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; […]
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 […]
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 […]
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 […]
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 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 […]