CCP Swap Volumes and Share – 2Q 2020

In today’s blog, I look at interest rate swap volumes and CCP market share in major currencies, focusing on 2Q 2020 and comparing QoQ and YoY figures.

After the massive volatility and volume we saw in 1Q 2020, the most recent quarter was much quieter. Even so, there are interesting changes in volume and market share trends.

Today I will rely primarily on charts from CCPView, with a minimum of commentary.

USD IRS

USD IRS only, so excluding OIS, Basis, ZC, VNS and FRAs.

USD IRS Cleared Volume (single-sided notional in millions)
  • 2Q 2020 with $15.3 trillion, much lower than 1Q 2020 and 2Q 2019.
  • LCH SwapCear share 89.3% in 2Q up YoY from 87.7%

USD OIS

USD OIS Cleared Volume (single-sided notional in usd millions)
  • 2Q 2020 with only $9.6 trillion, massively down from prior quarters.
  • LCH SwapCLear share at 87.5% in 2Q down YoY from 93.8%

EUR IRS

EUR IRS Cleared Volume (single-sided notional in eur millions)
  • 2Q 2020 with €11.3 trillion, a bit lower than prior quarters
  • LCH SwapClear share at 95.2% in 2Q down YoY from 97.3%

EUR OIS

EUR OIS Cleared Volume (single-sided notional in eur millions)
  • 2Q 2020 with €10.3 trillion, a bit lower than 1Q 2020
  • LCH SwapClear share at 98.7% in 2Q down slightly YoY from 99%

GBP IRS

GBP IRS Cleared Volume (single-sided notional in gbp millions)
  • 2Q 2020 with £2.3 trillion, similar to 2Q 2019
  • LCH SwapCLear share at 99.9%

GBP OIS

GBP OIS Cleared Volume (single-sided notional in gbp millions)
  • 2Q 2020 with £5.5 trillion, back down to the normal after a massive 1Q
  • LCH SwapCLear share at 99.9%

JPY Swaps

JPY Swaps all types, IRS, OIS, Basis, ZC, VNS.

JPY Swaps Cleared Volume (single-sided notional in jpy millions)
  • 2Q 2020 with Y361 trillion, lower than prior quarters
  • LCH SwapClear share at 52.8%, the only quarter in this period with a larger share than JSCC

AUD Swaps

AUD Swaps all types, IRS, OIS, Basis, ZC, VNS.

AUD Swaps Cleared Volume (single-sided notional in aud millions)
  • 2Q 2020 with A$6.3 trillion, massively down after the high 1Q
  • LCH SwapClear share at 88% in 2Q, down slightly YoY from 88.4%

That’s It

That’s all for today.

There is a lot more data in CCPView.

Swaps and Futures, in many more currencies.

Open Interest as well as Volume.

And more granularity: monthly/weekly/daily.

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