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 […]

Following on from my article SEF MAT Week 3, IRS Volumes Up and Up, I will look at: Figures for Week 4 (Mar 10-14) Market share by SEF Types of IRS traded On SEF   Week 4 Lets start with a chart from SDRView Researcher of weekly volumes for all USD Interest Rate Swaps in the six […]

There have been a number of recent articles commenting on the lower volumes of USD Interest Rate Swaps, for example SEFVolumes died last week and US IRS Volumes-SEF MAT Cliff or Steady Decline. So now that 3 weeks have passed I decided to update my article SEF MAT Week One, What Does the Data Show.   […]

Now that the first weeks trading after Made Available to Trade determination for Interest Rate Swaps on 15-Feb-2014, is over, I will look at what the data shows.   80% or 35%? First a brief digression. Risk.net on 20 Feb 2014, published an article Cleared US dollar swap volumes drop 80% on first day of […]

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 […]

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 […]

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 […]

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 […]

My interest in writing this article was sparked by the 11 December press release from TrueEx announcing trades executed on its Portfolio Terminations and Compactions platform. So I decided to look at the past 3 days of data from the US DTCC SDR. We have been thinking about adding Terminations activity in SDRView, so as a […]