Mexican Peso Interest Rate Swaps
CME in a recent SEC filing noted its intention to start offering Clearing for MXN TIIE Interest Rate Swaps. So I decided to look at what the data in the DTCC USD SDR shows using SDRView. Weekly Volumes Lets start with weekly volumes using SDRView Researcher, for the prior 3 months. From this we can […]
Swaptions Clearing, A More Detailed Look
Last week at SEFCON IV in NY, CFTC Chairman Gary Gensler in his keynote stated that Swaptions were the largest Interest Rate product not currently being Cleared. This triggered me to think about updating my last blog of July 2013, see Swaptions Clearing, Why is it Important? Trade Volumes Using SDRView to look at […]
Cross Currency Swap trades in Swap Data Repositories
I thought it would be interesting to look at a different product than Interest Rate Swaps and one that is not Cleared, so this article will look at Cross Currency Swaps. My interest was prompted by one of our SDRView Professional users requesting that we add a new view for Cross Currency Swaps. When I […]
USD Swap Prices on SEF platforms
Following on from my article SEF, Oct2, What does the SDR Data show? I wanted to take a further look at what else we can observe in SDRView using the DTCC real-time price dissemination feed source. USD IRS Prices on SEF platforms From my last article you will know that we now have a SEF On and […]
SEF, Oct 2, What happened to EUR IRS trading?
Following on from my article SEF, Oct2, What does the SDR Data show? I wanted to take a further look at what else we can observe in SDRView using the DTCC real-time price dissemination feed source. Whats happened to IR Swaps in EUR, GBP & JPY? Daily Volumes in these three major currencies seem to have dropped […]
SEF, Oct 2, What does the SDR data show?
As yesterday was the first day for Swap Execution Facilities (SEF) trading, I decided to look at what the data in a Swap Data Repository (SDR) can tell us about what happened on Day 1. The DTCC real-time public dissemination feed has a field name “Execution Venue”, which prior to Oct 2 always had the value […]
Real-time reporting of Swap transactions
Today we put out a press release announcing the real-time reporting of Swap transactions in our SDR View application and I wanted to provide some further insight into the value and importance of this. First lets start with some recent history, always a good start for financial markets. The DTCC DDR real-time dissemination dashboard has […]
SDR View, Capped Notional Changes
Those of you that read my blog post SDR, Block Trade Rule, 30 July Update will know that from 30th July, we moved from the interim period to the initial period. One of the main changes introduced was that capped notionals were increased and that blog has the before and after tables for US IRS Swaps. […]
SDR, Block Trade Rule, 30 July Update
Those of you that read my previous post on the Block Trade Rule will know that on July 30th we moved from the Interim period to the Initial period. This means two significant changes, firstly that the public dissemination of all trades is no longer delayed by 30 minutes, only block trades are delayed and secondly […]
Swap Data Repository, Block Trade Rule, the Bad News
Under the Dodd-Frank Act, the CFTC issued Part 43 of its regulations to implement the real-time reporting mandate. This has a requirement for “real-time public reporting”, which is defined as “to report data relating to a swap transaction, including price and volume, as soon as technologically practicable after the time at which the swap transaction […]