SEF: Week 36

We’re now through the 2nd roll-off of packaged trade no-action relief.  As of June 2, packages containing at least one MAT product (and other swaps) are required to trade On-SEF.  This has resulted in quite an active week in SEF data.  Lets get to the numbers.

First up, overall activity, trailing 5 weeks:

5-week Summary of SEF Activity.  Excludes FRA & OIS.
5-week Summary of SEF Activity. Excludes FRA & OIS

Interesting to note:

  • Bloomberg is now the 2nd largest IRD player, and continues to dominate Credit
  • The shift of ICAP’s IDB IRD liquidity seems to have seamlessly made its way from ICAP SEF to IGDL
  • Tradeweb’s IRD activity has seen a decent pickup
  • Something is going on with CME DSF (nice trend up)

So lets look at these in percentage terms:

5-week Summary of SEF Activity.  Excludes FRA & OIS (In Percentage Terms)
5-week Summary of SEF Activity. Excludes FRA & OIS (In Percentage Terms)

What jumps out here is:

  • Bloomberg has accounted for 21.6% of the SEF marketplace, spanning both D2D and D2C.
  • D2C is now 27% of the total rates market.  A result of the packages?  I believe so.

What happens if we look at the rates market, but add the FRA and OIS activity, but we duration-adjust the numbers?  Lets see below:

Recent 5 Week, 5YR Equivalent Activity
Recent 5 Week, 5YR Equivalent Activity

Fairly surprising, as this now tells us that when looking at the most recent week:

  • 192bn of risk was put through the client SEFs.  This accounts for 36.7% of total IRD activity (instead of the 21.6% we see using pure notional)
  • Tradeweb is doing roughly as much as any one IDB (75bn this most recent week).
  • CME’s DSF contacts can also be seen here in perspective.  Do they really account for about 1/10th of Bloombergs IRD activity last week (13bn vs 115bn)?  I believe there are some contract rolls happening, but still quite large.

That’s all for this week.  Trends seem to be developing, but perhaps too early to tell.

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