FIA November 2021 SEF Tracker Now Available

Trading volume on swap execution facilities reached $902.3 billion in average notional value per day during November 2021. This was down 17.1% from the previous month but up 63.1% from the same month of the previous year. FRA and FX trading increased from the previous month while trading in non-FRA and credit trading was down.

Trading of interest rate swaps and other non-FRA rates products was $639 billion per day in November, the second highest level of daily trading ever recorded in this sector. This level was down 27.3% from the record month of October 2021 but up 107.1% from November 2020. FRA trading reached $158.4 billion in average daily trading in November. This amount of daily trading was up 58.2% from the previous month but down 0.5% from a year ago.

Credit default swap trading averaged $44 billion per day in November, the largest for any November. Bloomberg’s market share decreased to 70.9% and Tradeweb’s share increased to 14.3%.

FX trading on SEFs reached $60.8 billion per day in November, the highest amount recorded for any November and an increase of 0.2% from the previous month. Tullett Prebon had the largest share of the trading volume with 29.8%. Tradition retained the second highest share with 22.2%.

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Overview: Recent trading activity for interest rate derivatives, credit default derivatives and foreign exchange derivatives on swap execution facilities in the US.

Comparison Table: Monthly data on trading activity at each swap execution facility, with separate tables for interest rate derivatives, credit default derivatives, and foreign exchange derivatives.

Historical Volume: Monthly volume on SEFs in three asset classes: interest rates, credit and foreign exchange as well as ranking of volume by asset class and ranking of SEFs by volume.

Rates Monthly Volume: Based on trading of foreign exchange derivatives on SEFs in the US, the visualizations include monthly volume, volume ranked by currency, volume for each SEF and market share for each SEF.

Credit Monthly Volume: Based on trading of foreign exchange derivatives on SEFs in the US, the visualizations include monthly volume, volume ranked by index name, volume for each SEF and market share for each SEF.

FX Monthly Volume: Based on trading of foreign exchange derivatives on SEFs in the US, the visualizations include monthly volume, volume ranked by quote currency, volume for each SEF and market share for each SEF.

FIA publishes three other data products: the FCM Tracker, which provides insights on the financial condition of futures commission merchants in the US; the CCP Tracker, which provides quarterly data on risk exposures at derivatives clearinghouses; and, a monthly report on exchange-traded derivatives volume and open interest. FIA provides these data products as a service to its members and as part of its mission to promote better understanding of the global derivatives markets.