SEF: Week 13

Quiet week, and as for myself, I am enjoying a holiday at the beach for a few days.  That doesn’t stop the machine from cranking out numbers.  See for yourself. DATA First the weekly numbers.  Clearly impacted by the Christmas holiday. Next the week-on-week numbers.  Draw your own conclusions here: CARTOON So I had some […]

SEF: Week 12

Happy Holidays from Clarus Financial Technology.   While we’re about to settle in for a short winters nap, we’ve been cranking out some new software in the run up to the holidays.  Of primary interest is that we have added FX to our Researcher version of SDRView.  Check it out. We’ll keep this week brief […]

SEF: Week 11

    We are 11 weeks on from the October 2nd start date of SEF’s.  Bit of a quiet week, outside perhaps the TrueEx announcement of performing their first trade compression cycle, what TrueEx have called PTC (portfolio trade and compaction).  Tradeweb had announced something similar towards the end of November, but I was excited […]

2013, The Year The Swap Market Changed

As 2013 draws to a close, I thought I would summarise what has been a momentous year in the history of the Swap market. Five years on from the 2008 Financial Crises, we finally saw the implementation of major regulatory reforms. This article will look predominately at the US Dodd-Frank Act reforms in 2013 and […]

Compression, SDR and TrueEx SEF

My interest in writing this article was sparked by the 11 December press release from TrueEx announcing trades executed on its Portfolio Terminations and Compactions platform. So I decided to look at the past 3 days of data from the US DTCC SDR. We have been thinking about adding Terminations activity in SDRView, so as a […]

Cancel and Replace transactions in SDRView

Yesterday we released Cancel and Replace transactions in SDRView Professional and this article will provide some detail on this. Background The CFTC Part 43 Rule for Real-time Public Reporting of Swap Transaction data, allows for the Cancellation and Correction of previously disseminated transactions. It is inevitable that any system that publishes real-time messages, needs to have […]

SEF: Week 10

  Week 10 is in the books.  Javelin and Tradeweb modified their MAT filings (streamlining them), Bloomberg filed their MAT, and ICAP had its annual celebrity day.  Clients have now been exposed to SEF’s for 10 weeks.  So whats happening with the numbers?     THE NUMBERS First the raw numbers.  These are all products […]

Mexican Peso Interest Rate Swaps

CME in a recent SEC filing noted its intention to start offering Clearing for MXN TIIE Interest Rate Swaps. So I decided to look at what the data in the DTCC USD SDR shows using SDRView.   Weekly Volumes Lets start with weekly volumes using SDRView Researcher, for the prior 3 months. From this we can […]

SEF: Week 9

Week 9 was a short one here in America.  The tryptophan hit the market as usual on Thanksgiving day, and lasted largely through the rest of the holiday week. The Numbers FRA la la la la…… Normalizing to exclude FRA’s: WE GOT THE DATA As we build up the week-on-week data, we can see some […]