News

Current Articles | RSS Feed RSS Feed

Three As Hobble SEFs

By David Wigan
August 29, 2015, IFR

The evolution of electronic derivative trading has continued its stuttering progress in recent months, with swap execution facility volumes barely growing, according to data from Isda last week. However, little further growth can be expected until long-standing structural issues are resolved, market participants say.

“The vision for SEFs was that they would offer continuous all-to-all trading based on limit order book protocols, like you see in equity markets,” said Sam Priyadarshi, head of fixed income derivatives at Vanguard. “We are not there yet.”

full article describe the image (subscription)

SocialTwist Tell-a-Friend Related Posts with Thumbnails

Brokers Defy BlackRock Over Average Pricing on SEFs

By Robert Mackenzie Smith
August 27, 2015, Risk

"We're lions, not zebras," says Icap's Paulhac, but BlackRock is offering a strong incentive for brokers to deliver average pricing

Broker-run swap trading platforms are resisting calls from the world's largest asset manager to offer average pricing and direct allocation capabilities for buy-side trades.

full article describe the image (subscription)

SocialTwist Tell-a-Friend Related Posts with Thumbnails

SEF Trading in the Doldrums, ISDA Data Show

By David Wigan
August 25, 2015, IFR

The evolution of electronic derivative trading continued its stuttering progress in recent months, with swap execution facility (SEF) volumes barely growing, according to data from Isda.

Some 51.2% of average daily interest rate derivative trading activity was executed on SEFs in the second quarter, compared with 50% in the same period in 2014. Trade sizes were 19.5% lower than a year earlier on average.

full article describe the image (subscription)

SocialTwist Tell-a-Friend Related Posts with Thumbnails
Tags: , , , ,

CFTC Aims for Swap Auto Affirmation

By Mike Kentz
August 15, 2015, IFR

The US derivatives industry is scrambling to develop a market-wide method for affirming voice-executed swap trades in just minutes, following a behind-the-scenes CFTC ultimatum to come up with a plan or expect a rule to be made.

The agency is disappointed with the industry’s reluctance to move from manual affirmation processes that sometimes takes hours or days to an automatic affirmation process that should only take minutes.

full article describe the image (subscription)

SocialTwist Tell-a-Friend Related Posts with Thumbnails

FIA Releases SEF Tracker Report for May

August 13, 2015, Automated Trader

This issue of FIA SEF Tracker shows volume trends from January 2014 to May 2015 for interest rate, credit default and foreign exchange products. This issue also includes a spreadsheet containing weekly data going back to January 2014.

• In this issue of FIA SEF Tracker, trading activity is measured on an average daily basis. Data for the total amount traded is available on the SEF Tracker website. https://fia.org/articles/fiareleases-sef-tracker-report-may

• Trading activity in interest rate products averaged $347.4 billion per day in May, up 13.1% from April, but well below the levels seen in February and March (see page 6). Bloomberg continued to gain market share in the trading of interest rate swaps and other non-FRA products. Its volume averaged $29.6 billion per day in May, and it had more volume in non-FRA products than any other SEF that month. Tradition was the second largest, with $28.3 billion non-FRA trading per day. Also worth noting was the increase in trading on the two SEFs operated by Tradeweb. Their combined volume averaged $20.7 billion per day, twice as much as May 2014 (see page 7).

• Total SEF trading in credit products averaged $19.6 billion per day during May, down 10.6% from the previous month, but up 7.9% compared to May 2014 (see page 14). Bloomberg captured nearly 70% of the market, and Tradeweb and ICE were second and third with 8.3% and 6.1% respectively (see page 16). On a year-over-year basis, Tullett Prebon and MarketAxess had the biggest increase in percentage terms, while ICAP and Tradition had the biggest declines (see page 14).

full article describe the image (free)

SocialTwist Tell-a-Friend Related Posts with Thumbnails

Swap Auctions Gain CFTC Favour

By Mike Kentz
August 8, 2015, IFR

CFTC staff has deemed auction-style execution protocols for over-the-counter swaps as allowable under the Dodd-Frank regime for trading derivatives on swap execution facilities, putting to rest a controversial issue that had been playing out behind the scenes for over a year.

The staff decision will allow inter-dealer broking platforms to continue operating “matching” protocols, which resemble auctions, in swap markets – though the CFTC may draw up specific transparency requirements for each individual protocol.

full article describe the image (subscription)

SocialTwist Tell-a-Friend Related Posts with Thumbnails

Banks Swap Headlock Slips as Chicago Prop Firms Join SEFs

By Robert Mackenzie Smith
August 6, 2015, Risk

Recent months have seen three more Chicago proprietary trading firms follow Citadel Securities onto broker-run swap platforms – challenging the traditional bank oligopoly. The firms have started small, but at least one aims to compete for institutional-size tickets after raising more capital. 

Three more upstart Chicago trading firms have begun quoting prices for interest rate swaps on broker-run swap trading platforms – the latest indication that dealers are losing their stranglehold on swaps liquidity provision.

full article describe the image (subscription)

SocialTwist Tell-a-Friend Related Posts with Thumbnails

Algo Firms Target SEFs

By David Wigan 
August 1, 2015, IFR

Algorithmic trading firms are expanding to target swap execution facilities after rivals arbitraged away the most obvious opportunities in exchange-traded markets, analysts say.

Amid declining liquidity in futures markets and a surge in algo trading that has pushed its market share in fixed income above 50%, high-speed traders, algo shops and electronic market-makers are seeking out less competitive alternative environments and SEFs may be just the ticket.

full article describe the image (subscription)

SocialTwist Tell-a-Friend Related Posts with Thumbnails

Massad Reinforces CFTC’s Push for Margining Uncleared Swaps

By Eugene Grygo
July 28, 2015, FTF News

CFTC Chairman Timothy Massad says he will push for new rules to cover margin collection for uncleared swaps, and changes for clearinghouses, swaps dealers, SEFs and swaps data repositories.

Five years after the onset of the Dodd-Frank Act (DFA), CFTC Chairman Timothy G. Massad outlined last week the regulator’s next phase in the DFA rule-making process, which will include margin collection for uncleared swaps, stress tests for clearinghouses, a new definition of a swaps dealer, SEF trading improvements, and cross-border harmony for swaps data repositories (SDRs).

full article describe the image (subscription)

SocialTwist Tell-a-Friend Related Posts with Thumbnails

Swap Execution Facilities: Be Careful What You Wish For

By Paul Golden
July 22, 2015, Global Investor

Data from the Futures Industry Association supports the view that swap execution facilities (SEFs) have made uneven progress. The association’s SEF tracker indicates that trading volume across all three asset classes (interest rates, credit default swaps and foreign exchange) averaged $364.8bn per day in April, down 27% from the previous month but up 8% from April 2014.

The International Swaps and Derivatives Association (ISDA) has been concerned about the fragmentation of derivatives markets along geographic lines since the SEF rules came into force and  says the effects have been particularly notable in the market for euro interest rate swaps.

full article describe the image (subscription)

SocialTwist Tell-a-Friend Related Posts with Thumbnails
All Posts