CCP Swap Volumes and Share – 3Q 2020

October 20, 2020 by No comments

In today’s blog, I look at interest rate swap volumes and CCP market share in major currencies, focusing on 3Q 2020 in a similar format to my 2Q 2020 article.

After the massive volatility and volume we saw in Q1 and the quieter Q2, what does the most recent quarter show? Keep reading to find out.

USD IRS

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

USD IRS Cleared Volume (single-sided notional in millions)
  • 3Q 2020 with $13.3 trillion, much lower than the $15.3 trillion in 2Q 2020 or the $19.4 trillion in 3Q 2019.
  • LCH SwapCear with $12.3 trillion, a share of 91.9% in 3Q, up QoQ from 89.3% and up YoY from 87.8% in 3Q 2019
  • CME OTC with $1.1 trillion a share of 8.1% in 3Q down QoQ from 10.7% and down YoY from 12.2%
  • Comparing Client volumes at LCH SwapClear with CME OTC volumes (assuming all CME volume is client), we see LCH SwapClear with $6.5 trillion and CME OTC with $1.1 trillion in 3Q, a share 85.8% vs 14.2%

USD OIS

USD OIS Cleared Volume (single-sided notional in usd millions)
  • 3Q 2020 with only $6.2 trillion, down again from 2Q 2020 and the record high we saw in 1Q 2020, not surprising given the level of US rates and expectations of no changes for the next year or two
  • LCH SwapClear with $6 trillion a share of 97% in 3Q, up QoQ from 87.5% and up YoY from 94.5%
  • CME OTC with $185 billion a share of 3% in 3Q, down QoQ from 12.5% and down YoY from 5.5%
  • Comparing LCH SwapClear client volumes with CME OTC shows $3.6 trillion vs $185 billion or 95.1% vs 4.9% in 3Q 2020

EUR IRS

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

EUR IRS Cleared Volume (single-sided notional in eur millions)
  • 3Q 2020 with €8.2 trillion, down from €11.3 trillion in 2Q 2020 and €13.3 trillion in 3Q 2019
  • LCH SwapClear with €7.7 trillion a share of 94.3% in 3Q, down QoQ from 95.7% and YoY from 97.1%
  • Eurex with €440 billion a share of 5.4% in 3Q, up QoQ from 4.3% and YoY from 2.8%
  • Comparing just Client volumes, we see LCH SwapClear with €2.8 trillion in 3Q 2020, Eurex with €157 billion and CME OTC with €23 billion, making the respective shares in 3Q 2020, 93.9%, 5.3% and 0.8% compared to the 2Q 2020 share of 95.7%, 4.1% and 0.1%

EUR OIS

EUR OIS Cleared Volume (single-sided notional in eur millions)
  • 3Q 2020 with €6.1 trillion, down from €10.4 trillion in 2Q 2020 and €16.9 trillion in 3Q 2019
  • LCH SwapClear with €6 trillion a share of 97.9% in 3Q, down QoQ from 98.7% and YoY from 99.2%
  • Eurex with €126 billion a share of 2.1% in 3Q, up QoQ from 1.3% and YoY from 0.7%
  • Comparing just Client volumes, we see LCH SwapClear with €3.2 trillion in 3Q 2020, Eurex with €44 billion, making the respective shares in 3Q 2020, 98.6 % vs 1.4% compared to the 2Q 2020 share of 99.3% vs 0.7%

GBP IRS

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

GBP IRS Cleared Volume (single-sided notional in gbp millions)
  • 3Q 2020 with £2.7 trillion, up from £2.3 trillion in 2Q 2020 and down from £3.1 trillion in 3Q 2019
  • LCH SwapClear with 99.8% share, Eurex with 0.2%
  • Comparing just Client volumes, we see LCH SwapClear with £1.5 trillion in 3Q 2020, Eurex with £4 billion, CME OTC with £0.5 billion, shares of 99.7%, 0.3%, 0.0%

GBP OIS

GBP OIS Cleared Volume (single-sided notional in gbp millions)
  • 3Q 2020 with £10.9 trillion, up from £5.5 trillion in 2Q 2020 and £6.8 trillion in 3Q 2019
  • LCH SwapClear with close to 100% share
  • Client volume at LCH SwapClear in 3Q 2020 was £9.1 trillion out of the overall £10.9 trillion

JPY Swaps

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

JPY Swaps Cleared Volume (single-sided notional in jpy millions)
  • 3Q 2020 with Y310 trillion, down from Y362 trillion in 2Q 2020 and down from Y472 trillion in 3Q 2019
  • JSCC with Y171 trillion or 55.3% in 3Q 2020, up from 46.9% QoQ (2Q2020) and 54.2% YoY (3Q2019)
  • LCH SwapClear with Y138 trillion or 44.6% in 3Q 2020, down from 52.8% QoQ and 45.8% YoY
  • LCH SwapClear client volume in 3Q 2020 was Y66.8 trillion or 48% of it’s overall volume

AUD Swaps

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

AUD Swaps Cleared Volume (single-sided notional in aud millions)
  • 3Q 2020 with A$5.8 trillion, down from A$6.3 trillion in 2Q 2020 and down from A$12.5 trillion in 3Q 2019
  • LCH SwapClear with A$4.9 trillion or 83.8% in 3Q 2020, down from 88% QoQ (2Q 2020) and 84.4% YoY (3Q 2019)
  • ASX with A$935 billion or 16.1%, up from 12% QoQ and 15.6% YoY
  • LCH SwapClear client volume in 3Q 2020 was A$2.7 trillion or 55% of it’s overall volume

CAD Swaps

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

CAD Swaps Cleared Volume (single-sided notional in aud millions)
  • 3Q 2020 with C$2.1 trillion, down from C$4.3 trillion in 2Q 2020 and down from C$4.2 trillion in 3Q 2019
  • LCH SwapClear with C$2.1 trillion or 99.6% in 3Q 2020, same as prior quarters, CME OTC with 0.4%
  • LCH SwapClear client volume in 3Q 2020 was C$1.17 trillion or 56% of it’s overall volume

That’s It

That’s all for today.

There is a lot more data in CCPView.

Volumes by tenor buckets: 2Y, 5Y, 10Y, 20Y, 30Y.

Daily, weekly, monthly, quarterly or annual.

Open Interest as well as Volume.

Swaps in many more currencies.

Futures volume and open interest.

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