The Gateway to Algorithmic and Automated Trading

FIA introduces SEF Tracker

First Published 8th April 2014

FIA launches SEF Tracker to measure swap trading activity.

Walt Lukken, president and CEO, FIA

Walt Lukken, president and CEO, FIA

"We hope our reports will contribute to greater understanding of the dynamic changes taking place in today's derivatives marketplace."

Washington, D.C. - FIA is launching SEF Tracker, a periodic report on trading activity taking place on swap execution facilities. The report is intended to provide the public with a better understanding of the new venues for the trading of over-the-counter derivatives.

FIA will publish the SEF Tracker report on a monthly basis initially but plans to publish it on a more frequent basis at a later stage. The report contains statistics on the volume of trading as well as charts showing volume trends over time. The report is based on data collected directly from the SEFs via the daily reports they make available to the public. The report also includes data from trading venues that are offering the same or similar products but have opted to register with the Commodity Futures Trading Commission as designated contract markets rather than as SEFs.

"Our SEF Tracker reports will complement a growing number of sources of information about trading activity on these new trading venues," said FIA President and Chief Executive Officer Walt Lukken. "We hope our reports will contribute to greater understanding of the dynamic changes taking place in today's derivatives marketplace."

The SEF Tracker report builds on FIA's experience reporting the volume of trading in exchange-traded futures and options. FIA currently collects futures and options volume from more than 80 derivatives exchanges worldwide and provides aggregate volume data to the public in a number of ways. These data have been used for many purposes over the years, including academic research, journalism, product innovation, business development planning and public policy analysis, and FIA hopes that SEF Tracker will serve a similar purpose in the new marketplace for swaps.

Recognizing that the contracts traded on SEFs differ from exchange-traded futures and options, FIA is consulting with SEFs and other market participants on the types of information that can be reported and looks forward to enhancing this report over time. Initially the report will cover three asset classes-interest rates, credit and foreign exchange-and provide the notional value of trading for each trading venue. Over the longer term, FIA plans to offer more detail on the notional value of trading in specific product types within each asset class as well as more detail on maturity and currency. FIA also plans to distinguish between products that are subject to "made available to trade" determinations and those that are not. Furthermore, FIA plans to incorporate data on volume in comparable products that trade on futures exchanges. FIA does not plan to provide data on pricing, however. FIA expects that this type of data will be provided by the SEFs themselves as well as third-party providers of market data.

FIA is currently gathering data from the following SEFs and DCMs. FIA expects to expand this list if and when other venues register with the CFTC.

  • 360 Trading Networks, Inc.
  • BGC Derivatives Markets, L.P.
  • Bloomberg SEF LLC
  • DW SEF LLC
  • GFI Swaps Exchange LLC
  • ICAP SEF (US) LLC
  • ICE Swap Trade LLC
  • Javelin SEF, LLC
  • MarketAxess SEF Corporation
  • SwapEx LLC
  • Thomson Reuters (SEF) LLC
  • tpSEF Inc.
  • Tradition SEF, Inc.
  • trueEX LLC
  • TW SEF LLC

Note on methodology: The SEF Tracker report measures trading activity by the notional value of the contracts traded on these venues. While there are other ways of measuring trading activity, notional value is the only measure currently published by all SEFs. Notional values are 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.

Disclaimer: The data presented in SEF Tracker reports are collected directly from the SEFs and may contain errors or omissions. These reports should not be relied on as a definitive measure of trading activity on swap execution facilities.