Swap Execution Facility Trading Volumes: Here are the Real Numbers

By | October 3, 2013

There are some really good parts of the SEF rule, and this in my view is one of the best:sef

Core Principle 9 requires a SEF to make public timely information on price, trading volume, and other trading data on swaps to the extent prescribed by the Commission.

The result?  SEFs posting daily volumes on their websites for all the world to see.  My qualitative conversations with market participants and SEFs showed that liquidity was down slightly in IRS and CDS, with some business going back to the phone or overseas.  But by and large day 1 was in fact boring.  My link clicking has revealed the following quantitative view of Day 1:

  • Bloomberg ($1.5 billion IRS, $4.5 billion CDS)
  • GFI ($3.72 billion CDX and other swaps)
  • ICAP (299 trades, 96 different products in 9 different currencies, including IRS ($21 billion in USD), CDS and NDF)
  • Javelin (100m IRS)
  • Tradeweb TW/DW ($2.4 billion IRS, $0.6 billion CDS)
  • If I’ve missed volume elsewhere please let me know.

While its great to finally see some real SEF trading, we’re a long way from picking winners and losers.  We’ll know a little bit more in 30 days when much of the no-action expires, and even more in Q1 2014 when the MAT designations take effect.  Here are the links.  I will keep this updated as more come online.

Swap Execution Facility Publicly Disclosed Trading Volume Data (those in bold have reported volume since Oct 2):

  1. 360 Trading Networks: http://www.360t.com/cnt_sitedata/financial_regulation_swap_execution_facility.php
  2. Bloomberg: http://data.bloombergsef.com/
  3. BGC Derivative Markets: http://dailyactprod.bgcsef.com/SEF/DailyAct/DailyAct.pdf
  4. CME Group (SDR): http://www.cmegroup.com/market-data/repository/
  5. FXall (Thomson Reuters): http://www.fxall.com/solutions–capabilities/regulatory-solutions/thomson-reuters-sef
  6. GFI Group: http://www.gfigroup.com/markets/swaps-exchange/trade-data.aspx
  7. ICAPhttp://www.icap.com/what-we-do/global-broking/sef.aspx (click Market Data)
  8. ICE Swap Tradehttps://www.theice.com/publicdocs/swap_trade/Credit_Daily_Market_Report.pdf
  9. INFX: http://isef.integral.com/downloads.html
  10. Javelin: http://www.thejavelin.com/market-data
  11. LatAm: NA
  12. MarketAxesshttp://www.marketaxess.com/trading/sef-data.php
  13. SwapEx: http://www.swapex.com/swapex/market-data/irs/http://www.swapex.com/swapex/market-data/NDF/
  14. Tera Exchange: http://www.teraexchange.com/SEF-Trade-Volumes.csv
  15. TruEX: http://www.trueex.com/settlement-data
  16. Tradition SEF: http://www.traditionsef.com/market-activity/
  17. Tradewebhttps://reports.tradeweb.com/account/login/?ReturnUrl=%2f
  18. Tullett Prebon (tpSEF)http://www.tullettprebon.com/swap_execution_facility/daily_activity_summary.aspx

8 thoughts on “Swap Execution Facility Trading Volumes: Here are the Real Numbers

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  8. snakeroot1

    Just to update this (since some of the links have moved):

    –360 Trading https://download.360t.com/sef_reporting/SEF_trade_data.pdf (most recent day only)

    –BGC http://dailyactprod.bgcsef.com/SEF/DailyAct/ (most recent weeks only)

    –CME ftp://ftp.cmegroup.com/pub/daily_volume/

    –ICAP (page is right, but click “Data” not “Market Data”)

    –ICE https://www.theice.com/swap-trade (seems only to be the last few days, separated out by Credit and Commodities)

    –ISEF http://isef.integral.com/downloads.html

    –Swapex http://www.swapex.com/swapex (click Market Data–separated by Rates and NDF)

    –Tera http://www.teraexchange.com/ (click link at bottom for download–most recent day only)

    –Tradeweb REQUIRES LOGIN

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