{"id":14768,"date":"2013-10-03T15:43:23","date_gmt":"2013-10-03T15:43:23","guid":{"rendered":"https:\/\/wordpress-693215-2610341.cloudwaysapps.com\/index.php\/2013\/10\/03\/trading-on-sefs-from-october-2nd-was-day-one-what-does-the-sdr-data-show\/"},"modified":"2013-10-03T15:43:23","modified_gmt":"2013-10-03T15:43:23","slug":"trading-on-sefs-from-october-2nd-was-day-one-what-does-the-sdr-data-show","status":"publish","type":"post","link":"https:\/\/theotcspace.com\/trading-on-sefs-from-october-2nd-was-day-one-what-does-the-sdr-data-show\/","title":{"rendered":"Trading on SEFs from October 2nd was Day One. What does the SDR Data show?"},"content":{"rendered":"<p>As yesterday was the first day for Swap Execution Facilities (SEF) trading, I decided to look at what the data in a Swap Data Repository (SDR) can tell us about what happened on Day 1.<\/p>\n<p>The&nbsp;<a href=\"https:\/\/rtdata.dtcc.com\/gtr\/dashboard.do\" target=\"_blank\" title=\"https:\/\/rtdata.dtcc.com\/gtr\/dashboard.do\" rel=\"noopener nofollow\">DTCC real-time public dissemination feed<\/a> has a field name &quot;Execution Venue&quot;, which prior to Oct 2 always had the value &quot;Off&quot;, but from yesterday we can see new trades with the value &quot;On&quot; (meaning On a SEF venue) and &quot;Off&quot; (meaning off Facility).<\/p>\n<p>So from today, we have made this field available as a selection in&nbsp;<a href=\"http:\/\/www.clarusft.com\/products\/sdr-view\/\" target=\"_blank\" title=\"http:\/\/www.clarusft.com\/products\/sdr-view\/\" rel=\"noopener nofollow\">SDRView Professional.<\/a>&nbsp;&nbsp;This certainly provides some very interesting views.<\/p>\n<p>As Interest Rate Swaps have been trading electronically on a number of platforms for some time, the main difference is that from Oct 2, these are now registered Swap Execution Facilities.<\/p>\n<p>So lets start with a summary table of USD IRS activity on Oct 2. (Vanilla spot starting fixed for float swaps).<\/p>\n<p><a href=\"https:\/\/theotcspace.com\/wp-content\/uploads\/2013\/10\/onsefsummary.png\"><img decoding=\"async\" class=\" size-full wp-image-14765\" alt=\"OnSEFSummary\" class=\"alignnone size-large wp-image-7800\" height=\"103\" src=\"https:\/\/theotcspace.com\/wp-content\/uploads\/2013\/10\/onsefsummary.png\" width=\"588\" \/><\/a><\/p>\n<p>This tells us the following:<\/p>\n<ul>\n<li>\n\t\tThe total number of trades reported was 618, with a gross notional of $56 billion (allowing for cap sizes).<\/li>\n<li>\n\t\tOf these 367 or 59% were traded on a SEF and 251 or 41% were not.<\/li>\n<li>\n\t\tThe number of Cleared trades was 570, of which 362 or 64% were on a SEF and 208 or 36% were not.<\/li>\n<li>\n\t\tThe gross notional of Cleared trades was $53b, of which $39b or 74% were on a SEF and $14b or 26% were not.<\/li>\n<\/ul>\n<p>In summary over 2\/3 of Cleared Swaps traded on a SEF.&nbsp;Which is an excellent result on the first day of the deadline.&nbsp;Well done all the folks at Bloomberg, Tradeweb, trueEx, GFI, TeraExchange, State Street, Javelin, Tullet, ICAP, BGC and Tradition.<\/p>\n<p>Now we only have to wait for some of you to start publishing your daily volume figures to see where market share is going.<\/p>\n<p>But that is for another time.&nbsp;For today lets continue by looking at the Cleared Swap trades by maturity tenor.