Continuing with our monthly Swaps review series, let’s look at volumes in March 2017.
- USD IRS price-forming volume > $2.5 trillion gross notional
- The highest month ever and 23% up from a year earlier
- SEF Compression activity in USD IRS > $320 billion
- The second highest month on record
- USD OIS volume at > $4.5 trillion is up 33% from previous high (Feb)
- On SEF volume at >$1.9 trillion is double the previous high (Feb)
- Both driven by record amounts of FOMC meeting roll volume
- Volume for USD, EUR, GBP, IRS, OIS and Basis Swaps was $1.76 billion DV01
- The highest month on record (exceeding Dec 2016)
- Tradeweb leading with $564 million DV01
- USD OIS notional was a massive $4.67 trillion
- TrueEx with a spectacular $3.1 trillion of FOMC meeting rolls
- Tullet the largest D2D with $567 billion notional
- CME–LCH Switch volume back up at $96 billion
- Global Cleared Volumes are up at $37 trillion
- LCH SwapClear a massive $34 trillion, up from $24 trillion
- Driven by USD OIS volume up $7.5 trillion from the prior month
- In LatAm volumes up at CME with $516 billion in BRL and MXN
- Inflation Swaps at LCH SwapClear, a new high of $199 billion
- NDFs at LCH ForexClear, a new high of $464 billion
Onto the charts, data and details.
USD IRS ON/OFF SEF
- March 2017 On SEF gross notional is > $1.55 trillion
- (recall capped trade rules mean this is understated as the full size of block trades is not disclosed)
- This is 23% higher than March 2016
- And the highest volume on record, exceeding the $1.53 trillion in Nov 2016
- March 2017 Off SEF gross notional is > $990 billion
- 23% higher than March 2016 and the highest since the $1 trillion in March 2015
- Overall gross notional was > $2.5 trillion
- And On SEF vs Off SEF is 61% to 39%, down from 65% to 35% in the prior month
Next On SEF non-price forming trades; SEF Compression and Rolls.
- SEF Compression in March 2017 was > $320 billion
- The second highest month ever (after Dec 2016 with > $350 billion)
- 34% higher than a year earlier
- Rolls at > $54 billion were similar to a year earlier
A record month for USD IRS in price forming and portfolio maintenance (compression/rolls).
USD OIS Swaps
Next USD OIS Swaps volumes.
- March 2017 volumes massively up from prior months
- An overall gross notional of >$4.48 trillion
- (recall capped trade rules mean these are understated as the full size of block trades is not disclosed)
- A record month and significantly exceeding the Feb 2017 record of >$3.4 trillion
- Off SEF gross notional at > $2.6 trillion is 7% higher than Feb 2017
- On SEF gross notional at > $1.87 trillion is 100% higher Feb 2017
- Overall volume is 33% higher than the record in Feb 2017
There was record daily volume on March 1, 2 & 3 of > $250 billion, which looks like FOMC Meeting Roll volume, and I will look deeper into this in the SEF section below. Also the FOMC meeting of 14-15 March saw higher than average daily volume.
EUR, GBP, JPY Swaps
Next On SEF volumes of IRS in the other three major currencies.
- Volume in March 2017 was > $350 billion
- 48% higher from a year earlier
- EUR up 92%, GBP up 186% and JPY down 18%.
The overall gross notional in these currencies is 23% of the USD IRS ON SEF volume.
Next SEF Compression activity.
Showing that March 2017 volume was > $100 billion, 120% higher than a year earlier and equivalent to 31% of the USD IRS Compression figure of >$320 billion.
The higher volumes in EUR reflecting what we saw in USD above.
EONIA and SONIA
Next lets check how volumes in EONIA & SONIA have performed.
Showing that March 2017 volume was > $1.17 trillion, up 33% from a year earlier, with EONIA up 65% and SONIA down 52%.
SEF Market Share
DV01 (in USD millions) by month for USD, EUR, GBP and by each SEF, including SEF Compression trades for the prior three months.
