Today I review 2021 Swap Execution Facility (SEF) volumes and market share for both Credit Derivatives and Foreign Exchange Derivatives, in a similar format to my 2020 SEF Market Share Statistics article.
- Index, Option and Tranche products
- Volume in USD of $7 trillion, down 8% from the prior year
- Volume in EUR of $4.3 tillion, up 48%, Brexit causing an MTF to SEF move
- Bloomberg dominates with 81% share in USD and 76% in EUR
- D2D SEFs with 10% in USD and 17% in EUR
- Tullet the largest D2D SEF
- Option volume in USD of $47 billion and in EUR $7.5 billion
- Tranche volume in USD of $1.6 billion and in EUR of $0.9 billion
- FX NDF and FX Options
- FX NDF volumes at $8.6 trillion are up 12%
- FX Opt volumes at $6.8 trillion same as prior year
- FX NDF, BRL, TWD, INR, the three largest currencies
- FX NDF, D2D for LatAm is led by TP with 66.6% share
- FX NDF, D2D for Asia is led by BGC with 35.5% share
- FX NDF, D2C is led by Bloomberg with 50% share
- FX Opt, EURUSD, USDJPY, USDCAD, AUDUSD, the four largest pairs
- FX Opt, Tradition top in 9 out of 13 pairs
- FX Opt, BGC top in 3 and GFI in 1 pair
Onto the charts, data and details.
CRD Volumes and Share
Starting with Credit volumes by currency for each month.
- USD is the largest (CDX.NA.IG, CDX.NA.HY, CDX.EM)
- EUR is next ( iTraxxEurope and iTraxxEuropeCrossOver)
- (Recall CFTC SEF rules govern CDS Index not Single-name, so the latter are not included)
- USD volume in 2021 was $7.1 trillion, down 8% from $7.7 trillion in 2020.
- EUR volume in 2021 was $4.3 trillion, up 48% from $2.9 trillion in 2020!
- (The huge EUR increase is from the migration of volume from UK/EU MTFs to US SEFs, see here and here)
- March and September 2021 are the series roll months with consquently higher volumes
In USD, D2C SEFs represent 90% of the volume and D2D have 10%.
While in EUR D2C SEFs have 83% and D2D 17%. (The higher share D2D share also a result of EUR CDX volumes moving from MTFs to SEFs).
Let’s look at a chart of market share for D2C SEFs.
- Bloomberg with a commanding overall share of 79.2%, Tradeweb with 20.7%
- In USD this is Bloomberg 80.9%, Tradweb 19% and MarektAcess 0.1%
- In EUR it is Bloomberg 76.3% and Tradeweb 23.7%
- Some variability month to month, with Tradeweb slightly higher share in series roll months
Gross notional volume in 2021 at these D2C SEFs was $6.4 trillion in USD and $3.6 trillion in EUR.
Next let’s look at a chart of market share for D2D SEFs.
- Tullet the largest with an overall 63.5% share, with 88.6% in USD and 40.2% in EUR
- BGC next with an overall 16.9% share and with 32.3% in EUR and 0.4% in USD
- GFI with an overall 14.6%, wth 27.5% in EUR and 0.7% in USD
- Tradition with an overall 4.9%, 10.2% in USD and 100% in JPY.
- EUR market share split three ways with TP, BGC, GFI in a 40%, 32% and 27% split.
- USD pre-dominately at Tullet and JPY all at Tradition
Volume in 2021 at these D2D SEFs was $684 billion in USD, $735 billion in EUR and $18 million in JPY.
Next a chart of Currency and Product Type for 2021.
- EUR Index volume is $4.3 trillion, Option is $7.5 billion and Tranche is $930 million
- (compared to 2020 volumes of $2.9 trillion, $8.6 billion and $720 million respectively)
- All the Option and Tranche volume at GFI
- USD Index volume is $7 trillion, Option is $47 billion and Tranche is $1.6 billion,
- (compared to 2020 volumes of $7.7 trillion, $31 billion and $1.9 billion respectively)
- In USD, Tullets with $45.7 billion of Option and Tradition with $1 billion
And finally for Credit, a chart of volume by Index for the current on the run series.
- CDX NA IG S37 the largest with $1.4 trillion in 2021, up from $1 trillion in 2020 and 2019 (current series)
- iTraxx Europe S36 with $1 trillion up from $418 billion in 2021 and $375 billion in 2019
- (the increases due to Brexit and migration of volume from MTFs to SEFs)
- CDX NA HY S37 with $450 billion, up from $320 billion in 2020 and $306 billion in 2019
- iTraxx EuropeCrossOver S36 with $274 billion up from $117 billion in 2020 and $103 billion in 2019
- CDX EM S36 with $65 billion, up from $32 billion in 2020 and $27 billion in 2019
That’s it for CRD.
FXD Volumes and Share
Lets now look at FXD volumes.
- Non-Deliverable Forwards (NDF) with $8.6 trillion, up 12% from $7.7 trillion in 2020
- FX Options with $6.8 trillion, similar to the $6.9 trillion in 2020
- Bitcoin Futures with $600 billion, up from $142 billion in 2020
- Exotic Options with $18 billion, up from $10 billion
- March 2021, the highest volume month with $1.6 trillion (same as March 2020)
- Other months are in the $1.2 trillion to $1.4 trillion range
Next FX NDF volumes by currency pair.
