LCH-CME Switch Trades and Margin Management
Recently we have started to see stories on large LCH-CME Switch trades (aka Basis Swaps) starting to be traded. See LCH-CME Basis Swaps primed for Growth (trial required) and Trad-X volumes hit record highs as platform introduces CCP position switch service. The first article highlights that $2.5b of 18M and $3b of 5Y traded in the […]
SEF: Week 38 (Examining Spread Over Treasuries)
Last week marked the end of the package trade relief for MAT swaps dealt with US Treasury securities. As of Monday June 16th, all such packages needed to be executed under the trade execution requirement. Some folks will say the entire market is driven by such packages, so we should expect to see massive changes […]
A Voyeur’s Delight: Bond Issuance and Swaps
Guest Blog Series Guest Blogger Profile: Interest Rate Swaps trader. 12+ years’ experience, European and cross markets focused Gather round and let me tell you a (hypothetical) story…… After the ECB cut rates, a friendly Debt Capital Markets executive pitched an idea to the European Investment Bank about selling some USD bonds. The EIB were […]
Why are there so many fintech startups in payments?
If you follow the FinTech Start-up scene in London, you cannot fail to notice the large number of start-ups in the payments space. A quick scan of the FinTech50 2014 list shows that twelve of the fifty firms focus on payments. These are AcceptEmail, Bottomline, Clear2pay, dovetail, GoCardLess, IXaris, Klarna, Lemonway, Paymill, Pingit, The Currency Cloud and […]
ECB June Meeting – Were EUR Swaps Traders at Lunch?
Guest Blog Series Guest Blogger Profile: Interest Rate Swaps trader. 12+ years’ experience, European and cross markets focused. When Amir approached me to guest write for the blog, I thought I would use the data to shine a light on the daily peaks and troughs of a swaps trader. After a few years trading, market […]
SEF: Week 37 (A Shakeup At The Top)
Last week proved to be quite interesting for SEFs. We saw our first bit of activity from TeraExchange, Latam SEF began to post some real activity, and dare I say Bloomberg dropped to the #2 spot on the D2C list for Interest Rate swaps. First, the data. Lets start with the usual daily activity by asset class: […]
Swap Curve and Butterfly Package trades on Bloomberg SEF
In my recent articles Bloomberg SDR and SEF and Interest Rate Swap Prices, D2C vs D2D, I looked at different aspects of the data now available to us. In this article I am going to show that we can get an interesting insight into Swap Curve and Swap Butterfly trades. (Thank you to one of our regular […]
CFTC Technology Advisory Committee Meeting on June 3, 2014
Tod presented ‘SEF Trading Overview and Participation’ at the CFTC Technology Advisory Committee meeting last week. To our delight the meeting has been recorded and is available on youtube (SEF section starts at 2.00.00) The presentation slides are available for download here, although for convenience we have embedded in this post below. SEF Trading […]
SEF: Week 36
We’re now through the 2nd roll-off of packaged trade no-action relief. As of June 2, packages containing at least one MAT product (and other swaps) are required to trade On-SEF. This has resulted in quite an active week in SEF data. Lets get to the numbers. First up, overall activity, trailing 5 weeks: Interesting to […]
Interest Rate Swap Prices, D2D vs D2C, is there a difference?
In my recent article, Tick data for Swaps: What is now available, I noted that it would be interesting to look at price tick data and to do so for Interest Rate Swaps. While in my earlier article, Bloomberg SDR is now live, I showed an intra-day chart of prices for 5Y IRS comparing DTCC […]