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"Large volumes of 4Y5Y and 8Y9Y curve trades in USD OIS swaps"

Curve trades involving an exotic combination of tenors are often executed by market participants who have identified and are exploiting a curve dislocation. Enterprai identifies curve and butterfly packages in real-time and keeps you updated about latest market developments in OIS and LIBOR swaps.

Figure 3. Weekly volumes of top 10 curve trades in USD OIS market, expressed in DV01 terms. Exotic tenor combinations are highlighted in yellow. Data accumulated over trades executed in the week of Jul 4, 2022.

“Unwinds of 10Y outright IRS positions are 2σ large over the last week”

Understanding how much traded volume supports each market move is essential in equity markets. Enterprai is making this possible for the first time in OTC markets.

Figure 4. IRS market volumes in the context of swap curve changes. Two lines depict the swap curve shape (1Y-10Y) respectively on Jun 1, 2022 and Jul 8, 2022. Volume bars represent the amount of fixed to float swaps executed in the respective tenor, broken down into new trades and unwinds.

“IRS market positioning for Sep FOMC is 2σ large with 55bps of hikes currently priced in”

With the disappearance of FRAs central bank forward OIS swaps are becoming an increasingly popular way for market participants to express their view on monetary policy changes. Enterprai is the only place where you can learn about market activity in this instruments, including information on position unwinds.

Figure 5. Open interest in central bank forward OIS swaps targeting Sep 2022 FOMC overlaid with the swaps market expectation fo that meeting.

“Recent build up of downside risk for 2.8 strike in 10Y swaptions”

Learn about the swaptions market sentiment by monitoring  what strikes are traded and how the risk has been accumulating over time.

Figure 6. Build up of swaption positions expiring between Jul 8 and Aug 8, 2022 at 2.8 strike. Size of position is expressed in terms of DV01 of the underlying swap. X-axis reflects the execution date of the swaption trade.

"CTAs flipped their positions in USD rates from short to long"

Track and predict the behaviour of CTAs to understand how their flows might impact your investment view across a broad set of asset classes: FX, FI, equities and commodities. Our proprietary model is transparent and proven to accurately replicate the performance of funds included in SocGen's trend index.

Figure 7. Daily CTA fund positioning in USD rates in May and June 2022. The y-axis reflects the fraction of total portfolio holdings allocated to a given asset where the sign is an indication of the direction of the position, where positive stands for long and negative for short. Values are updated daily.