FX NDFs on SEFs: A more detailed look

As we recently released FX NDFs in SDRView Professional, I decided to take a more detailed look into these than my earlier blog titled FX NDF Trading on SEFs.

 

Whats New?

Lets start with the fact that we can now see volumes and prices for each forward tenor, in this case USD/KRW on 10 Feb 2014.

From this we can see that:

• One month is by far the largest tenor traded with $2.5 billion.
• Of which 28% is On SEF and 72% is Off Facility.
• There is good On SEF volume in tenors shorter than 1M
• However above 1M, the volume is mostly in Off Facility
• Six months is generally the longest maturity, with only 2 trades at 9M

And now drilling down on the 1M tenor, we see the following intra-day prices:

Which shows:

• That trading takes place from 00:06 to 21:40 London.
• So a span of 21 hours, a truly global market.
• There are a few outliers, less than 15 out of 310 trades (5%)
• On SEF has fewer outliers than Off facility (not shown in chart)
• Trade volume is a little more dense in NY trading hours
• The opening price is 1075.2 and closing 1075.3
• With a Low of 1072.2 and High of 176.25 (ignoring outliers)
• Average deal size is $7.9 million (not shown in chart)

 

Another Currency

Lets now look at a lower volume LatAm currency, in this case Chilean Peso.

For which we show the same two charts.

I will let you make your own observations on each of these.

Or indeed check any of the twelve currency pairs and their tenors using SDRView Professional.

 

And What of the Trend in SEF Volumes?

In my original blog, I had a chart of USD/BRL On SEF weekly volumes, from Sep 30 to Dec 16, 2013.

Updating this with more recent data.

We can see that volumes continue to increase and the week of Jan 27, 2014 was a record week.

 

Summary

We recently added FX NDF into SDRView Professional.

We can now see intra-day volumes and prices by tenor for each of the twelve main NDF currency pairs.

There is good volume throughout the trading day.

With very few outlier prices, particularly for On SEF trades.

Use SDRView yourself to observe each days trading activity.