FIA December 2022 SEF Tracker

Trading volume on swap execution facilities reached $748.4 billion in average notional value per day during December 2022. This was down 3.6% from the previous month but up 35.5% from the same month of the previous year. Compared to November 2022, trading was down in every sector except for non- FRA trading.

Trading of interest rate swaps and other non-FRA rates products was $578.2 billion per day in December. This level was up 2.5% from November 2022 and up 35.2% from December 2021. FRA trading reached $89.5 billion in average daily trading in December. This amount of daily trading was down 18.8% from the previous month but up 127.8% from a year ago.

Credit default swap trading averaged $33.6 billion per day in December, the third largest level of daily trading for any December. Bloomberg’s market share increased to 72.6% and Tradeweb’s share decreased to 16.9%.

FX trading on SEFs reached $47.1 billion per day in December, the lowest amount recorded for any December since 2017 and a decrease of 22.6% from the previous month. Tullett Prebon had the largest share of the trading volume with 32.4%. BGC had the second highest share with 21.9%.

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.

FIA SEF Tracker

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. Sign up now to receive these monthly data alerts.