Today we look at 2Q22 Volume and market share in IRD for:
- USD Swaps (LIBOR, OIS, SOFR)
- EUR Swaps (EURIBOR, OIS, €STR)
- GBP Swaps (LIBOR, SONIA)
- JPY Swaps (IBOR, TONA)
- AUD Swaps (BBSW, AONIA)
- CAD Swaps (IBOR, CORRA)
- EMEA Swaps
- AsiaPac Swaps
- LatAm Swaps
- Cross Currency Swaps
Onto the charts, data and details.
Volumes and Market Share
For major currencies and regions, vanilla swaps referencing IBORs and OIS Swaps referencing RFRs.
We use single-side gross notional and cleared volume over a period, either a Year, a Quarter or a Month.
USD Swaps (Libor)
- 2022Q2 with $15.6 trillion compared to $23.8 trillion in 2021Q2
- Significantly down from each of the past 4 quarters, still surprisingly high given the move to SOFR, but we also need to look FRA volume that is now within IRS, (as executed as single-period swaps, SPS), see the next chart below, to draw a better comparison
- LCH SwapClear with $15.3 trillion in 2022Q2 and $23 trillion in 2021Q2
- CME OTC with $295 billion in 2022Q2 and $750 billion in 2021Q2
- 2022Q2 Share is LCH 98.1% and CME 1.9%, compared to 96.8% v 3.1% in 2021Q2, but not really an apples to apples comparison given the FRA issue noted above
A chart showing USD FRAs by quarter for the same period is illustrative.
- 2022Q2 with just $0.5 trillion compared to $10.7 trillion in 2021Q2, a difference of $10.2 trillion
- Assuming that portfolio maintence activity for rate fixing risk is fairly constant , we can then assume that most of $10 trillion of FRA volume in 2021Q2 is now within the 2022Q2 IRS volumes
- So rather than the comparison above of $15.6 trillion in 2022Q2 with the $23.8 trillion in 2022Q1, we should adjust the 2022Q2 down by $10 trillion to leave $5.6 trillion for 2022Q2, a spectacular drop in Libor IRS indeed
USD OIS (All)
Referencing either Fed Funds or SOFR.
- 2022Q2 with $36 trillion compared to $10.8 trillion in 2021Q2 and $53 trillion in 2022Q1
- So significantly up from a year earlier but down from the highs in the prior quarter
- LCH SwapClear with $34.9 trillion in 2022Q2 and $10.6 trillion in 2021Q2
- CME OTC with $1 trillion in 2022Q2 and $0.2 trillion in 2021Q2
- 2022Q2 Share is LCH 97.1% and CME 2.9%, compared to 98.4% v 1.6% in 2021Q2
USD Swaps (SOFR)
Next isolating Swaps that reference SOFR, either OIS or Basis, volumes by month.
- June 2022 with $7.2 trillion is the second highest month
- 2022Q2 with $19.3 trillion, is up from $18 trillion in 2021Q1
- SOFR just over 50% of the OIS volume in the quarter
- Good increasing trends in monthly SOFR volumes
- 2022Q2 Share is LCH 94.8% and CME 5.2%, compared to 95.8% v 4.2% in 2022Q1
That’s all for USD for today.
EUR Swaps (Euribor)
- 2022Q2 with €14.1 trillion compared to €9.2 trillion in 2021Q2
- LCH SwapClear with €13.2 trillion in 2022Q2 and €8.5 trillion in 2021Q2
- Eurex with €0.89 trillion in 2022Q2 and €0.73 trillion in 2021Q2
- 2022Q2 market share is LCH 93.7%, Eurex 6.3%
- While 2021Q2 share was 92.1% and 7.9% respectively
EUR OIS (All)
Referencing either EONIA or €STR, though in recent quarters all should be €STR.
- 2022Q2 with €24.7 trillion compared to €5.5 trillion in 2021Q2
- A spectacular increase, even higher proportionally than that in USD OIS (above)
- LCH SwapClear with €24.5 trillion in 2022Q2 and €5.3 trillion in 2021Q2
- Eurex with €0.28 trillion in 2022Q2 and €0.18 trillion in 2021Q2
- 2022Q2 market share is LCH 98.9%, Eurex 1.1%
- While 2021Q2 share was 94.9% and 5.1% respectively
EUR Swaps (€STR)
Next isolating Swaps that reference €STR, either OIS or Basis.
- June a record month with €10.1 trillion, up from €7.4 trillion in May
- Volumes from Feb 2022 onwards > €7 trillion each month
- 2022Q2 with €25.1 trillion, up from €18.4 trillion in 2022Q1
- €STR volumes now higher than SOFR swap volumes in each month from Feb 2022 onwards
- 2022Q2 Share is LCH 98.8% and Eurex 1.2%, compared to 98.1% v 1.9% in 2022Q1
GBP Swaps (Libor)
- A nice chart showing the end GBP Libor (after 30+ years of swaps trading)
- A tiny amount of £3.7 billion in 2022Q2, down from £17 billion and £1.2 trillion in prior quarters
And there is no GBP FRA or Basis volume since 2021Q4.
Let’s move onto the replacement rate, SONIA.
