Trade Counts by SEF


SEFs at a Glance

As SEFs compete for volume, the number of swaps processed is one metric to monitor growth on the platforms.  This competitive analysis displays where market participants are transacting and in what size. 

Market Share by total transaction counts are tighter than analysis by notional as displayed in the exhibits.

Average Trade Size

Looking at the two main Dealer to Client SEFs, in USD for the week, BSEF average swap size is $62.7M while Tradeweb ticked at $114.4M.  In contrast, for EUR Tradeweb’s average transaction is $55M compared to $68M at BSEF.

Among the IDBs for all currencies, ICAP’s US SEF led average trade sizes.

  • ICAP $385M
  • TP $252M
  • IGDL $187M
  • BGC $164M
  • Tradition $131M
  • GFI $94M

Excluding FRA’s, ICAP remained the leader increasing average trade size to $398M, followed by IGDL at $170M, TP at $150M, BGC at $138M, Tradition at $107M and GFI at $79M.  

For week ending November 7th, 41% of all US Person Trades were executed On SEF, down from an average of 48% since July.  Total trade counts, on average, has been increasing 2.5% per week since July compared to 1.5% for SEF trades, which is another component driving MAT discussions.    

Swaps liquidity has fragmented by participant types utilizing different venues and methods for transacting, in addition to by instrument available.  With the extension of package trade relief and the next round of MAT to be disciplined, transactions by SEF are likely to remain relatively stable.  Continued convergence in offerings among SEFs is another factor to impact the number of trades processed On SEF.   

By Orlando Almodovar

Derivatives Analytics and Market Intelligence