SEFSwaps Seeks to Boost Rate-Swap Transparency
Market-data vendor SEFSwaps.com has soft-launched its hosted interest-rate swap offering that lets users rebuild the trading books of individual swap execution facilities.
The vendor pulls data from each SEF along with the swap data repositories operated by the Depository Trust & Clearing Corp. and Bloomberg, and uses a matching algorithm that compares SDR records with data from the SEFs.
“It’s accurate 98% or 99% of the time,” said Orlando Almodovar, chief data scientist at SEFSwaps.com.
SEFSwaps.com has been validating its results with individual SEF operators over the past four months by rebuilding each SEF’s trading book and having the SEF compare the results with its own internal records.
“We would like to validate it with the DTCC, but they cannot do a formal, or even an informal, validation,” Almodovar explained. “They can see where are the SDR records are coming from, but they are bound not to disclose that information.”
The current offering operates on a T+1 basis, which makes it difficult to gain the attention of traders on the floor, he noted. “Our premium users would be analysts or anyone who wants to know what has happened across the SEFs in the last week or month.”
Users access SEFSwap.com’s data via a browser where they can view canned reports or develop their own custom views.
“They can click on any part of the graph and drill down to the underlying data as well as export the individual SDR record to Excel,” said Almodovar.
The offering covers the IRS markets initially, and there are plans to eventually expand into FX swaps.
With regard to market data reform, the SEC may have bitten off more than it can chew.
Vela's SuperFeed market data service complements IPC's Connexus Cloud offering, execs say.
With all the moving parts in the exchange space, don't lose sight of the impact on end user investors.
Bill Bierds of BCC Group and Bill Fenick of Interxion discuss how COVID-19 has accelerated cloud adoption.
KBW says previously implemented exchange data fees should be safe.