What You Need to Know About CNY Swaps
CNY Swaps are the 9th most traded interest rate swap at CCPs. The market is quite standardised, with 90% of volumes in just three tenors. Clearing is split between Shanghai Clearing and LCH SwapClear. 60% of the market is now cleared. When I took a look at trends in 2019 for swaps market data, I […]
SGX FlexC FX Futures
In March 2019, just over 8 years after its launch, SGX shut down it’s OTC Financials Clearing business. However SGX continues to innovate and has focused on the futures market. One example of this is the launch of FlexC FX Future, a product which aims to replicate a Non-Deliverable Forward and capture liquidity/volume from the […]
Overview of the Hong Kong Trade Repository
Hong Kong started interim trade reporting in August 2013, with Legislative vetted rules implemented on 10 July 2015. Unlike other jurisdictions in Asia, HKMA built the trade reporting solution themselves. The Hong Kong Trade Repository (HKTR) was built by their subsidiary Hong Kong Interbank Clearing Limited (HKICL). HKICL also built/manages Hong Kong’s payment infrastructure on […]
MAS plays catch up with proposed trading obligation mandate
MAS is playing catch up and proposing to mandate trading of USD, GBP and EUR fixed float swap trades in organised markets, aligning themselves with the EU and US regulators. The proposed tenors covered are the most liquid (under 10Ys) on the respective currencies curve. However no JPY, AUD or SGD trading mandate yet. Proposed […]
AUD Swap Markets in August 2017
Time to re-acquaint ourselves with the world’s 4th/5th largest cleared swap market – the mighty Aussie dollar. August is traditionally a quiet month, so does quality come to the fore when execution is more difficult in thin markets? About 30% of new risk is transacted on a SEF. We take a look at the volumes. […]
APRA – Margining for non-centrally cleared derivatives
It is almost two years since I wrote about the Final US Rules on Margin for Non-Cleared Swaps. How time flies and since then we have seen implementation of this rule in the US and equivalent rules and regulations in many other jurisdictions. Today I will look at the Australian regulation recently made final by […]
AUD Swaps: What Does the Data Show?
Over the last few years we have published many blogs on the AUD Swap market. Amir also includes an AUD summary in his monthly swaps review. The DTCC does publish some market info from the Australian SDR, but the aggregated nature of this data does not allow for a meaningful analysis of what is actually […]
KRW and INR Swap Clearing
The CME have announced they are planning to clear Korean Won (KRW) and Indian Rupee (INR) interest rate swaps in the near future. I wanted to have a look at what these markets look like. So first things first, I grabbed all trades for non-G4 swaps on the US SDRs, year-to-date. Did this for both […]
LCH-JSCC Basis: An Update
My blog last week on LCH-JSCC Basis in JPY Swaps has been massively popular and now that we have another week’s data under our belt, it is worth an update. Indicative CCP Basis Quotes Let start with Tradition’s page as of Friday April 22, 2016. Showing, Yen IRS quotes at JSCC, Yen IRS quotes at LCH, LCH/JSCC Basis and 6v3 […]
LCH-JSCC Basis in JPY Swaps
Last week a number of our readers alerted us to the sudden formation of a Basis in Yen Swaps between LCH and JSCC, which is interesting to say the least. So lets look at what the data shows. Indicative CCP Basis Quotes Tradition kindly sent us a screenshot of their new page. Showing, Yen IRS dealer quotes at JSCC, […]