The 1st November 2020 heralded a fundamental change in swaps markets. SEFs executing trades in specific products were no longer permitted to disclose the identities of the counterparties (to each other) after the trade: At the moment, this rule only applies to MAT swaps – i.e. those products subjected to the execution mandate and required […]

Last week I looked at Swap Volumes in October 2020 and focused primarily on SOFR Swaps and Futures at Clearing Houses, so this week I am going to look at Swap Execution Facilities (SEFs). D2D SEFs Let’s start by using SEFView to look at D2D SEFs, where the main product is SOFR v FedFunds Basis […]

We have dedicated Risk Free Rate (RFR) views in most of our data products and today we complete the picture by adding these to SEFView, which aggregates daily volume from all Swap Execution Facilities. Let’s use this to see where SOFR Swaps are trading. D2D Venues The inter-dealer market trades SOFR vs FedFunds Basis Swaps, […]

Our data shows that block trades are 30% larger than the amounts reported to SDRs. Block trades and trades capped at a reporting threshold make up just 7% of volume by trade count. However, the true size of these trades means they account for 43% of notional volume. This varies significantly from currency to currency. […]

In this article I look at 2019 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my 2018 SEF Market Share Statistics. A brief summary is that 2019 volumes held onto 2018 volumes, a banner year, in both FXD and IRD but CRD volumes […]

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 […]

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 […]

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 […]

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 […]

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 […]