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 […]
SEF MAT Week 4, IRS Volumes and Spot, Spread, Fwd, MAC
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 […]
SEF MAT Week 3, IRS Volumes Up and Up
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. […]
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 […]
SEF MAT Feb18 Day2, What does the data show?
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 […]