Issue # uary- 14 1
What Is 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. The reports currently cover three asset classes: interest rates, credit and foreign exchange. 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. 2
Methodology 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. 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.
FIA is currently gathering data from the following SEFs and DCMs: 60T 60 Trading Networks, Inc. BGC BGC Derivatives kets, 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 IGDL ICAP Global Derivatives Limited ICE ICE Swap Trade LLC Javelin Javelin SEF, LLC LatAm LatAm SEF, LLC ketaxess ketaxess SEF Corporation SwapEx SwapEx LLC Tradition Tradition SEF, Inc. trueex trueex LLC Tullett Prebon tpsef Inc. TW TW SEF LLC 4
Updates in this month s report: Five additional weeks of volume up to and including the week ending 0 Coverage expanded to include two additional SEFs: ICAP Global Derivatives Limited and LatAm SEF, LLC Two additional charts: IRS: Volume by currency in latest week (page 1) Credit: MAT volume by index in latest week (page ) Revisions to FRA volume for BGC and Tradition following improvements to data collection (page 9) Update to methodology: non-deliverable currency swaps no longer included with NDF volume following further discussions with market participants 5
Highlights from this month s data: In the week of 12, interest rate swap reached the highest weekly level since the inception of the madeavailable-to-trade mandate in ruary. More than 61% of IRS volumes in the most recent week were denominated in U.S. dollars. Credit default swap trading continued to decline, hitting its lowest level in the last week of since mid-ch. In the most recent week, more than 88% of CDS trading was in contracts subject to the CFTC s MAT requirements. Non-deliverable forwards denominated in Brazilian reais, Chilean pesos and Indian rupees accounted for more than half of NDF volume in the latest month. 6
Volume by Week (in billions notional USD),000 2,500 2,000 1,500 1,000 500 0 6 1 27 1 7 14 21 28 5 12 19 26 Interest Rate FX Credit 7
IRS: Weekly Volume (in billions notional USD) 0 500 1,000 1,500 2,000 2,500 6 1 27 1 7 14 21 28 5 12 19 26 FRA Non- FRA 8
Interest Rate Volume (in billions notional USD) SEF Latest Week Year-to-Date * Non-FRA FRA Total Non-FRA FRA Total BGC 46.4 9.1 55.5 2,98.4 6.9,02. Bloomberg 79. - 79. 1,1.6-1,1.6 DW 6.6-6.6 99.4-99.4 GFI 25.6 2.4 28.0 6.0 22.9 85.9 ICAP 1.4 728.0 759.4,740.1 14,4.1 18,074.2 IGDL 144.4 16.6 160.9 44.7 165.1 599.8 Javelin 0.4-0.4 6.9-6.9 Tradition 86.5 1.2 87.7 2,82.8 24.4,058.2 TrueEX 1.1-1.1 2.7-2.7 Tullett Prebon 111.4 92.9 4.,086.8,615.7 6,702.5 TW.8 -.8 552.8-552.8 Total 566.9 850.2 1,4.1 15,11.2 18,76.2 4,047.4 Latest Week:. 26-0 * Until 0 9
IRS: Volume per SEF (in billions notional USD, including FRAs) 2,500 2,000 1,500 1,000 500 0 6 1 27 1 7 14 21 28 5 12 19 26 ICAP IGDL BGC Tullett Prebon Tradition Bloomberg TW Other Note: Other consists of 5 SEFs with less than % market share each: DW, GFI, Javelin, LatAm, and trueex.
IRS: Volume per SEF (in billions notional USD, excluding FRAs) 1,0 1,000 800 600 400 0 0 6 1 27 1 7 14 21 28 5 12 19 26 ICAP IGDL BGC Tullett Prebon Tradition Bloomberg TW Other Note: Other consists of 5 SEFs with less than % market share each: DW, GFI, Javelin, LatAm and trueex. 11
IRS: Volume per SEF in Latest Week (26-0, excluding FRAs) ICAP 5.5% GFI 4.4% Other 1.4% TW 5.9% IGDL 25.1% IGDL Tullett Prebon BGC 9.6% Tradition Bloomberg BGC TW ICAP GFI Bloomberg 1.8% TradiIon 15.0% TulleE Prebon 19.% Other Note: Other consists of 4 SEFs with less than 2% market share each in latest week: DW, Javelin, LatAm, and TrueEX 12
IRS: Volume per Currency in Latest Week (26-0 ) 8.5% OTHER USD EUR OTHER 0.5% EUR 61.0% USD Note: Other consists of 2 currencies with less than % market share each 1
