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 […]
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 […]