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 […]

New Swap Execution Facilities

There have been a couple noteworthy advances in SEF’s in July.  The NEX SEF has launched, and LedgerX has been approved.  Let’s have a look at these. BLOCKCHAIN We’ll start with the bitcoin venture LedgerX, who applied for SEF registration in January 2017 and was approved on July 6.  They put out some press in […]

Are SEF’s Executing More Non-MAT Trades?

Today we look at any trends in bespoke Fixed/Float swap trading On-SEF. Last year I wrote an article about the longer term trends in the US swaps market by asking “What is Left off-SEF?”  We determined that, generally speaking, 2/3rds of the USD Fixed/Float swap market is On-SEF.  The Off-SEF world was generally a bunch of […]

The Average Maturity of Swaps Is Increasing

We calculate the average maturity of USD IRS traded across SEFs. Over the past 3 years, this average maturity has meaningfully increased. This maturity extension has been seen on both D2D and D2C venues. The activity across D2D venues suggests that dealers continue to hedge the bulk of client trades with swaps themselves (as opposed to futures, […]

What I Learned At SEFCON VII

I attended SEFCON 7 yesterday to see what is going on in the world of Swap Execution Facilities.  I had been thinking SEF’s were business as usual by now, so I went to see if anything cooking in the oven, or might be cooking after the Trump administration starts up. Session 1 Chairman Massad gave […]

2016 SEF Market Share Statistics

In this article I will look at Swap Execution Facility (SEF) volumes and market share in 2016 for Credit, Foreign Exchange and Interest Rate Derivative asset classes. Clarus SEFView collects daily volumes published by each SEF and normalises this data to allow meaningful comparison and determination of market share statistics. Summary: CRD Index, Option and […]

Mandatory Execution and Clearing Hits Mexico

A couple weeks ago, we noticed some notable changes in the Mexican Peso swap market.  When I began asking around, I discovered that mandatory clearing had hit Mexico.  Why then write a blog about it?  Well, it has become clear that I’m not the only person that hadn’t been told mandatory clearing had hit the 15th […]

What is Left Off-SEF ?

We’ve written a few pieces now on the recent findings from the Bank Of England working paper.  The BOE found that SEF trading in the USA has both (a) increased liquidity and (b) decreased execution costs for USD swaps.  My colleague Chris validated the liquidity aspect in his recent blog using our own Clarus data and […]

Liquidity on the Bloomberg SEF

We analyse the liquidity on Bloomberg SEF…. …by measuring the price dispersion of 10 Year USD Swaps using the methodology from a recent Bank of England staff paper. We compare these measures of liquidity versus the broader SEF market. We find that in the past 6 months, liquidity is higher on the Bloomberg SEF relative to the rest of the […]

Great News:  More SEF’s !?

Big news in SEF-land last week was the formal registration of 18 of the 20+ SEF’s.  Generally speaking, chances are that if you have traded on a SEF, it has become fully registered. The news prodded me to go have a look at the list of SEFs on the CFTC website.  In doing so, I was reminded of the […]