A sideways look at Swap Spreads
We take a look at Swap Spreads, this time by way of Cross Currency Basis swaps. We find that Cross Currency swaps are also moving sharply lower and have seen impressive volumes….. …..with increases in volumes around key price levels that have acted as support in the past. More negative Cross Currency levels would normally […]
Why the ISDA SIMM methodology is not what I expected
At the end of my article on Final US Rules for Non-Cleared Swaps, I noted that I would look at ISDA’s Standard Initial Margin Model (SIMM). On doing so, I was surprised to see the direction that ISDA is now taking, one that I did not expect. Read on to find out why. Background The ISDA […]
Swap Spreads For Dummies – The LIBOR Joke
If you’re like me, you’ve read the news on negative swap spreads and tried to sift through the reasons behind it. On the surface, it seems such a basic premise that swap spreads need to be positive – surely there is an arbitrage out there. So I set out to understand it better by seeing […]
CME-LCH Basis Spreads Blow Out
Following on from my Nov 3rd blog on CME-LCH Basis Widens Again, I thought I would look to see if anything interesting has happened since. Well it most definitely has, so lets take a look at the data. Starting with a screenshot of Tradition’s pricing page on BBG from Nov 17th. Wow! 30Y is showing 3.7 bps! An […]
Is Balance Sheet contraction driving Swap Spreads negative?
Are negative swap spreads solely caused by balance sheet contraction? There should be some hints in the data if this were the case. We look at the Open Interest in unfunded Swap Spreads by way of US Treasury Futures…. …and extend this to look at the product mix that trades between cash bonds, OTC and ETD products. […]
Australian Rates Clearing Mandate
Australian Rates Clearing Mandate now only 6 months away. LCH is the current king of AUD$ Rates Clearing ASX goes strong on the Cleared AUD$ OIS product Regulators may delay mandate start on FRAs and OIS? Will a market share split see a CCP basis spread like for USD on LCH-CME? I thought might be […]
Negative Swap Spreads – Prices and Volume
Last Thursday was an exceptional day for Swap Spreads (a.k.a Spreadovers) in the US. We saw some large price moves, and these were significant enough for their increasingly negative levels to hit the mainstream financial press here, here and here. Prices As we can see in the chart below, Swap Spreads have been on a […]
What is the Impact of the ICAP and Tullet Deal?
The recent announcement of the ICAP and Tullet deal (see ICAP’s statement) has resulted in a lot of press coverage, see Financial Times (subs required) or The Guardian or Bloomberg for details. The transaction will result in Tullet taking over ICAP’s brokerage business (with ICAP retaining a minority stake in the Tullet Prebon Group) and ICAP focusing on its […]
What I Learned at FIA Expo
Good event last week in Chicago. I thought I’d summarize what I learned. Day 1: Keynote by Chairman Massad The day began with some personal excitement. The Chairman and other Commissioners have been very good about giving “shout-outs” to Clarus on our efforts with enriching the public swaps data. Just the prior week, the Chairman […]
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 […]