GBP OIS (SONIA)
- 2021Q4 with £16 trillion, the highest quarter since 2020Q1 (not shown) with £18 trillion
- 2022Q2 with £11 trillion, similar to 2022Q1 and up from £5.6 trillion in 2021Q2
- LCH SwapClear with 99.9% share
JPY Swaps (IBOR)
- Another nice chart showing the end JPY Libor (while Tibor remains at JSCC)
- A tiny amount of Y15 billion in 2022Q2, down from Y210 trillion in 2021Q2
Let’s move onto the replacement rate, TONA.
JPY OIS (TONA)
- 2022Q2 with Y344 trillion compared to Y303 trillion in 2022Q1 and Y27 trillion in 2021Q2
- A spectacular increase, driven by the end of JPY Libor and move to the RFR TONA
- JSCC with Y233 trillion in 2022Q2, compared to Y17 trillion in 2021Q2
- LCH SwapClear with Y11 trillion in 2022Q2, compared to Y10 trillion in 2021Q2
- CME OTC with Y31 billion in 2022Q2
- 2022Q2 Share is JSCC 67.7%, LCH 32.3%, compared to 63.7% and 36.1% in 2021Q2
As Australia is a multi-rate jurisdiction with both AONIA and BBSW, we will chart both OIS and IRS products togather.
- 2022Q2 with A$8.45 trillion, compared to A$3.5 trillion in 2021Q2
- LCH SwapClear with A$7.7 trillion in 2022Q2 and A$3.2 trillion in 2021Q2
- ASX with A$0.73 trillion in 2022Q2 and A$0.3 trillion in 2021Q2
- 2022Q2 Share is LCH 91.3% and ASX 8.7%, the same as in 2021Q2
CAD Swaps (IBOR)
- 2022Q2 with C$2.1 trillion, compared to C$1.9 trillion in 2021Q2
- LCH SwapClear with 99.9% of the volume
CAD OIS (CORRA)
- 2022Q2 with C$1.4 trillion, compared to C$1.9 trillion and C$1,4 trillion in prior quarters
- Though still well below the record high of C$4.5 trillion in 2020Q1
- LCH SwapClear with 98.9% of the volume in the recent quarter
Now let’s switch to EMEA Swaps (all types) and volumes by currency.
- Each quarter with a consistently approximate volume of $3 trillion
- ZAR the largest in 2022Q2 with $880 billion
- CHF next with $770 billion and significantly up from the prior quarter
- SEK with $356 billion is down
- CZK with $352 billion
- PLN with $330 billion
- NOK with $185 billion
- ILS with $148 billion
- HUF with $80 billion
- DKK with $26 billion
Not shown in the chart is market share by CCP, where LCH has >99% share for the whole period in every currency except for:
- PLN, LCH with 93.8%, KDPW 3.8%, CME 2.4%
- SEK, LCH with 95.7%, Nasdaq OMX with 4.3%
- HUF, LCH with 96.8%, CME with 3.2%
- CZK, LCH with 98.5%, CME with 1.5%
Now let’s switch to AsiaPac Swaps (all types) and volumes by currency.
- Each quarter in the $4 trillion to $5 trillion range
- So materially larger than the $3 trillion for EMEA
- CNY the largest in 2022Q2 with $1.17 trillion
- NZD next with $1.1 trillion
- INR with $652 billion
- KRW with $612 billion
- SGD with $417 billion
- HKD with $335 billion
- THB with $135 billion
- TWD with $91 billion
Not shown in the chart is market share by CCP, where LCH has 100% share for the whole period in every currency except for:
- CNY, Shanghai with 57.9%, LCH with 41.9%, HKEX 0.2%
- INR, LCH with 64.8%, CCIL with 35.2%
- HKD, LCH with 97.7%, HKEX with 1.5%, CME with 0.8%
- SGD, LCH with 99.8%, CME with 0.2%
And last but not least, lets look at LatAm Swaps.
- Each quarter in the $1.8 trillion to $2.8 trillion range
- So lower than both EMEA or LatAm
- But then only 4 countries represented compared to 9 and 8
- MXN the largest in 2022Q2 with $1.2 trillion
- BRL next with $530 billion
- CLP with $320 billion
- COP with $120 billion
Not shown in the chart is market share by CCP, where for the whole period the share is:
- MXN, CME with 90.7%, Asigna/Mexder 7.2%, LCH 2.0%
- BRL, CME 99.2%, LCH 0.8%
- CLP, CME 98.6%, LCH 1.4%
- COP, CME 98.3%, LCH 1.7%
Cross Currency Swaps
HKEX the only CCP with cleared Cross Currency Swap volumes.
- 2022Q2 with $16 billion, up from $6.8 billion in 2021Q2
- Most volume in USDCNH and some in USDHKD
LCH SwapAgent offers processing, margining and settlement of bi-lateral XCCY Swaps, but does not regularily disclose volumes, though we know from a press release that it processed 10,186 trades in 2021, a 489% year-on-year increase.
18 Charts for an overview.
Still a lot more data to look at
Volume, DV01 and Open Interest by currency.
IR Futures in all the major currencies and US Treasury volumes.
Credit Derivatives and FX Derivatives.