SEF: Week 36
We’re now through the 2nd roll-off of packaged trade no-action relief. As of June 2, packages containing at least one MAT product (and other swaps) are required to trade On-SEF. This has resulted in quite an active week in SEF data. Lets get to the numbers. First up, overall activity, trailing 5 weeks: Interesting to […]
Interest Rate Swap Prices, D2D vs D2C, is there a difference?
In my recent article, Tick data for Swaps: What is now available, I noted that it would be interesting to look at price tick data and to do so for Interest Rate Swaps. While in my earlier article, Bloomberg SDR is now live, I showed an intra-day chart of prices for 5Y IRS comparing DTCC […]
Inside Baseball: Lexicon Updates for OTC Derivatives
A few months ago I was speaking with journalist Katy Burne at the Wall Street Journal. I now forget what she asked me, but whatever it was, I had covered the topic in depth in one of my recent blogs. “Don’t you read my blogs?” I asked. Katy responded “To be honest, I try to, […]
Interest Rate Swaps, Spot vs Forwards, which is the greater?
In last weeks blog, SEF Package Exemptions, So Far So Good, I included a chart showing that 52.5% of USD IRS were On SEF and mentioned that there were lots of Forward Start Swaps that were Off SEF. Today I will take a look at these and provide a breakdown on the USD Swap types that […]
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 […]