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.