Interest Rate Swaps – SEF MAT Week 2
Following my post last week, I took a quick look at IRS SEF MAT week 2. It is unclear why there has been no post-MAT shift onto SEFs but perhaps we are seeing a post-MAT shift of EUR offshore.
To see trends at the SEF level and for CDS as well as IRS, you can look at this post on the Clarus website.
The graph in the summary brick tells the story of the SDRView fixed float data both on- and off-SEF for the MAT IRS currencies – USD and EUR. (GBP went MAT on Thursday so we need more data to spot any trends there).
No post-MAT USD shift onto SEF
USD volumes returned to January average after the holiday week deline. Suprising though there was no proportional shift onto SEFs. Both on-SEF and off-SEF volumes returned to 98% of January average volumes.
Perhaps we are seeing a further EUR shift offshore
EUR volumes increased only subtly remaining at 63% and 64% of January average. Yes President's day isn't an EUR holiday but more likely this may be starting to show a post-MAT shift of EUR trading offshore – following the trend in my prior post SEF offshore push confirmed.
Why no USD shift onto SEF?
The more ready participants may have made their shift in advance of the MAT date to avoid last minue issues. Nonetheless, I'm surprised not to see a shift onto SEF after the MAT date.
Your views and feedback in the comments please, Jon.