Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparisons of volumes.
Today we look at 3Q22 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)
- 2022Q3 with $12 trillion compared to $15.6 trillion in 2022Q2
- Significantly down in each of the last 3 quarters, but still surprisingly high given the move to SOFR
- So we also need to look at 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 $11.7 trillion in 2022Q3 and $15.3 trillion in 2022Q2
- CME OTC with $238 billion in 2022Q2 and $295 billion in 2022Q2
- 2022Q3 Share is LCH 98% and CME 2%, very similar to 98.1% v 1.9% in 2022Q2, 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.
- 2022Q3 with just $0.6 trillion compared to $7 trillion in 2021Q3
- Assuming that portfolio maintenance activity for rate fixing risk is fairly constant (with a wide margin of error) , we can then assume that most of $7 trillion of FRA volume in 2021Q3 is now within the 2022Q3 IRS volumes as Single Period Swaps (SPS)
- So the IRS volume of $12 trillion in 2022Q3, could hold up to $7 trillion of SPS, making the adjusted IRS volume approximately $5 trillion, still sizeable but a significant drop in Libor IRS as the market moves to SOFR Swaps leading up to June 2023
USD OIS (All)
Referencing either Fed Funds or SOFR.
- 2022Q3 with $36.7 trillion compared to $36 trillion in 2022Q2 and $15.5 trillion in 2021Q3
- So significantly up from a year earlier and slightly up from the prior quarter
- LCH SwapClear with $35.6 trillion in 2022Q3 and $15.3 trillion in 2021Q3
- CME OTC with $1 trillion in 2022Q3 and $0.18 trillion in 2021Q3
- 2022Q3 Share is LCH 97.1% and CME 2.9%, compared to 98.8% v 1.2% in 2021Q3
USD Swaps (SOFR)
Next isolating Swaps that reference SOFR, either OIS or Basis, volumes by month.
- Sep 2022 with $7.9 trillion is the highest ever month
- (Prior high was Mar 2022 with $7.5 trillion)
- 2022Q3 with $20.8 trillion, is up from $19.3 trillion, $18 trillion and $8.5 trillion in prior quarters
- Strong increasing volume trends in SOFR volumes
- SOFR volume is 56% of the total OIS volume in the latest quarter
- 2022Q3 Share is LCH 93.6% and CME 6.4%, compared to 94.8% v 5.2% in 2022Q2
That’s all for USD for today.
EUR Swaps (Euribor)
- 2022Q3 with €13.2 trillion compared to €9.3 trillion in 2021Q3
- LCH SwapClear with €12.4 trillion in 2022Q3 and €8.7 trillion in 2021Q3
- Eurex with €0.78 trillion in 2022Q3 and €0.60 trillion in 2021Q3
- 2022Q3 market share is LCH 94.1%, Eurex 5.9%
- While 2021Q3 share was 93.5% and 6.5% respectively
EUR OIS (All)
Referencing either EONIA or €STR, though in recent quarters all should be €STR.
- 2022Q3 with €20.9 trillion compared to €5.6 trillion in 2021Q3
- A spectacular increase and even higher proportionally than that in USD OIS above
- LCH SwapClear with €20.5 trillion in 2022Q3 and €5.3 trillion in 2021Q3
- Eurex with €0.44 trillion in 2022Q3 and €0.28 trillion in 2021Q3
- 2022Q3 market share is LCH 97.9%, Eurex 2.1%
- While 2021Q3 share was 94.9% and 5.1% respectively
EUR Swaps (€STR)
Next isolating Swaps that reference €STR, either OIS or Basis.
- Sep volume of €9.3 trillion is the second highest month and not far off the €10.1 trillion in June
- Volumes from Feb 2022 onwards > €7 trillion each month
- 2022Q3 with €21.2 trillion, down from €25.1 trillion in 2022Q2
- 2022Q3 Share is LCH 97.9% and Eurex 2.1%, compared to 98.8% v 1.1% in 2022Q2
GBP Swaps (Libor)
- A nice chart showing the end of GBP Libor (after 30+ years of swaps trading)
- A tiny amount of £1.2 billion in 2022Q3, down from £3.7 billion and £17 billion in prior quarters
And there has been 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
- 2022Q3 with £11 trillion, similar to 2022Q2 and up from £9.6 trillion in 2021Q3
- 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 Y10 billion in 2022Q3, down from Y160 trillion in 2021Q3
Let’s move onto the replacement rate, TONA.
