FIA September 2021 SEF Tracker

Trading volume on swap execution facilities reached $923.4 billion in average notional value per day during September 2021. This was up 54.7% from the previous month and up 27.2% from the same month of the previous year.

Although September's trading volume was not as high as the record level set in January, it was the largest amount of trading for any September since SEF trading began in 2014. All three asset classes contributed, with surges of trading activity in rates, credit and FX.

Trading of interest rate swaps and other non-FRA rates products was $534.7 billion per day in September, up 36.7% from August 2021 and up 45.7% from September 2020. FRA trading reached $236.5 billion in average daily trading in September, up 84.9% from the previous month but down 3.2% from a year ago.

Credit default swap trading averaged $90.4 billion per day in September, the largest for September in any year and the second largest monthly average after March 2020. Bloomberg’s market share increased to 72.2% and Tradeweb’s share increased to 19.5%.

FX trading on SEFs reached $61.7 billion per day in September, the highest amount recorded for any September and an increase of 13.9% from the previous month. Tullett Prebon had the largest share of the trading volume with 31%. BGC once again swapped with Tradition to attain second highest share with 20.7%.

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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.

FIA SEF Tracker

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.