Nov 2017 Swaps Review in 16 Charts

Continuing with our Swaps review series, let’s look at volumes in November 2017.



  • USD IRS volumes similar to prior months
  • USD IRS On SEF Compression close to monthly highs
  • USD OIS volume similar to the gross notional of IRS
  • Our new Daily Briefing for USD Swaps is now available
  • EUR, GBP, JPY IRS volumes similar
  • GBP On SEF Compression up from prior months


  • Tradeweb retains the top spot from Bloomberg
  • TrueEx with good consistent volume each month
  • IGDL has the top spot in D2D SEFs
  • TP above Tradition this month
  • CMELCH Switch volumes strong and higher basis


  • Global Cleared volumes similar to prior months
  • LCH SwapClear significantly up from a year earlier
  • In Asia, each of ASXLCH SwapClear and SGX are up
  • In LatAm, CME with new record months
  • NDFs at LCH ForexClear also a new record month

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).

  • Nov 2017 On SEF gross notional is > $1.3 trillion
  • (recall capped trade rules mean this is understated as the full size of block trades is not disclosed)
  • Similar to Oct and Sep 2017
  • But 16% lower than Nov 2016, which was the Trump election month
  • Nov 2017 Off SEF gross notional is > $650 billion, 32% lower than Nov 2016
  • Overall gross notional was > $1.95 trillion, similar to Oct and Sep 2017
  • And On SEF vs Off SEF is 66% to 34%, similar to the monthly average

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

ON SEF Compression and Rolls in USD IRS
  • SEF Compression in Nov 2017 was > $325 billion
  • This is 30% higher than Nov 2016
  • And close to the 2017 high in September

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 Daily Briefing on USD Swaps price and volume.

Daily Briefing for USD Swaps

The 30th November 2017 briefing shows:

  • USD Swap Curve flattened 13 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 for a free 14-day trial here.


Next USD OIS Swaps volumes for outright trades.

  • Nov 2017 Off SEF Cleared gross notional is > $1 trillion
  • (recall capped trade rules mean these are understated as the full size of block trades is not disclosed)
  • This is 8% lower than Nov 2016
  • Nov 2017 Off SEF Uncleared is > $20 billion, 10% lower than Nov 2016
  • Nov 2017 On SEF Cleared is > $570 billion, 46% higher than Nov 2016
  • An overall gross notional of > $1.6 trillion

Next Roll trade volumes for the six months to Nov 2017.

  • Off SEF Cleared in Nov 2017 is > $240 billion
  • On SEF Cleared with > $315 billion
  • The first time On SEF has been higher than Off SEF
  • Showing the success of SEFs in attracting this business
  • Overall volume is > $560 billion
  • The second highest month in this period
  • Up from August, but below earlier months

Overall Nov 2017 USD OIS gross notional of > $2.2 trillion is the same as the USD IRS total.


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

  • Volume in Nov 2017 was > $1 billion
  • 19% higher than Nov 2016
  • Large increases in EUR & GBP from a year earlier
  • Paricularlity in On SEF
  • EUR Off SEF is the largest at > $360 billion
  • GBP Off SEF is the next at > $230 billion
  • EUR ON SEF next with $190 billion
  • Overall On SEF at > $355 billion is 28% of the USD IRS On SEF
  • Higher than the usual low twenties percentage

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

Next On SEF Compression activity.

SEF Compression in EUR, GBP, JPY
  • EUR volume in Nov 2017 is > $59 billion, 17% higher than Nov 2016
  • GBP volume in Nov 2017 is > $78 billion, 200% higher than Nov 2016
  • Overall volume in Nov 2017 is > $138 billion
  • This is 43% of the USD IRS Compression volume


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

First for outright trades.

Eonia, Sonia, Tonar
  • Overall Volume in Nov 2017 is > $800 billion, up 50% from Nov 2016
  • GBP Off SEF with > $490 billion is massively up
  • EUR Off SEF with > $300 billion is also up
  • On SEF volumes are tiny compared to Off SEF

Second Roll trade volumes for the six months to Nov 2017.

