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SEF Tracker
Jan.-Mar. 2014
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Introducing FIA SEF Tracker
• FIA is collecting volume information from swap execution facilities registered with the CFTC as well as trading venues that have opted to register as designated contract markets rather than as SEFs.
• FIA is publishing aggregate volume and market share information based on this volume information, initially in a static PDF format and subsequently through an interactive website.
• FIA currently provides monthly and annual reports on global exchange-traded futures and options volume and will use its experience in this area to develop SEF Tracker.
• FIA is a non-profit trade association and plans to provide these reports to the public at no charge.
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SEF Tracker Reports
• FIA’s SEF Tracker reports currently cover three asset classes: interest rates, credit and foreign exchange. The reports contain tables and charts showing volume by asset class and by SEF. The reports do not include price data or other market data that SEFs may seek to commercialize.
• FIA is currently consulting with SEFs and other market participants on instrument descriptions and the format of the reports. Details on the reporting methodology can be found at the end of the report.
• Over the longer term, FIA plans to offer more detail on volume in specific product types within each asset class as well as more detail on maturity and currency. FIA also plans to incorporate data on comparable products that trade on futures exchanges.
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SEF Glossary
FIA is currently gathering data from the following venues:
360T 360 Trading Networks, Inc. BGC BGC Derivatives Markets, L.P. Bloomberg Bloomberg SEF LLC DW DW SEF LLC FXall Thomson Reuters (SEF) LLC GFI GFI Swaps Exchange LLC ICAP ICAP SEF (US) LLC ICE ICE Swap Trade LLC Javelin Javelin SEF, LLC MarketAxess MarketAxess SEF Corporation SwapEx SwapEx LLC Tradition Tradition SEF, Inc. trueEX trueEX LLC Tullett Prebon tpSEF Inc. TW TW SEF LLC
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Volume by Week(in billions notional USD)
6 Jan 13 Jan 20 Jan 27 Jan 3 Feb 10 Feb 17 Feb 24 Feb 3 Mar 10 Mar 17 Mar 24 Mar0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
3,000,000
Credit FX Interest Rate
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Volume by Week(in billions notional USD)
6-Jan 13-Jan 20-Jan 27-Jan 3-Feb 10-Feb 17-Feb 24-Feb 3-Mar 10-Mar 17-Mar 24-Mar
Credit 48 39 68 128 94 60 46 86 129 158 187 125
FX 180 174 155 191 138 157 145 204 131 158 158 177
Interest Rate
2,348 1,804 2,254 2,286 1,887 1,322 880 1,491 1,400 1,731 1,397 1,735
Total 2,576 2,016 2,476 2,605 2,120 1,538 1,070 1,781 1,660 2,047 1,743 2,037
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IRS: Weekly Volume(in billions notional USD)
6 Jan 13 Jan 20 Jan 27 Jan 3 Feb 10 Feb 17 Feb 24 Feb 3 Mar 10 Mar 17 Mar 24 Mar0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
Non-FRA FRA
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Interest Rate Volume(in billions notional USD)
SEF Latest Week Year-to-Date
Non-FRA FRA Total Non-FRA FRA Total
BGC 121.5 1.4 122.9 2,427.3 13.2 2,440.5
Bloomberg 71.2 - 71.2 613.1 - 613.1
DW 2.8 - 2.8 52.5 - 52.5
GFI Group 12.6 1.9 14.5 193.1 14.9 208.0
ICAP 222.7 792.5 1,015.2 2,320.4 8,615.6 10,936.0
Javelin 0.2 - 0.2 3.7 - 3.7
Tradition 148.4 3.9 152.3 1,938.3 26.3 1,964.6
trueEX 1.5 - 1.5 4.0 - 4.0
Tullett Prebon 183.8 122.1 305.9 1,890.6 2,543.0 4,433.6
TW 48.7 - 48.7 247.7 - 247.7
Total 813.3 921.7 1,735.1 9,690.6 11,213.0 20,903.6
Latest Week:
Mar. 24-28
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IRS: Volume per SEF(in billions notional USD, including FRAs)
Note: Other consists of four SEFs with less than 1% market share each: DW, GFI, Javelin and trueEX
6 Jan 13 Jan 20 Jan 27 Jan 3 Feb 10 Feb 17 Feb 24 Feb 3 Mar 10 Mar 17 Mar 24 Mar0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
BGC Bloomberg ICAP Tradition
Tullett Prebon TW Other
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IRS: Volume per SEF(in billions notional USD, excluding FRAs)
6 Jan 13 Jan 20 Jan 27 Jan 3 Feb 10 Feb 17 Feb 24 Feb 3 Mar 10 Mar 17 Mar 24 Mar0
100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000
900,000
1,000,000
BGC Bloomberg GFI ICAP Tradition Tullett Prebon TW Other
Note: Other consists of three SEFs with less than 1% market share each: DW, Javelin, and trueEX
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IRS: Volume per SEF in Latest Week(24-28 March, excluding FRAs)
BGC14.9%
Bloomberg8.8%
GFI1.5%
ICAP27.4%
Tradition18.3%
Tullett Prebon22.6%
TW6.0%
Other0.5%
BGCBloombergGFIICAPTraditionTullett PrebonTWOther
Note: Other consists of three SEFs with less than 1% market share each:
DW SEF, Javelin, and trueEX
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IRS: Market Share per SEF(excluding FRAs)
6-Jan9-Ja
n
12-Jan
15-Jan
