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 […]