FIA today published the latest issue of FIA SEF Tracker, a periodic report on trading activity taking place on swap execution facilities.
This issue of FIA SEF Tracker shows volume trends and market share for interest rate, credit default and foreign exchange products for November and December of 2014. This issue also includes a spreadsheet containing the underlying data for all of 2014.
Highlights from the latest issue include:
- Overall trading on SEFs trended lower during November then rebounded in early December. The last two weeks of the year were quiet as markets slowed down for the holidays.
- Volume in interest rate swaps and other non-FRA interest rate instruments was $969.7 billion in the week of Dec. 8, the highest weekly total since September. FRA volume, which includes transactions executed through special risk reduction facilities operated by ICAP and Tullett Prebon, reached $916.1 billion in the first week of December, the highest since July.
- Credit default swap trading was well below the record levels set in October, when new series were issued for the major credit indices and many market participants rolled their positions into the on-the-run series. Nevertheless, nearly $236 billion was traded on SEFs during the week of Dec. 15, a relatively high level for a week outside of a roll month. Bloomberg continued to be the most heavily used SEF in credit, with its market share fluctuating between 69% and 84% during November and December.
- In foreign exchange, the overall level of trading on SEFs was relatively stable through most of November and December before falling off in the last two weeks of the year. The SEFs operated by interdealer brokers continued to account for the majority of FX volumes. More than 65% of the volume in non-deliverable forwards was in Latin American currencies.
The report is based on data collected directly from the SEFs via the daily reports they make available to the public. The report also includes data from trading venues that are offering the same or similar products but have opted to register with the Commodity Futures Trading Commission as designated contract markets rather than as SEFs.
To sign up for regular updates to the SEF Tracker, please visit the FIA website at http://www.fia.org/sef-tracker.asp.