SEF: Week 21, First Week Data

First week of MAT trading down.  Began as a quiet week, particularly given the US holiday.  As Amir Khwaja writes about in his analysis of SDR data on the first week of SEF trading, the data returned to roughly match the 4 days of activity from the previous week.  We can also see from his analysis […]

Fed Fund Swap Nuances

A few people have recently asked me about the details of USD Fed Fund Swaps. I collected some of my answers together in this post for convenience. Fed Fund Swap and OIS Swap differences Fed Fund Swaps and OIS swap are easily confused at first glance, both are swaps involving the Federal Funds rate, both […]

SEF: Final Week of Data Pre-MAT

Welcome to the world of Required Transactions and SEF Trading.  Today (February 17th) marks the first business day of mandatory SEF trading for the required transactions, as self-certified by Javelin.  Alas, I am here to recap on last week’s activity, but I intend to come back for an intra-week update to look at what has […]

FX NDFs on SEFs: A more detailed look

As we recently released FX NDFs in SDRView Professional, I decided to take a more detailed look into these than my earlier blog titled FX NDF Trading on SEFs.   Whats New? Lets start with the fact that we can now see volumes and prices for each forward tenor, in this case USD/KRW on 10 Feb […]

SEF: Week 19

So today (Monday Feb 10) I had a calendar entry for much of the day to attend the CFTC Technology Advisory Meeting via conference call.  That never happened.  I had something else to do with those 8 hours today.  The meeting of course went ahead without me. NO-ACTION Scanning the CFTC website for any outcome, […]

SEF: Week 18

Another week, another MAT application has been rubber stamped. In fact, there were two MAT applications “self-certified” last week. First up was Tradeweb, which added GBP vanilla spot-starting interest rate swaps into the mix, as well as the primary Credit contracts: CDX.NA.IG, CDX.NA.HY, iTraxx Europe, and iTraxx Europe Crossover. Later in the week, MarketAxess’ MAT […]