Spreadovers account for roughly 35% of all USD risk traded on-SEF. In D2D USD swap markets, Spreadovers account for about 70% of volumes. This makes them by far the most important packages traded in USD. Almost all Spreadovers are transacted on a SEF. We look at D2D SEF market share in USD swaps. History We […]

What You Need to Know Last week, the CFTC Chairman, Christopher Giancarlo, presented a whitepaper at the annual ISDA shindig. This whitepaper should be a pretty good guide for any regulatory changes that we can expect to see out of the CFTC for the remainder of his term (it expires in April 2019). He looked […]

In this article I will look at Q1 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. Clarus SEFView has daily volume data published by each SEF, which is filtered, normalised and aggregated to allow meaningful comparison of […]

In this article I look at 2017 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my 2016 SEF Market Share Statistics. Clarus SEFView has daily volume data published by each SEF, which is filtered, normalised and aggregated to allow meaningful comparison of market share […]

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 […]

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 […]

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 […]

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, […]