SEF MAT Feb17, What does the SDR data show?
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 […]
Intra-Day Swap Prices – What Can We See?
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 […]
Swaptions trading on SEF platforms
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 […]
Compression, SDR and TrueEx SEF
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 […]
Cancel and Replace transactions in SDRView
Yesterday we released Cancel and Replace transactions in SDRView Professional and this article will provide some detail on this. Background The CFTC Part 43 Rule for Real-time Public Reporting of Swap Transaction data, allows for the Cancellation and Correction of previously disseminated transactions. It is inevitable that any system that publishes real-time messages, needs to have […]
Software vendor brings transparency to complex swaps data
Following on from our recent announcement with ICAP, we were covered in Wall Street & Technology, December 3, 2013. Read the article “Software vendor brings transparency to complex swap data”
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 […]