0% IRS: ket Share per SEF (excluding FRAs) 90% 80% 70% 60% 50% 40% 0% % % 0% 6 1 27 1 7 14 21 28 5 12 19 26 BGC Bloomberg ICAP IGDL Tradition Tullett Prebon TW GFI Other Note: Other consists of 4 SEFs with less than 2% market share: DW, Javelin, LatAm and trueex 14
Credit: Volume (in billions notional USD) 0 40 60 80 0 1 140 160 180 0 6 1 27 1 7 14 21 28 5 12 19 26 15
Credit: Volume (in billions notional USD) SEF Latest Week Year- to- Date BGC 0.8 8.0 Bloomberg 45.1 1,474.9 GFI Group 5.0 8. ICAP 1.4 6.2 ICE 6.0 81.1 ketaxess 2.0 41.7 TradiIon 0.2 44.2 TulleE Prebon 0.7 59.8 TW 6.4 1.6 Total 67.6 2,051. Latest Week: 26-0 Year- to- Date: 2-0 16
Credit: Volume per SEF (in billions notional USD) 0 180 160 140 1 0 80 60 40 0 6 1 27 1 7 14 21 28 5 12 19 26 Bloomberg GFI TW ICE Other Note: Other consists of 6 SEFs with less than % market share each: BGC, DW, ICAP, ketaxess, Tradition, and Tullet Prebon
Credit: Volume per SEF in Latest Week (26-0 ) Other 7.4% GFI 7.5% Bloomberg ICE 8.8% TW ICE TW 9.5% Bloomberg 66.8% GFI Other Note: Other consists of 6 SEFs with less than % market share each: BGC, DW, ICAP, ketaxess, Tradition and Tullet Prebon 18
Credit: MAT Volume in Latest Week (26-0 ) Other 11.7% MROF 8.1% MAT: On the Run MAT: Most Recent Off the Run Other On the Run 80.% Note: MAT volume represents trading in On-the-Run and Most Recent Off-the-Run series of four benchmark credit default indices: CDS.NA.IG, CDX.NA.HY, itraxx Europe, and itraxx Crossover. 19
Credit: Volume per MAT Index in Latest Week (26-0 ) 7.6% XOVER 26.7% EU 47.0% IG IG - CDX NA Investment Grade HY - CDX NA High Yield EU - itraxx Europe XOVER - itraxx Europe Crossover 18.8% HY Note: Volume consists of trading in products subject to the CFTC s made-available-totrade determinations.
0% Credit: ket Share per SEF 90% 80% 70% 60% 50% 40% 0% % % 0% 6 1 27 1 7 14 21 28 5 12 19 26 BGC Bloomberg GFI ICAP ICE ketaxess Tradition Tullett Prebon TW 21
FX Volume (in billions notional USD) 0 180 160 140 1 0 80 60 40 0 6 1 27 1 7 14 21 28 5 12 19 26 Option NDF Note: NDF data includes non-deliverable forwards and non-deliverable swaps 22
FX Volume (in billions notional USD) SEF Latest Week Year- to- Date OpIon NDF Total OpIon NDF Total 60T - 0. 0. 9.1 5.0 14.1 BGC NA 6.4 6.4 482.0 24. 716. Bloomberg - 2.6 2.6..1 44.4 FXall 0.1 4.4 4.5 0.7 62. 6.0 GFI Group 1.6.7 4. 76. 62. 78.6 ICAP 1.0 25.1 26.1 6.1 541. 547.4 SwapEx - 0.9 0.9 0. 22.5 22.8 TradiIon 18.1 9.9 28.0 4.6 14.7 568. TulleE Prebon 8.2.2 25.4 189.8.1 506.9 Total 41.0 87.5 128.5 1,518.2 1,70.6,221.8 Latest Week: 26-0 Year- to- Date:. 2-0 Note: SEFs that do not have any meaningful volume in this asset class are not included. NDF data for 60T and FXall includes non-deliverable forwards and non-deliverable swaps. BGC data for options not available at press time. 2
FX: Volume per SEF (in billions notional USD) 0 180 160 140 1 0 80 60 40 0 6 1 27 1 7 14 21 28 5 12 GFI BGC Tradition ICAP Tullett Prebon Other 19 26 Note: Other consists of 4 SEFs with less than 2% market share each: 60T, Bloomberg, FXall, and SwapEx,
FX: Volume per SEF in Latest Week (26-0 ) BGC 5.0% FXall.5% Other 2.8% GFI 26.7% GFI Tradition Tullet Prebon.6% ICAP Tullet Prebon BGC FXall Other ICAP.4% TradiIon 21.8% Note: Other consists of SEFs with less than % market share each: 60T, Bloomberg and SwapEx 25
FX: NDF Volume per Currency in Latest Month (4/28-5/0) CNY 7.0% KRW 7.2% MYR 4.7% PEN 4.% TWD.9% Other 5.2% BRL 6.7% BRL Brazilian Real CLP Chilean Peso INR Indian Rupee COP Colombian Peso KRW Korean Won CNY Chinese Yuan MYR Malaysian Ringgit PEN Peruvian Nuevo Sol TWD New Taiwan Dollar Other COP 8.2% INR 9.1% CLP 1.8% Note: Other consists of 1 currencies with less than % market share each: ARS, EGP, HKD, IDR, ILS, KZT, PHP, RUB, THB, TWD, UAH, UYU, VND 26
FX: ket Share per SEF 0% 90% 80% 70% 60% 50% 40% 0% % % 0% 6 1 27 1 7 14 21 28 5 12 19 26 BGC Bloomberg FXall GFI ICAP SwapEx Tradition Tullett Prebon 60T 27
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 14 Please send questions or suggestions to Will Acworth at wacworth@futuresindustry.org FIA SEF Tracker 28