My Monthly Swaps Data Review for Risk Magazine was published on Friday. This looks at volumes of G4 Swaps in the first six months of 2017, showing: Strong growth at LCH and JSCC OIS volumes significant in USD, EUR and GBP JSCC volumes in JPY Swaps exceeding LCH in 2017 SEF volumes show D2C continuing […]

Continuing with our monthly Swaps review series, let’s look at volumes in June 2017. Summary: SDR USD IRS price-forming volume > $2.1 trillion gross notional, similar to a year earlier SEF Compression activity in USD IRS > $300 billion, 51% higher than a year earlier On SEF IMM Roll volume > $60 billion USD OIS price-forming volume was > $2.7 trillion, again […]

My Monthly Swaps Data Review for Risk Magazine was published today. This looks at what can be seen in price data for Interest Rate Swaps by focusing on June 14, 2017 (the most recent FOMC meeting) and three of the highest volume products: USD 10Y Swaps USD 10Y Spreadovers USD Curve/Switch/Butterfly Swaps in 10Y Trade prints, […]

Continuing with our monthly Swaps review series, let’s look at volumes in May 2017 and in a change from the usual format of SDR data, then SEF market share and then CCP volumes, I will take a product centric view. Summary USD IRS Global Cleared volume in May was $4.6 trillion (up from $3.6 trillion in April) US On SEF volume […]

My Monthly Swaps Data Review for Risk Magazine was published today. This shows that Average Daily Volume (ADV), a widely used metric for Futures and Options contracts, can now be calculated at a the same granular level for OTC Derivatives. So just as CME Group publishes the ADV for the 10Y Treasury Note, it is […]

Continuing with our monthly Swaps review series, let’s look at volumes in April 2017. Summary: SDR USD IRS price-forming volume > $1.8 trillion gross notional SEF Compression activity in USD IRS > $250 billion USD OIS volume was > $2 trillion Both USD IRS and OIS are well down from recent highs EUR IRS and OIS volume is mostly Off SEF SEF USD, […]

Highlights of this months Swaps Data Review article include: Initial Margin at LCH, CME, ICE, Eurex (as of Dec 31, 2016) ETD IM of $191 billion and OTC IM of $171 billion With ETD and OTC splits for each of the four CCPs LCH SwapClear Client IM for the first time just exceeded House IM SwapClear […]

Continuing with our monthly Swaps review series, let’s look at volumes in March 2017. Summary: SDR USD IRS price-forming volume > $2.5 trillion gross notional The highest month ever and 23% up from a year earlier SEF Compression activity in USD IRS > $320 billion The second highest month on record USD OIS volume at > $4.5 trillion is up 33% from previous high […]

My monthly Swap Data review was published on Risk.net, see here for the article. (no subscription required)

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 […]