- The largest 10 currencies are BRL, TWD, INR, CLP, KRW, COP, IDR, PHP, PEN, CNY
- The changes in order from 2020 are that CLP is now above KRW and PHP above PEN & CNY
- These 10 currency pairs with $8.4 trillion out of the total $8.6 trillion
- BRL by far the largest with $1.95 trillion, up from $1.6 trillion in 2020 and down from $2.2 trillion in 2019
- TWD next with $1.26 trillion, up from $1.1 trillion in 2020 and $860 billion in 2019
- INR with $1.24 trillion, up from $1.06 trillion and $1 trillion in prior years
- CLP with $1 trillion, up from $910 billion and $860 billion
- KRW with $1 trillion, same as 2020 and slightly up from $974 billion in 2019
- Then a big gap to COP with$628 billion, up from $560 billion and $414 billion
- IDR with $401 billion, PHP $314 billion, PEN $309 billion and CNY $302 billion
NDF volume in the 10 largest currencies is dominated by D2D SEFs with 86% vs 14% for D2C, a material increase in D2C from 2020 and 2019 with 92% D2D vs 8% for D2C. A sign of more client trading (or even clearing) of NDFs?
Next NDF percent market share for D2D SEFs by month.
First for LatAm currency pairs (BRL, CLP, COP, PEN).
- TP the largest with 66.6% share up from 62.8% in 2020 and 62% in 2019
- GFI next with $14.6%, down from 15.1% and 15.2% in prior years
- Tradition with 10.1%, same as 2020 and up from 6.7% in 2019
- BGC with 7.4%, down from 9.9% and 13.2% in prior years
- NEX with 1%, down from 1.7% and 2.3%
- Latam with 0.3%,down from 0.4% and 0.6% in prior years
Next D2D SEF Asian currency pairs (CNY, IDR, INR, KRW, PHP, TWD)
- BGC the largest with $35.5%, similar to 35.9% in 2020, up from 29.6% in 2019
- TP next with 29.5%, similar to 29.4% in 2020 , up from 26.8% in 2019
- NEX with 22.2%, down from 23.8% and 31% in prior years
- Tradition with 12.3%, up from 8.3% and 6.7% in prior years
- GFI with 0.1%, down from 2.6% and 6% in prior years
Next the D2C SEFs (the 10 largest ccy pairs).
- Bloomberg the largest with 49.9% share, similar to 49.6% in 2020, a high of 63.5% in BRL
- Refinitiv close with 37.9%, down from 43.6% in 2020, a high of 68.8% in CNY
- CBOE with 8.9%, up from 3.2% in 2020 (with IDR, INR, TWD each at 12% or higher)
- 360T with 1.8%, down from 2.6% in 2020, a high in CNY of 7.4%
- Latam with 0.9%, a high of 9.1% in CLP
- SwapEx with 0.5%, down from 1%
Next FX Option volumes by currency pair.
- The largest 15 currency pairs are shown above (in order top left to bottom right)
- EURUSD by far the largest with $1.7 trillion, down from $2 trillion in 2020 and $1.8 trillion in 2019
- USDJPY next with $1.1 trillion down from $1.34 trillion and $1.35 trillion in prior years
- USDCAD with $840 billion, up from $610 billion and $470 billion
- AUDUSD with $415 billion, up from $304 billion and $340 billion (and now above GBP and CNH)
- USDCNH with $370 billion, up from $312 billion and $352 billion
- GBPUSD with $330 billlion, similar to $335 billion in 2020, but down from $595 billion in 2019
- USDBRL with $273 billion, up from $230 billion but down from $380 billion
- EURGBP with $230 billion, up from $205 billion and down from $238 billion in prior years
FXO volumes are dominated by D2D SEFs with 99% v 1% for D2C, similar to prior years.
Let’s chart 2021 volumes by FXO currency pair and SEF market share.
- The cumulatie share for all these pairs is Tradition 35.6%, BGC 24.1%, GFI 19.8% and TP 19.3%
- AUDJPY, Tradition 35.9%, BGC 26.8%
- AUDUSD, Tradition 38%, BGC 22.2%
- EURGBP, Tradition 28.5%, GFI 27.6%, TP 23.4%, BGC 19.8%
- EURJPY, Tradition 34%, TP 30%
- EURUSD, Tradition 29.2%, BGC 23.8%
- GBPUSD, BGC 27%, Tradition 25%, TP 24.5%, GFI 21.9%
- USDBRL, Tradition 35.4%, BGC 32.3%
- USDCAD, Tradition 52.7%
- USDCHF, GFI 29.5%, Tradition 28.2%
- USDCNH, Tradition 32.2%, BGC 27%
- USDINR, BGC 38.4%, Tradition 22.6%
- USDJPY, Tradition 41.3%, BGC 23%
- USDMXN, BGC 35.7%, GFI 29.4%
Thats it for FXD.
(IRD will be covered in separate blog).
That’s it, 12 charts to summarise SEF volumes and market share for CRD & FXD.
There are many more charts I could have created.
I hope you found these useful.
If not, using SEFView you can create your own.
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