FIA: December 2019 SEF Tracker

December was a very quiet month in the U.S. swaps market. Trading volume on SEFs dropped to $456.8 billion in average notional value per day, the lowest level since August 2017.

The decline in trading volume mainly took place in two sectors: interest rate and credit. Trading of interest rate swaps and other non-FRA rates products was $271.4 billion per day in December, down 8.8% from November 2019 and down 24.8% from December 2018. FRA trading reached $116.7 billion in average daily trading in December, down 43.5% from the previous month but up 11.4% from a year ago.

Credit default swap trading averaged $19.3 billion per day in December. That was the lowest since December 2017, and down by 70% from the record set in September 2019, when average daily notional value reached $64.1 billion.

FX trading followed the same downward trend but not in such a pronounced way. Average daily notional value reached $49.3 billion, down just 1% from December 2018, and down 24% from the record set in June 2019, when average daily notional value reached $64.5 billion.

Overview Dashboard: a high-level view of monthly volume trends and year-to-date SEF market share.

In-Depth Dashboard: a closer look at volume and market share information in each asset class.

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FIA publishes two other data products: the FCM Tracker, which provides insights on the financial condition of futures commission merchants in the U.S., 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. Sign up now to receive these monthly data alerts.