SEF: Week 38 (Examining Spread Over Treasuries)
Last week marked the end of the package trade relief for MAT swaps dealt with US Treasury securities. As of Monday June 16th, all such packages needed to be executed under the trade execution requirement. Some folks will say the entire market is driven by such packages, so we should expect to see massive changes […]
SEF: Week 37 (A Shakeup At The Top)
Last week proved to be quite interesting for SEFs. We saw our first bit of activity from TeraExchange, Latam SEF began to post some real activity, and dare I say Bloomberg dropped to the #2 spot on the D2C list for Interest Rate swaps. First, the data. Lets start with the usual daily activity by asset class: […]
Swap Curve and Butterfly Package trades on Bloomberg SEF
In my recent articles Bloomberg SDR and SEF and Interest Rate Swap Prices, D2C vs D2D, I looked at different aspects of the data now available to us. In this article I am going to show that we can get an interesting insight into Swap Curve and Swap Butterfly trades. (Thank you to one of our regular […]
CFTC Technology Advisory Committee Meeting on June 3, 2014
Tod presented ‘SEF Trading Overview and Participation’ at the CFTC Technology Advisory Committee meeting last week. To our delight the meeting has been recorded and is available on youtube (SEF section starts at 2.00.00) The presentation slides are available for download here, although for convenience we have embedded in this post below. SEF Trading […]
SEF: Week 36
We’re now through the 2nd roll-off of packaged trade no-action relief. As of June 2, packages containing at least one MAT product (and other swaps) are required to trade On-SEF. This has resulted in quite an active week in SEF data. Lets get to the numbers. First up, overall activity, trailing 5 weeks: Interesting to […]
SEF: Week 34 (A new perspective on the usual numbers)
Last week marked the first full week of SEF package trades. Amir Khwaja explained in his blog today how this has in fact accounted for an increase in the percent of On-SEF trades. So lets take a look at the trend in SEF activity. First, lets look at the previous 4 weeks of SEF data. OVERALL […]
SEF Package Exemptions, So Far So Good
Given that it is now one week since the first of the IRS Package exemptions expired on May 16, I thought I would look at the data. We know from our blog, SEF:Week 32 (Final Week Before Packages) that from May 16, the first of the package types, those where all components are MAT, are no […]
SEF: Week 33 (Has the Swap market moved to Futures?)
For years now we’ve been hearing about the “Futurization of Swaps”. It’s always been difficult to pay much credence to it, as in our collective heads we always compare it to a world of Swaps that has trillions of notional. Now that we have swaps traded on SEFs, we can put this in some kind […]
Bloomberg SDR and SEF: What can we now see?
Following on from yesterday’s article, Bloomberg SDR is now Live, I will look at what we can learn from the first trading days data. Using both our SEFView and SDRView products. First a quick re-cap on these. SEFView SEFView sources data from each of the 20+ SEF websites. This data is published at the […]
SEF: Week 32 (Final Week Before Packages)
Over the past week, we got final word on the plan for packaged trades on SEF. We now have a phased-compliance timeline as follows: May 16 – packages where all components are MAT. June 2 – packages with at least one MAT swap combined with other swaps that (while not MAT) are subject to clearing requirement […]