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18-Jun-2025 Rates IM optimization Background Several points are listed here for convenience. Feel free to skip to the next section now and refer to them later. According to the ISDA margin survey, uncleared SIMM IM collected exceeded $350 billion at the end of 2024, a large slice of which is incurred by rates derivatives portfolios. Capitolis kindly confirmed that […] Request summary
11-Jun-2025 SOFR swap SEF volumes – 2025 to end May This blog follows the recent pattern of intra-year SOFR swaps SEF volumes blogs to complement the full-year reviews in 2023 and 2024. Given recent market dynamics, I was curious about the activity levels so far in 2025. Please note: SDRView includes MTFs and OTFs as well as SEFs in its platform scope.  For brevity, we […] Request summary
4-Jun-2025 Swaption volumes by strike – Q1 2025 This post looks at USD swaptions activity in Q1 as part of our regular quarterly coverage, the last of which was Swaption Volumes by Strike Q4 2024. Swaptions basics If you are uninitiated in swaptions, here are some basics: Now, on to the post. Swap market context Q1 2025 saw the following daily price moves […] Request summary
28-May-2025 Most active names in Credit Derivatives – April 2025 After about a year since our last blog on this topic, it is high time for another look at the most active names in CDS, using data reported to US SEC Securities Based Data Repositories (SBSDRs). CDS on sovereigns Using SBSDRView, we can find the most active sovereign CDS trades in April 2025, starting with USD activity. Table 1 – […] Request summary
21-May-2025 2024 SEF volumes and share in SOFR swaps SOFR Swaps at D2D venues were usually spreadover, butterfly, curve switch or CCP switch packages. On D2C venues, spot-starting SOFR swaps were dominated by outright trades. As well as spot-starters, forward, IMM and MAC SOFR swaps also trade in significant numbers on D2C venues (unlike D2D venues). Continue reading for the charts, tables, and details. Background This post iterates, for […] Request summary
14-May-2025 2024 US SDR-Reported IR Compression Key takeaways: Data background For 8+ years, SDRView data has included the package type field to allow compression to be broken out from outright and other package types.   In late 2022 we used the CFTC reporting upgrade to immediately add platform id which allows platforms’ compression market share to be analyzed.  Platform id values consist […] Request summary
14-May-2025 2024 CCP Volumes and Share in CRD and FXD A review of Credit Derivatives (CRD) and FX Derivatives (FXD) volumes and market share at Clearing Houses (CCPs) in 2024. For CRD – index, single-name and swaptions: For FXD – NDF, options, forwards and spot: All the charts and detail from CCPView. Credit Derivatives Volume First, we look at USD CDX, single-name CDS and Swaptions. Chart 1 – […] Request summary