Issue #8 August October 2014

Transcription

1 Issue #8 August October 2014

2 SEF Tracker Highlights From This Month s Data...03 Total Volume by Week...04 (Interest Rate, Foreign Exchange and Credit Combined) Table of Contents IRS Weekly Volume...06 Volume per SEF (latest month)...07 Volume per SEF(including FRAs)...08 Volume per SEF (excluding FRAs)...09 Volume per SEF (latest week)...10 Volume per Currency (latest week)...11 Marketshare per SEF...12 Credit Weekly Volume...14 Volume in Latest Five Weeks...15 Volume per SEF...16 Volume per SEF (latest week)...17 MAT Volume Since the Roll...18 MAT Volume by Index...19 Marketshare per SEF...20 FX Weekly Volume...22 Volume per SEF (latest five weeks)...23 Volume per SEF...24 Volume per SEF (latest week)...25 NDF Volume by Currency...26 Marketshare per SEF

3 Total volume across all three asset classes interest rates, credit and foreign exchange reached 2.36 billion in the week of Oct. 6, the highest level since the first week of June. Trading of credit default swaps rose dramatically in October as new series were rolled out in the benchmark CDX and itraxx indices. Volume rose to $530 billion in the week of October 6, far above the previous record level, as market participants closed out positions in the old series and opened new positions in the new series (see pages 14 and 15). Highlights From This Month s Data During the week of the roll, market share was distributed more evenly than typical. Bloomberg s market share dropped to 65.3% during the week of Oct. 6, the lowest level since May. Tradeweb s market share rose to 17.6% and MarketAxess market share rose to 5.0%, the highest ever for both SEFs. By month end, volume had dropped to $175 billion and Bloomberg s market share had risen back to 74.9% (see spreadsheet for details). Interest rate trading in October was approximately the same as September. An increase in FRA trading offset a decline in non-fra trading, which has been trending down since the week of Sept. 8 (see page 6). Two SEFs that concentrate on dealer-to-customer trading Bloomberg and Tradeweb had a combined share of 31.9% of non-fra trading during the week of Oct. 13, the highest level yet recorded. Tullett Prebon captured 22.7% of non-fra trading in the last week of October, the highest for that SEF since July. ICAP ranked second, with 20.3% of the market across its two SEFs. LatAm, a SEF specializing in swaps denominated in the Mexican currency, had a record amount of trading, $3.3 billion, in the last week of October (see spreadsheet for details). 3 Trading of non-deliverable forwards and FX options in October was approximately the same level as September. BGC had the largest share of the market during the week of Oct. 27, with $71.9 billion and 31.6% of the market. GFI ranked second with $37.9 billion and 18.8% of the market. TR, a SEF operated by Thomson Reuters that focuses on dealer-to-customer trading, had $5.3 billion in trading during that week, the largest on that SEF since the last week of August (see spreadsheet for details).

4 Volume by Week (in billions notional USD) 2,500 Credit FX 2,000 Interest Rate 1,500 1, Aug 18-Aug 25-Aug 1-Sept 8-Sept 15-Sept 22-Sept 29-Sept 6-Oct 13-Oct 20-Oct 27-Oct 4

5 IRS Interest Rate Swaps

6 IRS: Weekly Volume (in billions notional USD) 2,000 FRA Non-FRA 1,500 1, Aug 18-Aug 25-Aug 1-Sept 8-Sept 15-Sept 22-Sept 29-Sept 6-Oct 13-Oct 20-Oct 27-Oct 6

7 IRS: Volume per SEF (latest month in billions notional USD) SEF Latest Month: September 29 - October 31 Non-FRA FRA Total BGC Bloomberg DW GFI ICAP , , IGDL Javelin LatAm Tradition trueex Tullett Prebon , TW Total 3, , ,

8 IRS: Volume per SEF (in billions notional USD, including FRAs) 2,000 TW 1,500 Tullett Prebon Tradition IGDL 1,000 ICAP Bloomberg 500 BGC 0 11-Aug 18-Aug 25-Aug 1-Sept 8-Sept 15-Sept 22-Sept 29-Sept 6-Oct 13-Oct 20-Oct 27-Oct Note: consists of 5 SEFs that have less than 4% market share each: DW, GFI, Javelin, LatAm and trueex. 8

