Swaps Review

BREXIT – Day Four, What is Trading?

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All seems calm in the markets overnight. We’ll continue to update this blog throughout the day with observations on volumes and prices as activity picks up. Just hit F5 to refresh. 05:39 LON – USD Overnight Wrap Swap markets appear to have been calm overnight. USD Swap rates are less than 1 basis point higher […]

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BREXIT – Day Three, What is Trading?

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This blog will be updated throughout the day, so please remember to refresh the page (just hit F5). Following on from our BREXIT -What is Trading after the Result? Day One, and Day Two blogs, we will again be keeping a close eye on trade prices and volumes reported to US SDRs. 08:53am LON – […]

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BREXIT – Day Two, What is Trading?

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This blog will be updated throughout the day, so please remember refresh the page. Following on from our BREXIT -What is Trading after the Result? Day One, which was last updated on Friday 24 June at 21:15pm after NY close, we will agin today be keeping a keep a close eye on trade prices and volumes […]

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BREXIT – What is Trading after the result? Day One

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Remember to hit F5. It’s being updated frequently right now…. Best to just present the results here without too much comment. Here we go: 09:20am – GBP Swaps Recap We’re beginning to get a better picture of activity in GBP swaps now. Charts below. 11 trades from 2y all the way out to 30y. 30y […]

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May 2016 Swaps Review – Volume Down, SEF Compression & AUD OIS Up

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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 […]

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April 2016 Swaps Review – LCH-JSCC Basis, Swaptions, AUD OIS

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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 […]

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March 2016 Swaps Review

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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 […]

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Feb 2016 Swaps Review – Compression Up, CME-LCH Basis Down, AUD OIS Up

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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 […]

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January 2016 Swaps Review – Gains and Losses

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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 […]

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2015 SEF Market Share Statistics

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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 […]

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