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February 12, 2014

A handy summary of SEF MAT scope / schedule

We now know nearly everything we need to know about the SEF go live schedule (apart from what the outcome will be on packaged trades).  Here's a handy summary.

Since my post on the scope of the SEF MAT go live on February 18th – here, I've been meaning to clarify the further scope / schedule as other SEF MAT submissions go through.  After Tradeweb's last week added a couple of benchmark tenors and GBP to IRS scope there is nothing in the remaining SEF submissions from MarketAxxess and Bloomberg which goes beyond the scope of the existing determination.  So it's pretty clear what we should be planning for.

Interestingly CFTC explicitly rejected certain scope areas submitted by SEFs.  I imagine their exclusion of forward starting IMM swaps for GBP and EUR was to limit the IMM swap experiment to USD until liquidity is established.  However, I have no particular idea why they explicitly excluded basis swaps and OIS indexes.  Perhaps this came from the dialogue with participants / SEFs?

Answers please on a postcard (or in comments).

Here's the summary of MAT go live dates and scope (meaningful ones in bold):

IRS
  • Feb 18th (Javelin submission) – Single IRS fixed float USD LIBOR and EUR EURIBOR trades in benchmark tenors(1), spot-starting for USD and EUR and forward starting for the next two IMM dates for USD only
  • Feb 21st (TrueEx submission) – Adds to the above USD IMM scope MAC swaps with standard coupons with slightly restricted benchmark tenors(2) over regular IMM swaps
  • Feb 27th (TradeWeb submission) – Adds to the above the 4 and 6 year as benchmark tenors and adds GBP LIBOR fixed float swaps in the same list of tenors as EUR
  • Mid March (Bloomberg submission) – No change unless CFTC reverses direction on the rejections so far
  • May 15th (no-action expires) – Swap spreads vs. US Treasury bonds (Javelin submission) plus ruling on otherwise MAT trades contained within packaged trades

CDS

  • Feb 27th (TradeWeb submission) – CDX.NA.IG, CDX.NA.HY, iTraxx Europe, and iTraxx Europe Crossover
  • A couple days later (MarketAxxess submission) – No change as the same scope as TradeWeb

Notes:

1.  The full list of benchmark tenors after Feb 27th is: 1, 2, 3, 4, 5, 6, 7, 10, 12, 15, 20, 30 years.  However, the 1 year is not MAT for spot starters and the 12 year is not MAT for EUR and GBP spot starters.

2.  USD MAC swaps have the 1 year as MAT but not the 6 or 12 years.


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