The volume of transactions on swap execution facilities reached $ 1.07 trillion in average notional value per day in March 2021. This was the third highest monthly average in SEF trading history, eclipsed only in February and January of this year.
Swaps of interest rate swaps and other non-FRA rate products totaled $ 604.8 billion per day in March, up 11.6% from February 2021 and up 9.1% % from March 2020. FRA trade reached $ 316.9 billion on a daily average in March, down 27.6% from the previous month, but up 13.3% from last year.
Credit default swap trading averaged $ 84.2 billion per day in March, the second highest on record after $ 121.3 billion per day in March 2020. The market share of Bloomberg declined to 67.1% while Tradeweb’s share rose to 22.7%.
Foreign exchange trading on FLS reached $ 67.2 billion per day in March, the second highest amount recorded for any March and an increase of 4.2% from the previous month. Tullett Prebon held the largest share of trading volume, with 31.4%, followed by BGC with 20.4%.
Overview: Recent trading activity for interest rate derivatives, credit default derivatives and foreign exchange derivatives on US swap execution facilities.
Comparison chart: Monthly data on trading activity at each swap execution facility, with separate tables for interest rate derivatives, credit default derivatives and currency derivatives.
Historical volume: Monthly volume of FLS in three asset classes: interest rate, credit and foreign exchange as well as ranking of volume by asset class and ranking of FLS by volume.
Rates Monthly volume: Based on currency derivatives trading on SEFs in the United States, visualizations include monthly volume, volume categorized by currency, volume for each SEF, and market share for each SEF.
Monthly loan volume: Based on FX derivatives trading on US SEFs, visualizations include monthly volume, volume listed by index name, volume for each SEF, and market share for each SEF.
Monthly currency volume: Based on FX derivatives trading on US SEFs, visualizations include monthly volume, volume ranked by quote currency, volume for each SEF, and market share for each SEF.
The FIA publishes three other data products: the FCM Tracking, which provides information on the financial condition of futures traders in the United States; the CCP tracker, which provides quarterly data on risk exposures in derivative clearing houses; and a monthly report on volume of derivatives traded on the stock exchange and open interest. The FIA provides these data products as a service to its members and as part of its mission to promote a better understanding of global derivatives markets.