SEF: Week 34 (A new perspective on the usual numbers)
Last week marked the first full week of SEF package trades. Amir Khwaja explained in his blog today how this has in fact accounted for an increase in the percent of On-SEF trades. So lets take a look at the trend in SEF activity. First, lets look at the previous 4 weeks of SEF data. OVERALL […]
SEF Package Exemptions, So Far So Good
Given that it is now one week since the first of the IRS Package exemptions expired on May 16, I thought I would look at the data. We know from our blog, SEF:Week 32 (Final Week Before Packages) that from May 16, the first of the package types, those where all components are MAT, are no […]
Tick Data for Swaps: What is now available?
If you read my blogs, you will know that I am a true believer in the benefits of the real-time public dissemination available from US Swap Data Repositories. Today I want to focus on a specific aspect; Tick Data. Tick Data is widely used in Equities and Futures markets. To use just one topical example; […]
SEF: Week 33 (Has the Swap market moved to Futures?)
For years now we’ve been hearing about the “Futurization of Swaps”. It’s always been difficult to pay much credence to it, as in our collective heads we always compare it to a world of Swaps that has trillions of notional. Now that we have swaps traded on SEFs, we can put this in some kind […]
Bloomberg SDR and SEF: What can we now see?
Following on from yesterday’s article, Bloomberg SDR is now Live, I will look at what we can learn from the first trading days data. Using both our SEFView and SDRView products. First a quick re-cap on these. SEFView SEFView sources data from each of the 20+ SEF websites. This data is published at the […]
SEF: Week 32 (Final Week Before Packages)
Over the past week, we got final word on the plan for packaged trades on SEF. We now have a phased-compliance timeline as follows: May 16 – packages where all components are MAT. June 2 – packages with at least one MAT swap combined with other swaps that (while not MAT) are subject to clearing requirement […]
Bloomberg SDR is now live
Today Bloomberg went live with its Swap Data Repository. See www.bloombergsdr.com This means there are now four SDRs in the US; DTCC, ICE, CME and BBG. See our SEF & SDR Summary Table However for Rates & Credit the only one that has had meaningful volume is DTCC. That changed today (May 12) with the […]
SEF Packages, Swap Curve trades, do we need a new zero?
Motivated by the May 1, 2014 CFTC announcement on the ending of the SEF Package exemption, I decided to look at the package transactions that will shortly be mandatory to trade on a SEF. For May16 these are packages where each component is a Swap that is MAT and for June 2 where one component is a Swap that […]
EMIR and CFTC SDR Cross Currency Swap Volumes
Following on from last weeks article on EMIR Trade Reporting and Public Data, I wanted to look at a specific product (Cross Currency Swaps) and see what the EMIR data shows and how this compares to the Dodd-Frank Act data. Cross Currency Swaps are an important global product with long dated trades in currency pairs […]