SEF Compression activity was $200 billion in USD IRS, same as prior month USD OIS volume at >$1.76 trillion was down from >$2.4 trillion But USD OIS […]

September 2016 Swaps Review

Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in September 2016. First the highlights: On SEF USD IRS Septmber 2016 volume was 5% higher than August Curve trade volume was down and Outright up from prior month SEF Compression activity was a healthy $200 billion in USD IRS USD OIS Volumes at >$2.4 trillion, again exceeded […]

August 2016 Swaps Review

Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in August 2016. First the highlights: On SEF USD IRS in August 2016 volume was 9% higher than July Curve trade volume at $96m DV01 was much higher than usual SEF Compression activity jumped to over $260b, the highest since June 2015 USD OIS […]