Clarus Financial Technology

SEF: Week 36

SWAP EXECUTION FACILITY UPDATE

SWAP EXECUTION FACILITY UPDATE

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

Interesting to note:

So lets look at these in percentage terms:

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

What jumps out here is:

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

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

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

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