Welcome to the world of Required Transactions and SEF Trading. Today (February 17th) marks the first business day of mandatory SEF trading for the required transactions, as self-certified by Javelin. Alas, I am here to recap on last week’s activity, but I intend to come back for an intra-week update to look at what has transpired in the first few days.
So lets look at the data for the week ending February 14th.
DATA
Below is the daily activity. Again, all numbers are in millions of USD equivalent, exclusive of FRA’s. And of course, go look for yourself on SEFView:
Same filters, only looking at a larger time period and looking at it by week:
WHAT TO MAKE OF THE DATA
Something stands out here. The activity looks very thin. In fact the US$ 736 bn weekly number, across all asset classes, is the lowest weekly total of 2014! Lets think about this:
- Really? The final week before required transactions and everyone takes a breather? If you are like me, you’ve been watching the Olympic Ice Skating (ehem, I am present on the sofa while my wife watches Ice Skating). If you watch closely, the cameras zoom in on the athletes right as they line up waiting for the performance / music to begin. They take this few moments to take a deep breath. Perhaps this is analogous to the pre-MAT week; a collective deep breath.
- Both Rates and Credit showed a dropoff from previous weeks. FX had a small tick up back towards its recent mean in activity.
- Within Credit, both BBG and GFI continue their dominance
- 360T had not published data for Friday 14-Feb as of press time, however this would be insignificant
- I have taken the liberty to amend some of the data as reported by BGC (see below), however this alone would not explain more than 20 bn of the 300-some billion of dropoff in rates
EARLY INDICATIONS
February 17th is Presidents day in America. However, if you are curious to see whats happening on SEF’s on the first day of required trading, you can have a look at another Clarus application, our real time SDRView, which looks at data reported by the DTCC. Here, I can see that even though the US holiday, we are indeed seeing some SEF activity today. It is however limited to non-USD rates and credit. Have a look yourself at SDRView. Note, however, that SDR data only shows if it is on or off SEF, it cannot tell you which SEF.
BGC
As I have mentioned before, we come across some data that we are unable to explain when looking at SEF data provided by BGC. Of note this week was again their reported swaptions. Once again, there was swaptions activity with a notional of 20 billion reported on Friday, February 14th, with no currency. When these occur, I head back to SDRView to look at actual on-SEF activity to check the legitimacy of the reported position. Given that the entirety of USD, EUR, JPY and GBP swaption activity on this day is roughly US$ 8 bn, its hard to say where this falls. Nothing in some of the other currencies (AUD, PLN, KRW, etc) justify this reported activity whatsoever. So while we always intend to report upon data as provided to us, we do have to make adjustments when the data simply does not add up.
As of going to press, BGC have not responded for comment.
FX CcyPair
I’ll leave you today with an FX analysis. This nicely shows some of the FX activity. I’ve selected only FX products (hence IR Cross Currency Swaps excluded). SEFView summarizes the top 3 currency pairs in the pie charts, and gives a nice bar chart summary across all pairs.
USDBRL seems to belong to BGC, while nearly half of USDCLP goes to ICAP. You might ask what USDCAD is doing in there, as you’d think most SEF activity is non-deliverable. Subscribers to SEFView are able to break this down further, and what we find is that USDCAD comes from FX options.
WATCH THIS SPACE
Lets give this a few days to see what pans out. I would anticipate an update later in the week if the data justifies.