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Swap Execution Facility (SEF) Historical Data

End Of Day Data
InstrumentOpening PriceClosing PriceHigh PriceLow PriceHigh/Low Quote TypeDaily Settlement Price *Monthly Settlement PriceTotal VolumeBlock Trade VolumeCurrencyPayment FlagTotal Volume (USD)Block Trade Volume (USD)
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* Except where indicated, BSEF does not calculate daily settlement price.

  • “P” indicates that the price is represented as a premium
  • “V” indicates that the price is represented as a percentage
  • “O” indicates that the price is represented as neither premium nor percentage
  • If more than one Swap transaction was executed at the same time, and this time is the time of (i) an opening price, BSEF will report the lowest price as an opening price; or (ii) a closing price, BSEF will report the highest price as a closing price. Prices for rate Swaps constituting legs of a Package Transaction executed via the BOLT functionality of the SEF Platform are not included if a premium (net present value) is not allocated to each leg.