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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 wacworth@futuresindustry.org