What Traded On-SEF in 2018?

We look at what traded on- and off-SEF in 2018 across Rates and Credit markets. As a result of the CFTC’s proposed rule, we look at what is voluntarily trading on-SEF at the moment. We find that most voluntary SEF executed volumes are in USD-denominated FRA and OIS products. Liquidity is shown to be very high for SEF-executed, standardised […]

What Traded Off-SEF in 2018?

We look at what traded off-SEF in 2018 across Rates markets. As a result of the CFTC’s proposed rule, we look at products that are mandated to clear. We find that most off-SEF volumes are in short-dated FRA and OIS products. For Fixed-Float traded off-SEF, 75% of it is forward starting. Introduction We are always […]

Title VII 2.0: SEF re-regulation

More than 10 years after the fall of Lehman Brothers, and with limited changes for several years you might be forgiven for the impression the CFTC is done with SEF regulation.  Not so. With a full complement of commissioners recently approved, CFTC has started the Dodd-Frank Title VII re-regulation ball rolling.  CFTC has published proposed […]

2018 SEF Statistics – LatAm and Asia

Following my recent article, 2018 SEF Market Share Statistics, I wanted to look into the currencies that I did not have time for in that post; specifically Latin American and Asian. Interest Rate Swaps – LatAm Lets start with the gross notional traded in LatAm currencies in 2018 on all SEFs. MXN by far the […]

2018 SEF Market Share Statistics

In this article I look at 2018 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my 2017 SEF Market Share Statistics. A brief summary is that 2018 was a banner year for SEFs, with volumes up in all asset classes and most products […]

USD Spreadovers and SEF Market Share

Spreadovers account for roughly 35% of all USD risk traded on-SEF. In D2D USD swap markets, Spreadovers account for about 70% of volumes. This makes them by far the most important packages traded in USD. Almost all Spreadovers are transacted on a SEF. We look at D2D SEF market share in USD swaps. History We […]

Mar 2018 SEF Market Share Statistics

In this article I will look at Q1 2018 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my 2017 SEF Market Share Statistics. Clarus SEFView has daily volume data published by each SEF, which is filtered, normalised and aggregated to allow meaningful comparison of […]

2017 SEF Market Share Statistics

In this article I look at 2017 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my 2016 SEF Market Share Statistics. Clarus SEFView has daily volume data published by each SEF, which is filtered, normalised and aggregated to allow meaningful comparison of market share […]

Summary Of Treasury’s Capital Markets Report to Trump

Shortly after Trump became president, true to his campaign promises to “roll back regulation”, he issued an executive order for a review of the American Financial system, with some core principles around making regulation smarter and fostering growth, among others. The US Treasury is responding to this order by providing 4 reports covering Banking, Capital […]