SEF: Week 18

February 4, 2014 by No comments

Another week, another MAT application has been rubber stamped. In fact, there were two MAT applications “self-certified” last week. First up was Tradeweb, which added GBP vanilla spot-starting interest rate swaps into the mix, as well as the primary Credit contracts: CDX.NA.IG, CDX.NA.HY, iTraxx Europe, and iTraxx Europe Crossover. Later in the week, MarketAxess’ MAT determination was rubber stamped, which mimicked the credit components of the Tradeweb credit products. All credit products are on-the-run and most recent.

This week, we are due to see Bloomberg’s self-certification go through, which if I interpret correctly doesnt add anything further into the mix that hasn’t already been covered.

DATA

As I have mentioned earlier in the month, we’ve been working on delivering an application that puts all of this data at your fingertips.  So this week, I’ll let you click on through and see the data yourself.  We’ve restricted things like history back to October 2nd, drilldown, data export, and filtering to our subscribers, but intend to continue giving weekly data out to the general public.

Note that because non-subscribers have no access to the filter criteria, all of the activity is inclusive of FRA activity, which I have tended filter out in all of my blogging.

You are, however, able to expand and dock the graphs and data tables.  Try it out.

SEFView
SEFView

 

WHAT DOES THE DATA SHOW

So, one of the features available to subscribers is the ability to open up the time window.  Using this, I’ll post the weekly totals for the previous 5 weeks.

Weekly Changes in SEF Activity 2014-01-31 (USD Equivalent in Millions, excluding FRA's)
Weekly Changes in SEF Activity 2014-01-31 (USD Equivalent in Millions, excluding FRA’s)

Some things become apparent:

  1. Bloombergs Credit Swaps activity has shown a nice increase, and this week accounts for 75% of all CRD activity across all platforms.
  2. MarketAxess has come back on the radar showing some activity in credit
  3. A distinct pickup in Reuters FX activity
  4. This marks the 3rd consecutive week of 1 trillion+ USD equivalent (ex-FRA) going over SEFs.  Prior to January, there had not been any such individual weeks.  I think we can conclude there is larger adoption.
  5. Dealer-to-Client (D2C) activity in particular saw a marked increase.  The previous weeks’ roughly 100 billion USD equivalent was the best on SEF record, only to be outdone by 50% this most recent week.

 

WHATS NEXT

The data keeps pouring in.  And we’re planning to keep putting it together.  Next couple weeks should be interesting as we cross the SEF MAT threshold!

 

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