SEF: Week 17

This past week we had the inclusion of TrueEx’s MAT into the CFTC list of required trades under the execution mandate.  The CFTC seem to be doing a good job collating the list of required transactions into a table, found on their website here.  Consulting firm ETrading Software has also done a good job providing […]

CDSIndex trading on SEF Platforms

As we recently released the CDSIndex product in SDRView Professional, I decided to look at what the SDR data shows.   CDS Index NA Lets start with a chart of the daily volumes on 24 Jan 2014, of the major North American indices; IG, HY and EM. This shows the following: IG 5Y (Dec18) has […]

SEF: Week 16

Game on The big news last week was the CFTC certification of the Javelin MAT application.  Hence, the following fixed notional, fixed/float interest rate swaps will be subject to the trade execution requirement effective Monday February 17: USD Libor, spot starting, standard tenors (2, 3, 5, 7, 10, 12, 15, 20, 30Y) USD Libor, IMM start, standard […]

Swaptions trading on SEF platforms

As we have now released Swaptions in SDRView Professional, I wanted to re-visit parts of my article “Swaptions Clearing, A More Detailed Look” and this time focus on trading On SEF versus Off SEF.   USD Straddles – ON SEF Lets start with a chart of On SEF USD Swaption Straddles showing Notional vs Expiry for […]

JSCC and Clearing of Yen Interest Rate Swaps

For a while now I have wanted to look into what is happening outside the US in terms of clearing of interest rate swaps. The news late last year that Japan Securities Clearing Corporation (JSCC), was awarded Clearing House of the Year by Asia Risk magazine, reminded me of this intention, so I decided to […]

SEF: Week 15

Holidays over, we seem to have reverted to the mean for the interim phase of SEF implementation.  So, the snoozefest in the middle of the snoozefest is over. We should, however, be receiving some news this week to confirm that prime time will be coming in February.  It would seem that by Thursday of this […]

FX NDF Trading On SEFs

As we recently added the FX Asset Class to SDRView, I took a look at what the US DTCC SDR data shows for Non-Deliverable FX Forwards trading with respect to On SEF vs Off Facility. BRL, INR, CNY, KRW Lets start with a chart of volumes from 6 January 2014. From which we can observe […]

SEF: Week 14

Happy New Year to all of our readers.  Another quiet week with the New Years holiday; and the numbers prove just that.  I would expect some reversion to the mean in the coming week, with perhaps some proper ramping up later in the month in advance of the expected on-time MAT in mid-February. NUMBERS For […]