2018 SEF Market Share Statistics

In this article I look at 2018 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my¬†2017 SEF Market Share Statistics. A brief summary is that 2018 was a banner year for SEFs, with volumes up in all asset classes and most products […]

ESTER Term Rates

We look at the consultation for forward-looking term rates in ESTER. The number of cleared EONIA swaps is surprisingly low, suggesting a transaction-based methodology will be ruled out. A quote-based system is most likely, but this could replicate existing problems we have with EURIBOR. We note that CCP basis also makes the collation of quotes […]