18-Jan
21-Jan
24-Jan
27-Jan
30-Jan2-Feb
5-Feb8-Feb
11-Feb
14-Feb
17-Feb
20-Feb
23-Feb
26-Feb1-M
ar
4-Mar
7-Mar
10-Mar
13-Mar
16-Mar
19-Mar
22-Mar
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
BGC Bloomberg GFI ICAP Tradition Tullett Prebon TW Other
Note: Other consists of three SEFs with less than 1% market share each: DW, Javelin, and trueEX
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Credit: Volume (in billions notional USD)
6 Jan 13 Jan 20 Jan 27 Jan 3 Feb 10 Feb 17 Feb 24 Feb 3 Mar 10 Mar 17 Mar 24 Mar0
20000
40000
60000
80000
100000
120000
140000
160000
180000
200000
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Credit Volume(in billions notional USD)
SEF Latest Week Year-to-Date
BGC 0.2 4.2
Bloomberg 88.3 847.7
DW - -
GFI Group 9.7 116.3
ICAP 1.1 26.7
ICE 3.0 48.2
MarketAxess 3.3 19.4
Tradition 0.9 25.8
Tullett Prebon 9.4 43.1
TW 9.0 63.6
Total 124.9 1,195.0
Latest Week:
Mar. 24-28
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Credit: Volume per SEF(in billions notional USD)
6 Jan 13 Jan 20 Jan 27 Jan 3 Feb 10 Feb 17 Feb 24 Feb 3 Mar 10 Mar 17 Mar 24 Mar0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
180,000
200,000
Bloomberg GFI TW Other
Note: Other consists of five SEFs with less than 1% market share each: BGC, ICAP, ICE, MarketAxess, and Tradition
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Credit: Volume per SEF in Latest Week(24-28 March)
Bloomberg70.7%
GFI7.8%
ICE2.4%
Marke-tAxess2.6%
Tullett Prebon
7.5%
TW7.2%
Other1.8%
BloombergGFIICEMarketAxessTullett PrebonTWOther
Note: Other consists of three SEFs with less than 1% market share each: BGC, ICAP, and Tradition
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Credit: Market Share per SEF
6 Jan 13 Jan 20 Jan 27 Jan 3 Feb 10 Feb 17 Feb 24 Feb 3 Mar 10 Mar 17 Mar 24 Mar0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
BGC Bloomberg GFI ICAP ICE MarketAxess Tradition Tullett Prebon TW
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FX Volume(in billions notional USD)
6 Jan 13 Jan 20 Jan 27 Jan 3 Feb 10 Feb 17 Feb 24 Feb 3 Mar 10 Mar 17 Mar 24 Mar0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
180,000
200,000
220,000
NDF Option
Note: NDF data includes non-deliverable swaps
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FX Volume(in billions notional USD)
SEF Latest Week Year-to-Date
Option NDF Total Option NDF Total
360 T 0.1 0.3 0.4 8.6 1.9 10.4
BGC 25.0 11.9 36.9 334.1 141.5 475.6
Bloomberg 0.0 1.7 1.8 19.8 13.4 33.1
FXall 0.0 3.0 3.0 0.1 37.0 37.1
GFI Group 18.8 19.8 38.6 244.6 237.0 481.6
ICAP 0.0 38.8 38.8 5.1 322.6 327.7
INFX 0.0 0.0 0.0 0.0 0.0 0.0
SwapEx 0.0 0.1 0.1 0.6 41.2 41.8
Tradition 25.1 8.9 34.1 262.7 65.6 328.3
Tullett Prebon 9.3 13.6 22.9 119.4 170.9 290.3
Total 78.5 98.1 176.6 994.9 1,031.0 2,025.9
Latest Week:
Mar. 24-28
Note: NDF data includes non-deliverable swaps
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FX: Volume per SEF(in billions notional USD)
6 Jan 13 Jan 20 Jan 27 Jan 3 Feb 10 Feb 17 Feb 24 Feb 3 Mar 10 Mar 17 Mar 24 Mar0
20000
40000
60000
80000
100000
120000
140000
160000
180000
200000
220000
BGC GFI ICAP Tradition Tullett Prebon Other
Note: Other consists of four SEFs with less than 3% market share each: 360T, Bloomberg, FXall, and SwapEx
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FX: Volume per SEF in Latest Week(24-28 March)
BGC20.9%
GFI21.9%
ICAP22.0%
Tradition19.3%
Tullett Prebon13.0%
Other3.0%
BGCGFIICAPTraditionTullett PrebonOther
Note: Other consists of four SEFs with less than 3% market share each: 360T, Bloomberg, FXall, and SwapEx
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FX: Market Share per SEF
6 Jan 13 Jan 20 Jan 27 Jan 3 Feb 10 Feb 17 Feb 24 Feb 3 Mar 10 Mar 17 Mar 24 Mar0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
360T BGC Bloomberg FXall GFI ICAP SwapEx Tradition Tullett Prebon
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Methodology
• The data in this report are compiled from the reports published daily by SEFs and DCMs on their websites.
• Volume is measured by notional value. Information on trade count, an alternative way to measure volume, is not available from all SEFs at present.
• Notional values are expressed in U.S. dollars. Notional values for swaps that are denominated in other currencies are converted to U.S. dollars using publicly available exchange rates as of the reported day.
• Interest rate volumes are presented both with FRAs and without. Credit volumes do not include single name credit default swaps as these products are not subject to CFTC reporting requirements. FX volumes combine non-deliverable swaps and forwards.
FIA SEF Tracker 24
Disclaimer: The data presented in this report were collected directly from SEFs and DCMs and may contain errors or
omissions. This report should not be relied on as a definitive measure of trading activity on swap execution facilities.
© Futures Industry Association 2014
Please send questions or suggestions to Will Acworth at [email protected]