Continuing with our Swaps review series, let’s look at volumes in March 2018, focusing just on SDR Data.
Summary:
- 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.
USD IRS ON/OFF SEF
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.
- 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.
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.
USD OIS Swaps
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.
EUR, GBP, JPY Swaps
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
EONIA, SONIA, TONAR
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.