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 […]
SEF: Week 30
SEF data continues to churn out. We’ve got a couple weeks yet until we see a few potentially interesting events unfold: Packaged Trade exemption runs out ICAP’s attempt to de-bifurcate (if that’s a word) liquidity in the swaps market with IGDL Bloomberg turns on their Bloomberg SDR I’ll reserve comment on these until get closer […]
EMIR Trade Reporting and Public Data: What is the Point?
It is now more than two months since European EMIR Trade Reporting came into operation. Time to see whether teething problems have been solved and look at what the public data shows. Those of you that read my articles on Swap Data Repositories will know that I am a great proponent of the value of the CFTC […]
SEF: Data Through Good Friday
Good Friday marked the end of the 29th week of SEF trading. As with most holiday weeks, volume dropped off. But how about the larger trend over the past 6 weeks? DATA Lets first look at SEFView for the most recent 6 weeks: So we’ve seen a few things over these 6 weeks: CRD activity […]
SEF MAT Week8, USD IRS and EUR IRS
Following on from my article SEF MAT Week6, USD IRS, Massive Volume in Forwards, this week I will look at: USD IRS for Week 7 (Mar 31- Apr 4) and Week8 (Apr 7-11) Market share in USD IRS by SEF EUR IRS Volumes Market share in EUR IRS WEEK 7 and Week 8 Lets […]
SEF MAT Week6, USD IRS, Massive Volume in Forwards
Following on from my article SEF MAT Week 5, USD IRS SEF Vols Hit Record High and a New Leader, this week I will look at: Figures for Week 6 (Mar 24-28) 27 March, Forwards Volumes Market share in USD IRD by SEF Curve Trades and Butterflys MAC Swaps Week 6 Lets start with a […]
SEF MAT Week 5, USD IRS SEF Vols hit record high and a new leader
Following on from my article SEF MAT Week 4, IRS Volumes and Spot, Spread, Fwd, Mac, I will look at: Figures for Week 5 (Mar 17-21) 19 March, a Big Day for 5Y Swaps Market share in USD IRS by SEF Risk weighted Market Share Week 5 Lets start with a chart from SDRView Researcher of weekly […]
SEF: Week 25
The SEF world continues to churn out data. I didn’t write a blog last week (week 24, March 10-14), and my loyal followers let me hear it. Everyone should know by now that the data is there to be seen on SEFView at any time. We’ve just begun updating the data on a daily basis […]