Swap Execution Facility Volumes

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SEF Data Normalization & Aggregation

Drilldown into SEF Activity

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Report on USD equivalent notionals, 5YR equivalents

Delineates Block vs Non-Block

Includes DCM Swap Futures, as well as Bond and MM Futures as a benchmark

Full History from SEF inception Oct 2, 2013

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Latest Posts

  • Apr, 24

    There is a new MAT Filing!

    Made Available to Trade Let’s do a poll to kick things off. Before you clicked on this blog, did you know that there had been a new MAT filing? I’m betting that most of our readers were well aware. The MAT filing, from Tradeweb, received decent press coverage, including from Risk: What Is It? A […]

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    Feb, 1

    SOFR Swaps D2D Volumes and Share

    SOFR Swap Volumes at D2D SEFs Volumes in SEFView reported by D2D SEFs under CFTC Part 16 regulations for last week. Showing that Tradition is the largest with $70 billion, followed by TP at $42 billion and IGDL(ICAP) at $32 billion. However we know that in terms of market share that represents revenue share, these […]

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  • Jan, 25

    2021 SEF Volumes and Share – CRD and FXD

    Today I review 2021 Swap Execution Facility (SEF) volumes and market share for both Credit Derivatives and Foreign Exchange Derivatives, in a similar format to my 2020 SEF Market Share Statistics article. Summary: CRD Index, Option and Tranche products Volume in USD of $7 trillion, down 8% from the prior year Volume in EUR of $4.3 […]

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    Apr, 27

    You Need To See This SEF Liquidity In RFRs Now

    USD SOFR trading on D2C SEFs is very small, and well behind the industry average. 72% of GBP risk was versus SONIA on D2D SEFs in April 2021. CHF SARON adoption has jumped to 15% on D2D SEFs this month. RFR Adoption Indicators In this blog I turn the RFR Adoption Indicator methodology onto SEF […]

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  • Apr, 21

    Latest: More EUR Are Trading on-SEF than ever before

    16% of the global EUR D2D swaps market is now on-SEF. This has recently increased above the levels we saw in January 2021. We do not know why there has been another increase in EUR SEF trading. But the data shows it is happening! US venues continue to be the main beneficiaries of Brexit in […]

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    Feb, 9

    US SEFs now have 20-40% of European Derivatives

    Following up on our analysis of the Brexit effects on Rates markets and Credit markets we estimate how much of the swaps market is now executing on-SEF. The extent of the move varies from currency to currency and between Interbank markets and their Clients. We look at each market in turn. The Irony The laws […]

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  • Jan, 26

    New Brexit Rules Move $4Trn Of Derivatives To The US

    Brexit has moved over $4Trn in derivatives out of UK/European execution venues and onto US SEFs. Interdealer volumes in EUR and GBP products executed on US SEFs have increased by ~10 times in 2021. This is a consequence of certain products subject to a Trading Obligation in Europe (and the UK) executing on US registered […]

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    Jan, 5

    2020 SEF Market Share Statistics

    In this article I look at 2020 Swap Execution Facility (SEF) market share for Credit, Foreign Exchange and Interest Rate Derivative asset classes, in a similar format to my 2019 SEF Market Share Statistics. Summary: CRD Index, Option and Tranche products Volume in USD up 17% and in EUR up 12% March 2020 a huge month […]

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