SEF Volumes for Week 4
Four calendar weeks are in the books. A common trend is emerging. Story is really the same as last week. SAME OLD STORY CREDIT: Bloomberg continues to post the most impressive scores in this asset class, consistently accounting for 70-80% of the daily volumes and 79% for the week overall. GFI is the strongest […]
SDRFix, what do we mean when we say transparent?
Following on from my article on SDRFix, a Progress Report Two weeks after launch, I wanted to explain what we mean when we say that SDRFix is publicly available and transparent. The publicly available, requires no deep explanation. Anyone can go to sdrfix.com and see the index data. However transparent is a much used word […]
Valuation of Massive OTC Portfolios: From Milli-Seconds to Micro-seconds
In the not to distant past I can recall seeing several risk systems valuing vanilla interest swaps with individual trade valuations taking around a few milliseconds. Whilst quants might rightly be alarmed that it would take so long, when one adds in overheads which can easily occur in the integration of a pricing library with […]
SEF Volumes and Best Practices for Week 3
The third calendar week of SEF trading is completed. Recent news is that the first Made Available For Trading applications have been filed to the CFTC, so we may see SEF trading move from voluntary to mandatory in the coming months. Until then, any data on SEF volumes needs to be taken with a […]
Cross Currency Swap trades in Swap Data Repositories
I thought it would be interesting to look at a different product than Interest Rate Swaps and one that is not Cleared, so this article will look at Cross Currency Swaps. My interest was prompted by one of our SDRView Professional users requesting that we add a new view for Cross Currency Swaps. When I […]
What the SEF Volumes Show: Week 2
Week 2 of the new order in OTC derivatives execution is behind us. It’s been labeled by the media as anything from a false start, to a whimper, to a huge success. Of course there are no mandatory trades made available for trading, so the results should probably be construed as interesting at best. […]
USD Swap Prices on SEF platforms
Following on from my article SEF, Oct2, What does the SDR Data show? I wanted to take a further look at what else we can observe in SDRView using the DTCC real-time price dissemination feed source. USD IRS Prices on SEF platforms From my last article you will know that we now have a SEF On and […]
SEF, Oct 2, What happened to EUR IRS trading?
Following on from my article SEF, Oct2, What does the SDR Data show? I wanted to take a further look at what else we can observe in SDRView using the DTCC real-time price dissemination feed source. Whats happened to IR Swaps in EUR, GBP & JPY? Daily Volumes in these three major currencies seem to have dropped […]
What the SEF Volumes Show
The first calendar week of SEF trading is behind us. If you are like me, you are wondering where the liquidity was / who attracted the most volumes over this period. I was inspired by Kevin McPartland’s blog on SEF market data, so I have gone out and collated the data from the various SEF […]
SEF, Oct 2, What does the SDR data show?
As yesterday was the first day for Swap Execution Facilities (SEF) trading, I decided to look at what the data in a Swap Data Repository (SDR) can tell us about what happened on Day 1. The DTCC real-time public dissemination feed has a field name “Execution Venue”, which prior to Oct 2 always had the value […]