9 IRS: Volume per SEF (in billions notional USD, excluding FRAs) 1,200 1,000 TW Tullett Prebon 800 Tradition IGDL 600 ICAP 400 Bloomberg BGC Aug 18-Aug 25-Aug 1-Sept 8-Sept 15-Sept 22-Sept 29-Sept 6-Oct 13-Oct 20-Oct 27-Oct Note: consists of 5 SEFs that have less than 4% market share each: DW, GFI, Javelin, LatAm and trueex. 9

10 IRS: Volume per SEF in Latest Week (October 27-31, excluding FRAs) 3.7% TW 11.2% BGC 19.2% BGC Bloomberg ICAP IGDL Tradition Tullett Prebon 22.7% Bloomberg 11.2% Tullett Prebon TW ICAP 8.0% 10 Tradition 11.8% IGDL 11.7% consists of 5 SEFs that have less than 4% market share each: DW, GFI, Javelin, LatAm and trueex.

11 IRS: Volume per Currency Latest Week (October 27-31, including FRAs) JPY 3.8% AUD 3.3% MXN 2.4% 2.4% USD GBP 5.6% EUR GBP JPY AUD MXN EUR 24.9% USD 57.7% Note: consists of 20 currencies with less than 2% market share each. 11

12 IRS: Market Share per SEF (excluding FRAs) 100% 100% 90% 80% 70% 90% 80% 70% TW Tullett Prebon 60% 60% Tradition 50% 50% IGDL 40% 40% ICAP 30% 30% Bloomberg 20% 20% BGC 10% 10% 0% 11-Aug 18-Aug 25-Aug 1-Sept 8-Sept 15-Sept 22-Sept 29-Sept 6-Oct 13-Oct 20-Oct 27-Oct 0% Note: consists of 5 SEFs that have less than 4% market share each: DW, GFI, Javelin, LatAm and trueex. 12

13 Credit

14 Credit: Volume (in billions notional USD) Aug 18-Aug 25-Aug 1-Sept 8-Sept 15-Sept 22-Sept 29-Sept 6-Oct 13-Oct 20-Oct 27-Oct 14

15 Credit: Volume in Latest Five Weeks (in billions notional USD) SEF 29-Sept 6-Oct 13-Oct 20-Oct 27-Oct Total BGC Bloomberg , GFI ICAP ICE MarketAxess Tradition Tullett Prebon TW Total ,

16 Credit: Volume per SEF (in billions notional USD) ICE GFI 400 TW 300 Bloomberg Aug 18-Aug 25-Aug 1-Sept 8-Sept 15-Sept 22-Sept 29-Sept 6-Oct 13-Oct 20-Oct 27-Oct Note: consists of 5 SEFs with less than 3% market share. BGC, ICAP, MarketAxess, Tradition and Tullett Prebon. 16

17 Credit: Volume per SEF in Latest Week (October 27-31) GFI 3.4% Tullett Prebon 2.9% MarketAxess 1.9% 1.0% Bloomberg ICE 6.6% TW ICE TW 9.2% GFI Tullett Prebon MarketAxess Bloomberg 74.9% consists of 3 SEFs with less than 1% market share each: BGC, ICAP and Tradition 17

18 Credit: MAT Volume Since the Roll (October 6-31) (The time period for this graphic was adjusted to cover trading after the Oct. 6 introduction of new series in the four indices covered by MAT requirements.) 1.9% MAT: On the Run MAT: Most Recent Off the Run MROF 27.8% ON 70.4% Note: MAT volume represents trading in On-the-Run and Most Recent Off-the-Run series of four benchmark credit default indices: CDX.NA.IG, CDX.NA.HY, itraxx Europe, and itraxx Crossover. 18

19 Credit: Volume per MAT Index Since the Roll (October 6-31) (The time period for this graphic was adjusted to cover trading after the Oct. 6 introduction of new series in the four indices covered by MAT requirements.) XOVER 11.2% IG - CDX North America Investment Grade HY - CDX North America High Yield EUR - itraxx Europe EUR 22.1% XOVER - itraxx Europe Crossover IG 49.3% 19 HY 17.4% Note: This graph excludes trading in products that are not subject to the CFTC s made-available-totrade determinations.

