Mar 2018 Swaps Review – SDR Data in 9 Charts

Continuing with our Swaps review series, let’s look at volumes in March 2018, focusing just on SDR Data.


  • USD IRS volumes in 1Q 2018 are 11% higher than 1Q 2017
  • USD IRS On SEF Compression, a record month in Feb 2018
  • USD Swap Curve flattened by 12 bps over the month
  • USD OIS volume exceeded the gross notional of USD IRS
  • EUR, GBP, JPY IRS volumes with a record month in Jan 2018
  • On SEF Compression volumes in these ccys was 50% of USD
  • Much higher than the average over 2017

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).

  • Mar 2018 On SEF gross notional is > $1.675 trillion, 9% higher than Mar 2017
  • (recall capped trade rules mean this is understated as the full size of block trades is not disclosed)
  • 1Q 2018 On SEF gross notional is 21% higher than 1Q 2017
  • While Feb 2018 at > $1.8 trillion looks a high month
  • Mar 2018 Off SEF gross notional is > $975 billion, 1% lower than Mar 2017
  • 1Q 2018 Off SEF gross notional is 11% higher than 1Q 2017
  • Overall gross notional in Mar 2018 was > $2.65 trillion
  • And On SEF vs Off SEF is 67% to 33%, is similar to the monthly average

Next On SEF non-price forming trades; SEF Compression and Rolls.

On SEF Compression and Rolls
  • SEF Compression in Mar 2018 is > $520 billion
  • This is 57% higher than Mar 2017
  • While Feb 2018 has > $595 billion, a record high
  • Infact each of Jan, Feb, Mar 18 exceeded the Sep 2017 high
  • Rolls volume of > $70 billion

A reasonable month for USD IRS in price forming and a good one for portfolio maintenance trades.

USD Swaps Daily Briefing

We now offer a free Daily Briefing on USD Swaps and AUD Swaps.

Daily Briefing

The 29th March briefing shows:

  • USD Swap Curve flattened 12 bps over the month
  • Volume vs the Monthly Average for major tenors in DV01 terms
  • SpreadOver Volumes
  • Fed Rate Rise probabilities

All in an easy to understand format; read and digest a days activity in a few minutes.

You can sign up to get the Daily Briefing here.


Next USD OIS Swaps volumes for outright trades.

  • Mar 2018 Off SEF Cleared gross notional is > $2.1 trillion
  • (recall capped trade rules mean these are understated as the full size of block trades is not disclosed)
  • This is 14% higher than Mar 2017
  • Mar 2018 Off SEF Uncleared is > $27 billion, similar to a year earlier
  • Mar 2018 On SEF Cleared is > $975 billion, 17% lower than Mar 2017
  • An overall gross notional of > $3.1 trillion

Exceeding the USD IRS gross notional of $2.65 trillion.

Next Roll trade volumes for the six months to Mar 2018.

  • Off SEF Cleared in Mar 2018 is > $570 billion
  • On SEF Cleared with > $300 billion
  • Overall volume is > $875 billion
  • The highest month since March 2017
  • Up from August, but below earlier months

Overall Mar 2018 USD OIS gross notional of > $4 trillion is higher than the USD IRS total of $3.25 trillion.


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

  • Volume in Mar 2018 was > $1.1 trillion
  • Jan 2018 volume was > $1.4 trillion
  • A record month, the prior high was Jun 2017 with $1.2 trillion
  • EUR volumes in particular were much higher in Jan 2018
  • Overall On SEF at $438 billion is 26% of the USD IRS On SEF volume

A much higher portion of EUR, GBP, JPY IRS is transacted Off SEF than USD IRS.

Next On SEF Compression activity.

  • EUR volume in Mar 2018 is > $164 billion, 150% higher than Mar 2017
  • GBP volume in Mar 2018 is > $95 billion, 180% higher than Mar 2017
  • Overall volume in Mar 2018 is > $265 billion
  • This is 52% of the USD IRS Compression volume, much higher than usual
  • Jan 2018 volume of $270 billion is a record higher


Next lets check how volumes in EONIA, SONIA and TONAR have performed.

First for outright trades.

  • Overall Volume in Mar 2018 is > $900 billion
  • GBP Off SEF with > $490 billion is significantly up
  • (though it hit this level in Sep, Oct, Nov 2017 as well)
  • EUR Off SEF with > $320 billion
  • On SEF volumes are tiny compared to Off SEF

Next Roll trade volumes for the six months to Mar 2018.

  • Mar 2018 volume is > $308 billion
  • EUR On SEF is up the most with > $115 billion

In Mar 2018, total OIS volume in EUR, GBP, JPY was > $1.2 trillion, similar to that in IRS.

The End

Thats its for today.

Next time I will look at what SEF Data shows in Mar 2018 and Q1.

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