SEF: Week 8 In Numbers

Week 8 is in the books.  For this week, I set out to enhance the SEF reporting to be more similar to the Clarus SDR reporting.  That is, I was hoping to be able to readily slice and dice the SEF data so I could look at the results by SEF, currency, asset class, product […]

Swaptions Clearing, A More Detailed Look

Last week at SEFCON IV in NY, CFTC Chairman Gary Gensler in his keynote stated that Swaptions were the largest Interest Rate product not currently being Cleared. This triggered me to think about updating my last blog of July 2013, see Swaptions Clearing, Why is it Important?   Trade Volumes Using SDRView to look at […]

Week 7 SEF Statistics

Welcome back for this weeks edition.  This week will be short on commentary but long on data.  I usually have the liberty of a handful of hours to collate and prepare comments on Monday, but today I had the pleasure of attending SEFCON IV which took away some of my free time. THE DATA Friday […]

Analysis of SEF Activity for Week 6

Week 6 of SEF trading is completed and we have some interesting statistics in this weeks edition. LETS GET STARTED First, the headline numbers across the board.  Remember everything I’ve quoted is in 1mm USD equivalents: EX MARKS THE SPOT Similar to most weeks, there is quite a lot of activity in FRA’s.  Assuming like […]

Push, Ping and Charm

Last week we announced our CHARM product with a press release titled, Swap Margin Check in 10 milliseconds. In this article I will provide the detail behind our thinking. CCP Mandatory Clearing of Swaps in the US, means that CCPs have to perform a Clearing Acceptance Check, which requires first checking that the executed trade submitted to […]

FIA Chicago Expo: Day 2

Day 2 of FIA Expo is complete, and it was another good one. ATTENDANCE Second days of conferences are typically less-attended, I would guess for the following reasons: People get their meetings done early and catch flights back home They can’t afford to be out of the office that long Day 1 party takes a […]

FIA Chicago Expo: Day 1

Day 1 of the FIA Chicago Expo is complete.  I’ll recount what I can remember of it! OPENING SESSION:  GENSLER I came in mid-way through Chairman Gensler’s speech in the morning (had to check my coat, get a coffee, and ran into some folks en route).  I’ve seen the Chairman speak before and I’m not […]

FIA Chicago Expo: Day 0

The annual FIA Expo event is in Chicago this week.  Officially it is a two-day event, commencing with a dinner on Tuesday, and running through Thursday.  Days 1 and 2 refer to Wednesday and Thursday, so I suppose today (Tuesday Nov 5) is day 0? The FIA took the liberty of organizing an IT SEF […]

Analysis of SEF Activity for Week 5

  The fifth week of SEF activity is completed.  Once again we have collated the various SEF reports.  Here is this weeks summary (click on the picture for a larger version) : THE DATA BIG NUMBERS As I mentioned in last weeks report, these numbers seemed to be skewed by FRA’s, particularly the TPMatch and […]