20 Credit: Market Share per SEF 100% 100% TW 90% 80% 90% 80% Tullett Prebon 70% 70% Tradition 60% 60% MarketAxess 50% 50% ICE 40% 40% ICAP 30% 20% 30% 20% GFI 10% 10% Bloomberg 0% 0% BGC 11-Aug 18-Aug 25-Aug 1-Sept 8-Sept 15-Sept 22-Sept 29-Sept 6-Oct 13-Oct 20-Oct 27-Oct 20

21 FX Foreign Exchange

22 FX: Volume (in billions notional USD) 250 Option NDF Aug 18-Aug 25-Aug 1-Sept 8-Sept 15-Sept 22-Sept 29-Sept 6-Oct 13-Oct 20-Oct 27-Oct 22

23 FX: Volume in the Latest Five Weeks: (in billions notional USD) SEF Latest Five Weeks September 29 - October 31 NDF Option Total 360T BGC Bloomberg GFI ICAP SwapEx TR Tradition Tullett Prebon Total

24 FX: Volume per SEF (in billions notional USD) 250 Tullett Prebon 200 Traditon ICAP 150 GFI 100 BGC Aug 18-Aug 25-Aug 1-Sept 8-Sept 15-Sept 22-Sept 29-Sept 6-Oct 13-Oct 20-Oct 27-Oct Note: consist of 4 SEFs with less than 3% market share each: 360T, Bloomberg, SwapEx and TR. 24

25 FX: Volume per SEF in Latest Week (October 27-31) 3.0% ICAP 13.5% ICAP BGC 28.6% Tullett Prebon Traditon Tullett Prebon 16.9% GFI BGC Tradition 17.7% GFI 20.3% Note: consists of 4 SEFs with less than 4% market share: 360T, Bloomberg, SwapEx and TR. 25

26 FX: NDF Volume per Currency (September 29 - October 31) PEN 3.9% TWD 3.5% 4.3% BRL: Brazilian Real MYR 4.4% CLP: Chilean Peso INR: Indian Rupee CNY 4.4% BRL % COP: Colombian Peso KRW: Korean Won KRW 8.4% CNY: Chinese Yuan MYR: Malaysian Ringgit PEN: Peruvian Nuevo Sol COP 8.5% TWD: New Taiwan Dollar INR 8.6% CLP 10.5% Note: consists of 15 currencies under 3%. 26

27 FX: Market Share per SEF 100% 90% 80% 100% 90% 80% Tullett Prebon 70% 70% Tradition 60% 60% ICAP 50% 50% GFI 40% 40% BGC 30% 30% 20% 20% 10% 10% 0% 0% 11-Aug 18-Aug 25-Aug 1-Sept 8-Sept 15-Sept 22-Sept 29-Sept 6-Oct 13-Oct 20-Oct 27-Oct Note: consists of 4 SEFs with less than 4% market share: 360T, Bloomberg, SwapEx and TR. 27

28 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. The reports currently cover three asset classes: interest rates, credit and foreign exchange. What is FIA SEF Tracker? This month s issue comes in two formats a series of charts showing volume and market share trends and a spreadsheet with the underlying data aggregated on a weekly basis and sorted in various ways. The spreadsheet is posted on the FIA SEF Tracker website at futuresindustry.org/sef-tracker.asp. FIA is consulting with SEFs and other market participants on instrument descriptions and the format of the reports. Details on the reporting methodology can be found in the following pages. FIA is a non-profit trade association and is providing these reports to the public at no charge. 28

29 The data in this report were compiled from the reports published daily by SEFs and DCMs on their websites. Volume is measured by notional value 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. Methodology FX volumes include non-deliverable forwards and options based on currencies. FX volumes exclude products based on precious metals. IRS volumes include forward rate agreements executed through risk mitigation facilities operated by ICAP and Tullett Prebon as well as FRAs executed through the normal course of business. FIA is examining ways to differentiate between these two sources of volume. 29

30 FIA Is Currently Gathering Data from the Following SEFs and DCMs: SEFS AND DCMS SEFS AND DCMS 360T 360 Trading Networks, Inc. LatAm LatAm SEF, LLC BGC BGC Derivatives Markets, L.P. MarketAxess MarketAxess SEF Corporation Bloomberg Bloomberg SEF, LLC SwapEx SwapEx, LLC DW DW SEF, LLC TeraExchange TeraExchange, LLC GFI GFI Swaps Exchange, LLC TR Thomson Reuters (SEF), LLC ICAP ICAP SEF (US), LLC Tradition Tradition SEF, Inc. IGDL ICAP Global Derivatives Limited trueex trueex, LLC ICE ICE Swap Trade, LLC Tullett Prebon tpsef Inc. INFX INFX SEF, Inc. TW TW SEF, LLC 30 Javelin Javelin SEF, LLC Note: TR previously was called FXall

31 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 Please send questions or suggestions to Will Acworth at wacworth@fia.org