JPY OIS (TONA)
- 2022Q3 with Y395 trillion compared to Y345 trillion in 2022Q2 and Y112 trillion in 2021Q3
- A spectacular increase, driven by the end of JPY Libor and move to the RFR TONA
- JSCC with Y286 trillion in 2022Q3, compared to Y82 trillion in 2021Q3
- LCH SwapClear with Y109 trillion in 2022Q3, compared to Y30 trillion in 2021Q3
- CME OTC with Y23 billion in 2022Q1
- 2022Q3 Share is JSCC 72.3%, LCH 27.6.3%, compared to 67.7% and 32.3% in 2022Q2
As Australia is a multi-rate jurisdiction with both AONIA and BBSW, we will chart both OIS and IRS products together.
- 2022Q3 with A$9 trillion, compared to A$5 trillion in 2021Q3
- LCH SwapClear with A$8.2 trillion in 2022Q3 and A$4.5 trillion in 2021Q3
- ASX with A$0.79 trillion in 2022Q3 and A$0.56 trillion in 2021Q3
- 2022Q3 Share is LCH 91.3% and ASX 8.7%, the same as in 2022Q2
CAD Swaps (IBOR)
- 2022Q3 with C$1.9 trillion, compared to C$1.8 trillion in 2021Q3
- LCH SwapClear with 99.9% of the volume
CAD OIS (CORRA)
- 2022Q3 with C$1.7 trillion, compared to C$0.6 trillion in 2021Q3
- LCH SwapClear with 99.9% of the volume in the recent quarter
Now let’s switch to EMEA Swaps (all types) and volumes by currency.
- Each quarter with consistently $3 trillion of volume
- ZAR the largest in 2022Q3 with $930 billion, up from $820 billion in 2021Q3
- CHF next with $820 billion, up from $700 billion in 2021Q3
- SEK with $360 billion is down from $460 billion
- PLN with $270 billion is down from $340 billion
- CZK with $240 billion, similar to 2021Q3
- NOK with $230 billion, up from $180 billion
- ILS with $119 billion
- HUF with $77 billion
- DKK with $21 billion
Not shown in the chart is market share by CCP, where LCH has >98% share for the whole period in every currency except for:
- PLN, LCH with 94.1%, KDPW 3.6%, CME 2.3%
- SEK, LCH with 95.9%, Nasdaq OMX with 4%
- HUF, LCH with 97.7%, CME with 2.3%
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 2022Q3 with $1.5 trillion
- NZD next with $800 billion
- INR with $630 billion
- KRW with $496 billion
- SGD with $390 billion
- HKD with $275 billion
- THB with $153 billion
- TWD with $100 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 56.4%, LCH with 43.4%, HKEX 0.2%
- INR, LCH with 63.4%, CCIL with 36.6%
- HKD, LCH with 97.6%, HKEX with 1.6%, CME with 0.8%
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 2022Q3 with $1.35 trillion, up from $1.1 trillion in 2021Q3
- BRL next with $630 billion, up from $560 billion
- CLP with $450 billion, up from $270 billion
- COP with $105 billion, down from $123 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 7.6%, LCH 1.7%
- BRL, CME 99.2%, LCH 0.8%
- CLP, CME 98.6%, LCH 1.4%
- COP, CME 98.4%, LCH 1.6%
Cross Currency Swaps
HKEX the only CCP with cleared Cross Currency Swap volumes.
- 2022Q3 with $22 billion, up from $7.8 billion in 2021Q3
- Increasing volumes in each 2022 quarter
- Most volume in USDCNH and some in USDHKD
LCH SwapAgent does not clear XCCY Swaps, but offers processing, margining and settlement of bi-lateral for these. Volumes are not available regularily, but we know from the LCH press release that SwapAgent 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.
For more details, please contact us for a CCPView demonstration.