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 […]
2015 SEF Market Share Statistics
In this article I will look at Swap Execution Facility (SEF) volumes and market share in 2015 for Credit, FX 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. I will use this to look […]
What did the Australian Regulators say about OTC Derivatives Trading Mandates?
I read last month with interest the report on the Australian OTC Derivatives Market issued by the Council of Financial Regulators (which includes Australian regulators APRA, ASIC, RBA and The Treasury). The full report of which can be found here. Given we already know a lot about the Trade Reporting and Central Clearing developments, I […]
What is the Impact of the ICAP and Tullet Deal?
The recent announcement of the ICAP and Tullet deal (see ICAP’s statement) has resulted in a lot of press coverage, see Financial Times (subs required) or The Guardian or Bloomberg for details. The transaction will result in Tullet taking over ICAP’s brokerage business (with ICAP retaining a minority stake in the Tullet Prebon Group) and ICAP focusing on its […]
Performance of Block Trades on RFQ Platforms
The nature of swaps trading (RFQ to 1 participant for example) means that there can be a motivation to trade large-sized tickets in an old-school fashion – bilaterally. Therefore, unlike more mature electronic markets, these orders are not sliced’n’diced. This means that not only the performance of these large trades can be monitored in public data…. […]
Identifying Customer Block Trades in the SDR Data
Following up on our previous blog, What’s the story behind Tradeweb block trading? Regulations mean that different market participants will transact trades of block size in different ways This allows us to identify whether a block trade is transacted across a D2D venue, Tradeweb or Bloomberg We therefore have increased transparency as to whether these […]
What’s the story behind Tradeweb block trading?
Tradeweb appear to have a 75% market share for Dealer-to-Customer Block trading which has increased substantially since the early days of SEF trading This is against a backdrop of fairly stable overall block activity… …but more and more block trades are being done on-SEF rather than off-SEF. Sadly, this may raise a question over good ol’ voice broking… […]