August 2016 Swaps Review

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

First the highlights:

  • On SEF USD IRS in August 2016 volume was 9% higher than July
  • Curve trade volume at $96m DV01 was much higher than usual
  • SEF Compression activity jumped to over $260b, the highest since June 2015
  • USD OIS Volumes were also significantly up from prior months
  • In-fact USD OIS at >$2.5 trillion, exceeded the $1.8 trillion of USD IRS by some margin
  • USD Swap Curve pivoted down (clockwise) around 15Y, with short rates up and long down
  • EUR, GBP, JPY volumes were similar, except SEF Compression in GBP was significantly up
  • SEF Market Share shows Tradeweb regaining the lead from Bloomberg
  • Mostly driven by higher On SEF Compression activity
  • CMELCH Switch volumes at $23b is significantly down prior months ($56b, $45b)
  • Global Cleared Volumes were up 6% from July
  • In Asia, volumes were down for the third month in a row
  • In LatAm, volumes were up

Onto the charts, data and details.


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



  • August 2016 On SEF gross notional is > $1,109 billion
  • (recall capped trade rules mean this is understated as the full size of block trades is not disclosed)
  • 9% higher than July 2016 and similar to August 2015
  • August 2016 Off SEF gross notional is > $680 billion
  • 4% higher than July 2016 and 9% lower than August 2015
  • And On SEF vs Off SEF is 62% to 38%, similar to the YTD average

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



  • In DV01 terms August 2016 was 3% higher than July 2016
  • Overall >$470 million of DV01 was traded in the month
  • (recall capped trade rules mean this is understated)
  • Compared to August 2015, DV01 is 9% higher
  • Curve trades in particular have their highest DV01 of $96m in our selected months
  • Higher even than June 2016m which as the highest volume month
  • Butterflies are also up at $39m from the prior months $31m

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



  • Compression in August 2016 was >$260 billion
  • Massively up 60% from July 2016
  • And up 5% from August 2015
  • Only June 2015 at >$285 billion is higher in our selected period


Lets check and see how volumes in USD OIS Swaps have performed.



  • Volumes are significantly up from earlier months
  • August 2016 Off SEF gross notional is > $1,712 billion, up from $950 billion in July 2016
  • August  2016 On SEF gross notional is > $764 billion up from $ 457 billion in July 2016
  • (recall capped trade rules mean this is understated as the full size of block trades is not disclosed)
  • The combined total at > $2.5 trillion is higher than June 2016 volumes
  • And higher than even the > $1.78 trillion of USD IRS in August
  • Granted OIS Swaps are shorter maturity, so far lower in DV01 terms than IRS

USD IRS Prices

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



  • Red line as the Swap Curve on 27 July, the Blue line as 31 August
  • Rates up 12 bps below 5 years
  • Rates up 5 bps for 10Y
  • Rates down 10 bps for 30Y
  • So a flattening of the Swap curve
  • Or a Pivot down around with 15Y as the anchor


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



  • Volumes in August are similar to July and both down from June
  • GBP a little higher in the month and EUR a little lower

The overall gross notional in these currencies of >$180 billion is 16% of the USD volume , a little lower than the 18% YTD average.

And then SEF Compression activity.


Showing that overall SEF compression volumes are up, with GBP in particular at > $49 billion, overall volumes at > $91 billion are higher even than the June 2016 figure of $71 billion.


Again similar to USD, lets check how volumes in EONIA & SONIA have performed.


Showing that overall volumes are significantly down from June and July and similar to August 2015 figures.

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 July 2016 with the prior three months.


Showing that:

  • August volume at $1.175b  is higher than the  $1.08b in July, but well below the $1.42b in June
  • Tradeweb is back above Bloomberg (due to higher SEF compression activity)
  • Tradition, ICAP and Tullet next, in that order
  • BGC ,Dealerweb, TrueEx next

In gross notional terms $1.57 trillion of USD IRS traded On SEF in August.

From SDRView data above, we know that $1.1 trillion of capped gross notional was reported, making the understatement $470 billion, similar to the figure we observed in July 2016.

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 August was $23 billion gross notional
  • Down 60% from the $56 billion in July
  • And lower than any month in 2016
  • Tradition in particular significantly down from prior months

CME-LCH Basis Spreads themselves remained at similar levels to prior months, with 10Y at 2.45 bps and 30Y at 3.45 bps.

The question is whether the markedly lower volumes in August 2016 should be put down to summer doldrums or do they represent a lower appetite for this Basis trading? Only time will tell.

Global Cleared Volumes

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



  • Overall Global Cleared Volumes are slightly higher than July
  • (Just as we have seen in US SDR and US SEF data)
  • LCH SwapClear volume at $14.8 trillion, is up 6% from July
  • CME volume at $1.4 trillion, is also up 6%
  • JSCC at $840 billion, is up 16% (in usd terms)
  • Eurex with $28 billion, is a little higher than the $25b in July

Asia and LatAm

Before we end lets look at some charts for Asian and LatAm currencies.

First the volume of AUD, HKD, SGD Swaps (including Vanilla, OIS, Basis, Zero Coupon).



  • LCH SwapClear down to $1 trillion from the $1.3 trillion in July
  • Driving the trend down after its record volumes in May
  • (Infact we had a month on month rise from Jan to May, followed by a onth on month decline)
  • ASX at $114 billion,  simialr to its $112 billion in July
  • CME at $3.4 billion, down from $6.7 billion in July
  • SGX at $14 billion, up from from $6 billion in June

Second the volume of MXN and BRL Swaps.



  • CME with $228 billion in August, up from $200b in July
  • (July Review had CME as $530b in July, but as Chris noted, this was due to MXN Compression of $330b)
  • CME $228b in August consists of $184b in MXN and $44b in BRL
  • Asigna/Mexder at $2.2 billion is down from $5.5 billion in July
  • And this volume is all in MXN

That’s it for today.

Thanks for staying to the end.

Our Swaps review series is published monthly.

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