Credit Derivatives on single-names (CDS, TRS)
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Aug, 27
Volumes in EUR Swaptions
June 2024 saw the largest number of EUR Swaptions reported to SDRs in the past three years: Showing; My interest in EUR Swaptions was sparked by a recent Risk.net article; I’m not sure our data shows much support for the idea that it was straddles specifically that led to a spike in volumes. Further complicating […]
Read moreJul, 3Swaption Volumes by Strike Q2 2024
This blog follows on from the interesting activity we have seen across Options markets so far this year. Take a look if you have missed anything: I have written previous Swaption reviews after large, directional moves in Rates. Q2 2024 was a little bit different, although it would still be characterised as a “volatile” quarter. […]
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May, 28
Swaption Volumes by Strike Q1 2024
Time to update and revisit one of our most interesting 2023 blogs – Swaptions: Swaptions showcase a different use case for SDR data, and highlight why data augmentation is necessary. Straddles Are Back! My previous look at 2023 trade counts highlighted: As soon as we noticed this, we set our sights on identifying Straddles again […]
Read moreMay, 7Most Active Names in Credit Derivatives – April 2024
More than six months have passed since I last looked at the most active names in CDS and TRS, so high time to take a look at recent data from US SEC Securities Based Data Repositorys (SBSDRs). CDS on Sovereigns Using SBSDRView, we can find the most active sovereigns for CDS trades in April 2024. The above list was a […]
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Nov, 29
Time Series of Swap Prices and Volumes
Analysing existing datasets in new and novel ways, often throws up interesting insights and questions which help with our understanding of the real world and in turn help us to make better decisions. Today I wanted to showcase a new feature in SDRView, that demonstrates this, the Ticker Summary View. SDRView has transaction level data […]
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Nov, 22
Swaption Volumes by Strike Q3 2023
Sometimes this blog would benefit from another Chris Barnes or Amir Khwaja! It has taken me until the tail-end of 2023 to revisit one of the most popular topics on the Clarus blog – Swaptions: I do not know which of the ~85 blogs I should not have written since I last wrote about Swaptions, […]
Read moreOct, 24Term SOFR and BSBY Volumes – October 2023
I last looked at Term SOFR and BSBY Volumes in May2023, so today I will look at the YTD 2023 data trends for these indices, and as before seperate Term SOFR (published by CME) from Average SOFR (NY Fed). A one-sentence summary is that “Term SOFR Swap volumes are down, though still far higher than Average […]
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