SEF: Week 23

Thanks for checking in this week.  This will be brief as we’re at the FIA in Boca and my blogging time is limited.  So on to the data…


Daily data for last week:

Summary-20140307 (USD Equivalent in Millions, excluding FRA's)
Summary-20140307 (USD Equivalent in Millions, excluding FRA’s)

The weekly data:

Weekly-20140307 (USD Equivalent in Millions, excluding FRA's)
Weekly-20140307 (USD Equivalent in Millions, excluding FRA’s)


What stands out to me:

  • Bloomberg has continued to shine, with impressive data for both rates and credit
  • Credit activity, particularly on the traditional client SEFs, has leaped since the CDS MAT
  • Rates activity eerily similar across the IDB’s (or is it?)


First off, if you haven’t had a look yet, have a look at SEFView.  We’ve got quite a lot in the works.  Just a few:

  • As mentioned above, rates activity looks similar across the IDB’s.  In my blog, I have been removing FRA’s.  But do you ever wonder what happens if you add FRA’s back in (hint:  check out that SEFView link, you can see it).  Or if you remove OIS?  We’ve got a nice way to normalize these numbers coming up in the weeks ahead.
  • Filter for tenors & terms
  • Drilldown to look at details for entire weeks at a time
  • Given the declaration of “open access” back in late 2013, there is some concern with how we are splitting up D2C and D2D, as it does not meet the intent of the law.  We’ve made that an option.
  • Moving to more frequent updates.  Currently we publish updates weekly, with occasional intraweek updates.  We will make this more frequent.
  • Normalizing Red codes to common CDX names
  • And more

So keep your eyes on this space.


We’re busy at FIA this week, so we may go a bit radio silent.  Except for perhaps our attempt at some Twitter “selfies”.  Enjoy the week.

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