April 2016 Swaps Review – LCH-JSCC Basis, Swaptions, AUD OIS

Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in April 2016.

First the highlights:

  • On SEF USD IRS in April 2016 volume was > $1 trillion, down from >$1.25 trillion
  • For price forming trades, DV01 was 16% lower than March 2016 but similar to April 2015
  • USD SEF Compression volumes were much lower than prior months
  • USD Swap Rates were up between 5 and 8 bps for all tenors
  • SEF Market Share back to the usual order of Bloomberg then Tradeweb
  • Followed by Tradition, ICAP, Tullet all close together
  • CMELCH Switch volumes were similar to March with the CME-LCH Basis up in the month
  • An LCH-JSCC Basis Spread emerged for the first time and remains volatile
  • Global Cleared Volumes are also down
  • The first Swaption trades were Cleared by CME
  • LCH AUD OIS volumes are up
  • The only data series with April higher than March

Onto the charts, data and details.


In SDRView gross-notional volume of On SEF USD IRS Fixed vs Float price forming trades (Outrights, SpreadOvers, Curve/Flys).



  • April 2016 gross notional is >$1 trillion
  • (recall capped trade rules mean this is understated as the full size of block trades is not disclosed)
  • Lower than March 2016, by 20%
  • Compared to April 2015, gross notional is almost exactly the same

And splitting by package type and showing DV01 (adjusted for curves and flys).



  • In DV01 terms April 2016 was 16% lower than March 2016
  • Overall >$400 million of DV01 was traded in the month
  • (recall capped trade rules mean this is understated)
  • Compared to April 2015, DV01 is similar and only SpreadOvers are higher

And gross notional of non-price forming trades; Compression and Rolls.



  • Lower Compression activity of >$122 billion
  • Much lower than March and Feb 2016
  • And lower than April 2015 ($140b)
  • Small amount of Roll activity


Comparing On SEF vs Off SEF for price forming trades as percentages.


Showing that On SEF vs Off SEF for April 2016 was 59% to 41%, lower than the 64% v 36% in March 2016, but higher than the 57% to 43% in April 2015.

USD IRS Prices

Lets now take a look at what happened to USD Swap prices in the month.


Showing that:

  • Rates were up across all tenors
  • Continuing the upward trend in March
  • Reversing the downward moves we saw in January and February
  • And Up between 5 bps and 8 bps on all tenors


Next On SEF volumes of IRS in the other three major currencies.


Showing similar volume in April 2016 to that in April 2015, with EUR the largest, followed closely by JPY.

The overall gross notional in these currencies of >$180 billion in April is 18% of the USD volume of $1 trillion.

And then SEF Compression activity.


Showing that compression in EUR is much lower, but GBP at $10b remains similar to prior months in 2016.

SEF Market Share

Lets now turn to SEFView and SEF Market Share in IRS including Vanilla, Basis and OIS Swaps.

DV01 (in USD millions) by month for USD, EUR, GBP and by each SEF, including SEF Compression trades and use a chart to compare the relative share in April 2016 with the prior three months.


Showing that:

  • April volume is lower than any month in 2016 (and similar to April 2015)
  • Bloomberg has the highest share with 29%
  • Tradeweb is next with 23%
  • Tradition 14%, ICAP 13%, Tullet 12%
  • BGC 4%, Dealerweb 3%, TrueEx 2%

CCP Basis Spreads and Volumes

In SEFView we can isolate CME Cleared Swap volume at the major D2D SEFs (on the assumption that this is all CME-LCH Switch trade activity). Lets look at this for the past 4 months.



  • Overall volume in March was $32 billion gross notional
  • Similar to March and down from Jan & Feb
  • Significantly down from the > $50 billion in prior months
  • Tradition with the largest share
  • Dealerweb also showing volume in each month since Feb

CME-LCH Basis Spreads ended the month higher with 30Y at 3.50 bps compared to 2.65 bps on 31 March.

LCH-JSCC Basis Spreads are a new phenomenon that emerged in April and 10Y ended the month at +1.25bps.

Global Cleared Volumes

Now onto CCPView to look at Global Cleared Swap Volumes for EUR, GBP, JPY & USD Swaps.



  • Overall Global Cleared Volumes significantly lower
  • (Just as we have seen in US SDR and US SEF data)
  • LCH SwapClear volume at $13 trillion, down from $18 trillion
  • CME at $1.9 trillion, though 29 April has $718b, which looks like compression (as OI is down)
  • So we would re-estimate CME volume as $1.2 trillion, similar to Jan 2016
  • JSCC at $500 billion, is also down from March
  • Eurex starting to show, with $70 billion, up from $14.5 billion

And CME cleared the first ever USD Swaptions; a $50million trade on 11 April and a $20 million on 28 April.


And last but not least, the volume of AUD, HKD, SGD Swaps (including Vanilla, OIS, Basis, Zero Coupon).


Finally a chart with April higher than prior months!


  • LCH SwapClear increasing volume
  • (Largely driven by AUD OIS)
  • ASX volumes down from prior months
  • CME and SGX also down
  • HKEX still very small

Thats it for today.

Thanks for staying to the end.

Our Swaps review series is published monthly.

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