SEF MAT Week 4, IRS Volumes and Spot, Spread, Fwd, MAC

Following on from my article SEF MAT Week 3, IRS Volumes Up and Up, I will look at:

  • Figures for Week 4 (Mar 10-14)
  • Market share by SEF
  • Types of IRS traded On SEF


Week 4

Lets start with a chart from SDRView Researcher of weekly volumes for all USD Interest Rate Swaps in the six week period starting February 3, 2014.

SEF MAT Wk4 - Notionals

Which shows that Week 4 volumes remain well above the the lows of MAT Week 1 and 2.


Vanilla Spot Starting by Tenor

Lets now use SDRView Professional to look at Week4 volumes by tenor and just vanilla spot starting par swaps.

Wk4 - BY Tenor

Using this and the table of results (not shown), we can see that:

  • For On SEF and Off SEF, there are 3,170 trades of > $246 billion gross notional
  • A similar volume to Week 3 (> $233 billion)
  • For On SEF there are 2,412 trades of > $180 billion notional
  • Of these 142 trades are Capped, representing $32 billion
  • Following our rule of thumb, to double the $32 billion and add to $180 billion
  • We estimate that total volume traded On SEF (spot start) is approximately $240 billion


Market Share by SEF

Using SEFView we can also look at the volumes reported by the SEF themselves.

Daily volumes in $ millions for Week 4 of MAT for USD Vanilla IRS.

SEF Wk4 - IRSUSD Share

From which we can observe:

  • $254 billion traded (similar to Week 2 & 3 volumes)
  • This is consistent with our SDR estimate of $240 billion plus Fwds/IMMs
  • The SEF ranking order remains the same as Week 3
  • Bloomberg leads with $58 billion traded
  • The 4 IDBs (TP, Trad, ICAP, BGC) follow
  • TW & DW next
  • TrueEx makes a showing
  • GFI and Javelin make up the numbers
  • 10 SEFs reported volume for USD IRS


Types of IRS

Lets now look at the types of trades reported.

In SEFView we can simply drill-down on a figure and export to perform our analysis.

First for one of the Inter-Dealer-Brokers, lets pick ICAP.

What types of Swaps make up the $35 billion gross notional?

ICAP Types

  • Standard Swap (3M Libor vs SA) make up 80%
  • Spreads represent 10%
  • IMM/Forward Starts are 5%
  • Annual (3M Libor vs PA) represent 5%

Lets now do the same for Bloomberg.

BBG Types

  • Standard Swaps make up 84%
  • But MAC (Market Agreed Coupon) are the second largest with 7%
  • Spreads represent 5%
  • IMM 2%
  • Annual 1%


MAC Swaps

Which is very interesting.

MAC Swaps are a recent (April 2013) initiative by SIFMA and ISDA to create a contract with pre-defined terms.

So fixed coupon, imm start, standard tenors, even cusips! ( like bonds).

For more details please see the SIFMA page

It is encouraging that a few of the Dealer to Client SEFs are now showing decent volume in these.

In-fact Bloomberg and TradeWeb both show good volume, with GFI also making a showing.

MAC Vols

So while the $5.8 billion  is a small percentage of the $254 billion traded On SEF; just 2%, it is much more than I was aware of.

It will be very interesting to see whether MAC volumes increase or not.



Week 4 post MAT, USD IRS Volumes continue to rise from the lows of Week 1 and Week 2.

Market Share of USD IRS remains the same as Week 3, with BBG in front with the 4 IDBs following and TW making a good showing.

So we have six in the race out of ten contenders.

Lets see how it continues.

80% of On SEF USD IRS trades are standard SA Fixed vs 3m Libor Swaps.

On BBG 7% of USD IRS is represented by MAC Swaps.

MAC Swaps also trade on TW and GFI.


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