June 2015 Review – Clients start trading CME-LCH Basis
A typical month in swaps? Far from it! These were the highlights: A record ever month for SEF trading. A big increase in client flows. The data suggests that some clients used the IMM roll to trade the CME-LCH basis, in particular on Tradeweb. Bloomberg saw some huge compression flows in MAC-dated swaps after the IMM roll. Consolidation of […]
May 2015 Review – CCP Basis and Increased Client Flows
A lack of market volatility didn’t prevent healthy volumes this month. CCP Basis trading emerged in the D2D market. In USD IRS, extensive activity in Butterflies led to a rebound in volumes from the April lows. Most of this increase was seen on Dealer to Client SEFs, helping them to a 55% market share year-to-date. USD On-SEF […]
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 […]
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 […]
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 […]
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 […]
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 […]
November Volumes in Interest Rate Swaps
Now that November data is in, I wanted to update my blog October Volumes in Interest Rate Swaps. USD IRS ON SEF Lets start with a chart from SDRView Res showing USD IRS On SEF volumes: A disappointing month after the record volumes seen in September and October; with volumes similar to August. And the […]
October Volumes in Interest Rate Swaps
Now that all October data is in, I wanted to update my blog of Oct21, Record Volumes on SEFs in September and October. USD IRS ON SEF VOLUMES Lets start with a chart from SDRView Res. Which shows that as we expected October volumes are higher with greater than $1.55 trillion versus $1.46 trillion […]