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 […]
Review of 2015 US Swap Volumes in SDRs
In this article I will review 2015 US Swap volumes as reported to US Swap Data Repositories (SDRs). 2015 was an interesting year, not because of market structure change; this having already been implemented in 2014, but due to increased volatility as the Fed “will-they-wont-they-when-will-they” played out. The summary: On SEF vs Off SEF volume trends […]
December 2015 Swaps Review
Happy New Year to our readers. Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in December 2015. First the highlights: On SEF USD IRS Dec 2015 volume was similar to Nov 2015 With Outrights and Curve trades higher, while Spreadovers and Butterflys lower The Fed Rate Rise on Dec 16 had […]
November 2015 Swaps Review – CME-LCH Basis Up, LCH Vols Up, SEF Compression Down
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in Nov 2015. First the highlights: On SEF USD IRS Nov 2015 volume was similar to Oct 2015 and up 25% compared to Nov 2014 USD SEF Compression volumes were down 50% from Oct and the lowest since April 2015 GBP & EUR […]
October 2015 Swaps Review – Wins for LCH, Trads & Tulletts
Limited market moves didn’t necessarily dampen trading volumes Despite a widening CCP Basis, volumes in the hedging of this price differential have materially decreased Whilst LCH have increased their market share of USD swaps in the Client Clearing space For the SEFs, both Trads and Tulletts enjoyed very strong months Market Moves Well, talk about a […]
September 2015 Review – More of the Same
Continuing with our monthly review series, let’s take a look at US Interest Rate Swap volumes in Sep 2015. First the highlights: On SEF USD IRS Sep 2015 volume was >$1.2 trillion, Up from August and similar to July SEF Market Share remains the same as YTD Bloomberg in front with 30%, Tradeweb 23%, IDBs in mid-teens […]
Basis Swap Volumes
For a while I have wanted to look into more detail at Interest Rate Basis Swaps, which are an important but little noted product type. So in this article I will look at what the data shows in terms of volume and trends. First the highlights: Basis Swaps are the fifth-largest USD IR product $230 billion […]
August 2015 Review – What Summer lull?
Our loyal readers know the form by now, so let’s kick straight into our monthly review of all things Swap and SEF-related. The highlights: American markets successfully fought off the Summer lull, aided and abetted by significant volatility in the second half of August. SEF Volumes were 50% higher than last August in USD swaps. […]