- March volume at $1.76 billion DV01 is higher than prior months
- March is the highest month on record, exceeding the $1.68 billion in Dec 2016
- Tradeweb has by far the highest volume at $564 million, up a massive $187 million
- (We know from SDR that March was a record month for SEF Compression)
- Bloomberg next with $478 million
- TrueEx with $56 million
- All the D2D SEFs are up from prior months
- Tradition with $230 million in the lead, up $74 million
- Followed by IGDL/ICAP with $185 million
- Then Tullet, BGC and Dealerweb
In gross notional terms $2.775 trillion of USD IRS traded On SEF in March 2017.
Meaning that the $1.87 trillion in SDR for On SEF Price-forming and Compression should be increased by 48% to equal the SEF reported number, suggesting a much larger number of trades above block size in the month than usual (given this percentage is usually 30%).
In gross notional terms $4.67 trillion of USD OIS was reported On SEF as the table below shows.
- TrueEx with a spectacular $3.1 trillion of volume
- I assume this is FOMC Meeting Roll volume
- As TrueEx just for 2-Mar shows $648 billion
- In D2D volumes are also up across the board
- Tullet the leader with $568 billion
- Followed by BGC and ICAP/IGDL
An interesting month indeed for SEFs.
CCP Basis Spreads and Volumes
- Overall volume in March was $96 billion
- Close to the record high of $116 billion in Jan 2017
- Tradition with the highest volume at $72.5 billion
- Again as happened in Jan at TP, we see 2Y with $30 billion, making up a lot of this volume
- DW showing $9.8 billion, much higher than in the past
- ICAP/IGDL with $9.7 billion, down from the prior month
Global Cleared Volumes
- Overall Global Cleared Volumes in March 2017 of $37.2 trillion
- A record month, 41% higher than Feb 2017, which itself was a record
- LCH SwapClear volume at $34 trillion is up from $24 trillion!
- CME volume at $2.2 trillion, up from $1.3 trillion
- JSCC volume at $842 billion is down from $866 billion
- Eurex with $79 billion, up from $42 billion
- BME with $73 million, up from $16m
Looking in more detail at the LCH SwapClear and CME numbers.
We see that:
- LCH SwapClear OIS is the largest in March with $22 trillion
- This is up $7.45 trillion in March from Feb
- Echoing what we saw in US SDR and US SEF data
- LCH SwapClear IRS is the next largest at $10.6 trillion
- This is up $2.1 trillion from the prior month
- CME IRS is next with $1.45 trillion, up 0.5 trillion
- LCH SwapClear Basis Swaps with $1.2 trillion
USD OIS makes up $16.8 trillion of the $22.2 trillion LCH SwapClear OIS total.
Asia and LatAm
Next the volume of AUD, HKD, SGD Swaps (including Vanilla, OIS, Basis, Zero Coupon).
- Modest growth from the prior month
- LCH SwapClear at $1.19 trillion up from $1.14 trillion
- ASX at $215 billion up from $203 billion
- CME at $9billion down from $13 billion
- SGX at $9 billion, up from $5 billion
And next the volume of MXN and BRL Swaps.
- CME at $516 billion, up from $368 billion in the prior month
- Asigna/Mexder with $9 billion, similar to the prior month
- LCH SwapClear with $1.4 billion, up from $829 million
- All the volume is at LCH SwapClear
- Total in March is $199 billion, up from $115 billion, a new record high
- EUR is the largest currency at $92 billion in March, up from $46 billion
And last but by no means least, NDFs.
- LCH ForexClear with $464 billion, up from $378 billion and a new record high
- Comder with $21 billion
So both Inflation Swaps and Non-Deliverable Forwards continue to post record cleared volumes.
It will be interesting to see how far these products have to go.
A fair way I believe, as client clearing is yet to start in these products.
That’s it for today.
Thanks for staying to the end.
Our Swaps review series is published monthly.