FIA: October 2021 SEF Tracker

Trading volume on swap execution facilities reached $1.09 trillion in average notional value per day during October 2021, the second best level ever recorded after January 2021. This was up 17.9% from the previous month and up 87.1% from the same month of the previous year. Non-FRA trading was the only sector that increased in trading from the previous month; FRA, credit, and FX trading all decreased.

Trading of interest rate swaps and other non-FRA rates products was $878.5 billion per day in October, the highest level of daily trading ever recorded in this sector. This level was up 64.3% from September 2021 and up 220.1% from October 2020. FRA trading reached $100.1 billion in average daily trading in October, the lowest level since December 2020. This amount of daily trading was down 57.7% from the previous month and down 54.8% from a year ago.

Credit default swap trading averaged $48.9 billion per day in October, the second largest for any October after October 2014. Bloomberg’s market share increased to 75% and Tradeweb’s share decreased to 12.1%.

FX trading on SEFs reached $60.7 billion per day in October, the second highest amount recorded for any October after October 2018 but a decrease of 1.6% from the previous month. Tullett Prebon had the largest share of the trading volume with 30.7%. Tradition once again swapped with BGC to attain second highest share with 20.8%.

Please contact the FIA help desk if you have any questions about this service.

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.

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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.