<\/p>\n<p><a href=\"https:\/\/theotcspace.com\/wp-content\/uploads\/2013\/10\/oct2-usdirs-counts.png\"><img decoding=\"async\" class=\" size-full wp-image-14766\" alt=\"Oct2 - USDIRS - Counts\" class=\"alignnone size-large wp-image-7801\" height=\"332\" src=\"https:\/\/theotcspace.com\/wp-content\/uploads\/2013\/10\/oct2-usdirs-counts.png\" width=\"588\" \/><\/a><\/p>\n<p>&nbsp;<\/p>\n<p><img decoding=\"async\" class=\" size-full wp-image-14767\" alt=\"\" src=\"https:\/\/theotcspace.com\/wp-content\/uploads\/2013\/10\/oct2-usdirs-grossnot-1.png\" style=\"width: 588px; height: 329px;\" width=\"588\" height=\"329\" \/><\/p>\n<p>From this we can observe the following:<\/p>\n<ul>\n<li>\n\t\tThe major tenors are 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 30Y.<\/li>\n<li>\n\t\tIn each major tenor the number of trades for On SEF is higher than Off SEF.<\/li>\n<li>\n\t\tIn each major tenor the gross notional traded is higher for On SEF.<\/li>\n<li>\n\t\tThere are trades for each tenor for On SEF, except 6M which is not a common IRS tenor.<\/li>\n<li>\n\t\tThere are trades for each tenor for Off SEF, except for 1Y and 40Y, which are not common IRS tenors.<\/li>\n<\/ul>\n<p>A few observations from data not in the charts<\/p>\n<ul>\n<li>\n\t\tThe number of block or large notional trades as a proportion of all trades is 13% for On SEF and 7% for Off SEF.<\/li>\n<li>\n\t\tBut in gross notional terms this proportion is similar at 30% for both.<\/li>\n<li>\n\t\tThe average notional size is generally higher for On SEF than Off SEF.<\/li>\n<li>\n\t\tSo for 5Y the On SEF average size is $108m, while for Off SEF it is $65m.<\/li>\n<\/ul>\n<p>So that is it for the analysis on Oct 2 trades.&nbsp;The real question is what will the data show going forward?&nbsp;Will we see average deal sizes decrease as more volume moves to SEFs and more participants join?&nbsp;Will this result in higher gross volumes?<\/p>\n<p>We shall see.<\/p>\n<p>Or even better, you can see yourself by using&nbsp;<a href=\"http:\/\/www.clarusft.com\/products\/sdr-view\/\" target=\"_blank\" title=\"http:\/\/www.clarusft.com\/products\/sdr-view\/\" rel=\"noopener nofollow\">SDRView Professional<\/a>.&nbsp;Good luck to each of the SEFs and lets hope there is good business ahead for most if not all.&nbsp;We live in interesting times.<\/p>\n<p>Amir.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>As yesterday was the first day for Swap Execution Facilities (SEF) trading, I decided to look at what the data in a Swap Data Repository (SDR) can tell us about &#8230; <\/p>\n<div><a href=\"https:\/\/theotcspace.com\/trading-on-sefs-from-october-2nd-was-day-one-what-does-the-sdr-data-show\/\" class=\"more-link\">Read More<\/a><\/div>\n","protected":false},"author":1,"featured_media":14764,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[2856,2871,2857,2846,2864,2855,2849],"tags":[3131,3049,3435,3071,3057,3068],"acf":[],"_links":{"self":[{"href":"https:\/\/theotcspace.com\/wp-json\/wp\/v2\/posts\/14768"}],"collection":[{"href":"https:\/\/theotcspace.com\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/theotcspace.com\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/theotcspace.com\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/theotcspace.com\/wp-json\/wp\/v2\/comments?post=14768"}],"version-history":[{"count":0,"href":"https:\/\/theotcspace.com\/wp-json\/wp\/v2\/posts\/14768\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/theotcspace.com\/wp-json\/"}],"wp:attachment":[{"href":"https:\/\/theotcspace.com\/wp-json\/wp\/v2\/media?parent=14768"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/theotcspace.com\/wp-json\/wp\/v2\/categories?post=14768"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/theotcspace.com\/wp-json\/wp\/v2\/tags?post=14768"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}