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 […]
SEF MAT Week One, What does the data show?
Now that the first weeks trading after Made Available to Trade determination for Interest Rate Swaps on 15-Feb-2014, is over, I will look at what the data shows. 80% or 35%? First a brief digression. Risk.net on 20 Feb 2014, published an article Cleared US dollar swap volumes drop 80% on first day of […]
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 MAT Feb18 Day2, What does the data show?
In yesterday’s article, SEF MAT Feb17, What Does the SDR Data Show, I promised a follow-up today. Assuming you have read that piece and if not I recommend you do so first, here is the follow up. USD Interest Rate Swaps on Feb 18 As the first US trading day after Make Available to […]
SEF MAT Feb17, What does the SDR data show?
As the first Made Available to Trade for SEF trading came into effect on Feb 15, 2014, due to the Javelin submission, I decided to look at the data as reported to the DTCC US SDR as shown in SDRView. What is now Mandatory to trade On SEF? First a quick re-cap: Interest Rate […]
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, […]
Intra-Day Swap Prices – What Can We See?
We recently added a new feature to SDRView Professional, which for the first time allows us to see the intra-day price behaviour of Swaps. This article will present and discuss what we can see from this. USD Interest Rate Swaps Lets start with USD IRS traded On SEF on 3-Feb-2014. The chart shows: the […]
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 […]