Last week Bloomberg’s swap execution facility (SEF) saw record high volumes in interest rate swap (IRS) and credit default swap (CDS) trading.
As market volatility spiked with continued concerns about unrest in the Ukraine on March 13, close to 900 IRS trades totaling more than $45 billion in notional were executed by 125 firms. Then on March 14, more than $36 billion in CDS volume was executed amid concern of escalating tensions between Russia and the West.
Both IRS and CDS are often used to hedge against market uncertainty and risk. According to Depository Trust Clearing Corporation (DTCC) data, on Thursday interest rate swaps were traded 45 percent more than their average daily volume. On Friday, CDS indexes were up 67 percent versus historical averages.
With the Commodity Futures Trading Commission (CFTC)’s recent trading mandates, requiring that many of the most liquid benchmark swaps are electronically executed on SEFs, market participants need a reliable platform to easily access liquidity, and trade and clear these instruments within seconds. This is particularly important when market volatility and trading surges.
Bloomberg’s SEF provides market participants flexible trading protocols to access to interest rate, credit, FX and commodity swap liquidity. Since the SEF’s launch on October 2, more than 800 firms have signed on to Bloomberg’s SEF and over $1.4 trillion in volume has been traded.
Here’s the total amount traded last week, by asset class:
|Asset Class||Volume Traded|
|Interest rate swaps||$66 billion|
|Credit default swaps||$113 billion|
|Foreign exchange swaps||$1 billion|
|Commodity swaps||$25 million|