SEF: Week 19

So today (Monday Feb 10) I had a calendar entry for much of the day to attend the CFTC Technology Advisory Meeting via conference call.  That never happened.  I had something else to do with those 8 hours today.  The meeting of course went ahead without me.


Scanning the CFTC website for any outcome, the big news appears to be what is summarized in this CFTC press release, announcing that DMO has issued a no-action letter providing relief from SEF trading of mandatory trades that are part of a packaged transaction.  This relief is in place until May 15, 2014.  Interestingly, they go a bit further and inform the SEF’s that they can only execute such trades if they are in keeping with the rules for required transactions.  So if someone wants a 7/8/9 butterfly (of which only the 7YR is required but the 8&9 are not), I interpret this to mean the whole thing can be traded off SEF, however if it is traded on-SEF,  the whole thing has to go through the SEF order book/RFQ protocols.  I suppose that makes sense.

If you read that press release, there is a broken link to a CFTC website that contains a nice list of MAT swaps.  The correct link here, while good, fails to give guidance on the effective dates for each of these.  But worth bookmarking.

Speaking of the CFTC and MAT, I had expected to see news about the Bloomberg self-certification last week.  Having just scanned the CFTC website, I don’t seem to see any news about this.  According to my cheat-sheet on MAT applications, it really doesnt matter, as the products covered were not going to add anything new to the equation.  Did I miss something?



Unless you’ve been living under a rock, you will know we at Clarus have published the SEF aggregated activity onto an interactive website application called SEFView.  Our subscribers are able to filter by SEF, asset class, product, currency, and other things, including date (back to SEF inception October 2, 2013).  We’ll keep providing 1 weeks of data to everyone.  I’ll put up a couple screenshots for you, but go ahead and try for yourself.



Weekly Numbers:




In all of the screen-shot data above, I have elected to remove FRA’s, as I typically do.  Apologies to our non-subscribers, as the default view includes them, so your numbers, while accurate, will be grossed up a bit by the usual FRA runs that get done each week, with ICAP and Tullet being the largest contributors.

Some observations:

  • Overall CDS activity dropped off this week slightly due mostly to Bloombergs stellar prior week.  Besides this blip, the uptrend continues.
  • FX had its slowest week in over a month.  I don’t have an explanation for that.  Anyone?  I had expected FX to be the largest gainer.  The dropoff in FX is due to FX NDF, as Options activity was more or less consistent (apologies, I haven’t included a screenshot of this, so our non-subscribers will just need to trust me).
  • Despite the dropoff in FX, Reuters FXAll has shown 100% + gains in each of the past 2 weeks.  This was the kind of activity I had expected, and it makes sense that its the client activity showing this gain.
  • Overall IRD activity hovers around the recent mean.
  • IDB space doesn’t show much out of the ordinary


The current week (Feb 10-14) is the final week of pre-MAT.  Monday Feb 17 is a US holiday, so follow this space as we’re hoping things get interesting.


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