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 […]
July 2016 Swaps Review – MXN Clearing and JPY SEF Compression
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in July 2016. First the highlights: On SEF USD IRS in July 2016 volume was 20% lower than June (YTD high) USD OIS Volumes were also down from May and June USD Swap Curve was up 10 to 15 bps below 4 years EUR & GBP volumes were […]
June 2016 Swaps Review – Volumes Up 30 to 50%
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in June 2016. First the highlights: On SEF USD IRS in June 2016 volume was 34% higher than May USD OIS volume has increased month on month USD Swap Curve dropped 30 to 35 bps across the term structure EUR & GBP volumes were higher […]
BREXIT – What is Trading after the result? Day One
This blog was updated frequently throughout the day. Now that the UK trading day is done and dusted (21:06), we’ll call it a day. The final GBP swap volumes should include all of the DMO-close related trades that have gone through the SDRs, and we’ve finished with a USD update just after 4pm New York time. Thanks for following today. See […]
May 2016 Swaps Review – Volume Down, SEF Compression & AUD OIS Up
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in May 2016. First the highlights: On SEF USD IRS in May 2016 volume was 10% lower than May 2015 The lower volumes we saw in April have continued in May USD SEF Compression volumes were up from April and similar to May 2015 USD Swap Curve pivoted up […]
April 2016 Swaps Review – LCH-JSCC Basis, Swaptions, AUD OIS
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in April 2016. First the highlights: On SEF USD IRS in April 2016 volume was > $1 trillion, down from >$1.25 trillion For price forming trades, DV01 was 16% lower than March 2016 but similar to April 2015 USD SEF Compression volumes were much lower than prior months USD Swap Rates […]
March 2016 Swaps Review
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in March 2016. First the highlights: On SEF USD IRS in March 2016 volume was > $1.25 trillion For price forming trades, DV01 was 10% lower than Feb 2016 Butterfly trade volumes were up and Outright volumes were down USD SEF Compression volumes were exceptional at >$240 billion On SEF vs […]
Feb 2016 Swaps Review – Compression Up, CME-LCH Basis Down, AUD OIS Up
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in February 2016. First the highlights: On SEF USD IRS in February 2016 volume was > $1.3 trillion For price forming trades, DV01 was 11% higher than the prior month Butterfly and Curve trades were up USD SEF Compression volumes was exceptional at >$220 billion USD Swap Rates […]
January 2016 Swaps Review – Gains and Losses
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in January 2016. First the highlights: On SEF USD IRS in January 2016 volume was higher than December 2015 For price forming trades, DV01 was 10% higher Butterfly volume was much lower than prior months USD SEF Compression volumes were back down to November levels USD Swap Rates fell 37 bps […]
2015 SEF Market Share Statistics
In this article I will look at Swap Execution Facility (SEF) volumes and market share in 2015 for Credit, FX 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. I will use this to look […]