Rolls for Eonia, Sonia, Tonar
  • Nov 2017 volume is > $290 billion
  • The third highest month in this period
  • GBO On SEF is up the most with > $165 billion

In Nov 2017, total OIS volume in EUR, GBP, JPY was < $1.1 trillion, similar to that in IRS.

SEF Market Share

Lets turn to SEFView and SEF Market Share in IRS including Vanilla, Basis and OIS Swaps.

DV01 (in USD millions) by month for USD, EUR, GBP and by each SEF, including SEF Compression trades for the six months up to Nov 2017.

SEF Market Share
  • Nov 2017 volume at $1.45 billion DV01 similar to Oct but down from Sep 2017
  • Tradeweb retains it’s top spot with $469 million
  • Bloomberg is next with $430 million
  • TrueEx has $74 million and shows a consistent similar amount on each of the past six months
  • The D2C total of $970 million is similar to Oct 2017
  • The D2D total is $480 million and down from $500 million in Oct 2017
  • IGDL the largest D2D with $150 million
  • TP is next with $124 million, its highest month in the period
  • Tradition with $111m, it’s fourth lowest month in the period
  • BGC with $62 million and Dealerweb with $37 million are consistent with prior months

CCP Basis Spreads and Volumes

In SEFView CME Cleared Swap volume at the D2D SEFs is CMELCH Switch trade activity.

CME-LCH Switch Volumes
  • Overall volume in Nov 2017 was $80 billion
  • Finally back up to Jul 2017 levels and the third highest month in 2017
  • IGDL by far the largest in Nov 2017 with $45 billion
  • And now the volume leader over the six month period
  • TP is next with $17 billion in Nov 2017
  • Tradition in third place for the first time with $14 billion,
  • BGC with $2.5 billion and DW with $950 million

CMELCH Basis Spreads ended the month with 10Y at 3.30 bps and 30Y at 4.20bps, up from 2.90bps and  3.75 bps, on 30th September. The higher spreads resulting in higher volumes in the past two months.

Global Cleared Volumes

Next CCPView and Global Cleared Swap Volumes of EUR, GBP, JPY & USD Swaps (IRS, OIS, Basis, ZC, VNS).

GLobal Cleared Volumes in IRS major ccys
  • Overall Global Cleared Volumes in Nov 2017 of $26.4 trillion
  • Up from Oct 2017 and similar to Sep 2017
  • LCH SwapClear volume at $24.7 trillion in Nov 2017, is up 51% from a year earlier
  • CME volume at $1 trillion, is down 38% from a year earlier (recall Nov 2016 was US Election)
  • JSCC volume at $600 billion is down 22% from a year earlier (in USD terms)
  • Eurex with $57 billion, up from Oct but down from the $71 billion in Sep 2017
  • BME with $1.7 billion, by far the highest month on record

Overall volumes back up after the summer, but below March and June 2017 highs.

Asia and LatAm

Next the volume of AUD, HKD, SGD Swaps (including Vanilla, OIS, Basis, Zero Coupon).

Cleared Swap Volume – Asia


  • LCH SwapClear at $1.6 trillion in Nov 2017 is up 44% from a year earlier
  • ASX at $250 billion in Nov 2017 is up 48% from a year earlier
  • CME at $2.6 billion down from $7 billion in Nov 2016
  • SGX at $7.2 billion, up from $3.8 billion in Nov 2016

And next the volume of MXN and BRL Swaps.

Cleared Swap Volume – LatAm
  • CME with $620 billion in Nov 2017 and $640 billion in Oct 2017, the high for the year
  • CME up 30% in Nov 2017 from Nov 2016 and continuing to dominate these currencies
  • Asigna/Mexder with $3.4 billion, down from $7.5 billion a year earlier
  • LCH SwapClear with $2 billion in Nov 2017, down from $4.6 billion in Oct 2017

Inflation Swaps

Finally lets look at the two products that have gained the most cleared volume from the Uncleared Margin Rules (UMR), starting with Inflation Swaps.

Cleared Inflation Swaps

All the volume at LCH SwapClear with $116 billion in Nov 2017 and running at similar levels each month. EUR the largest, followed by GBP and then USD.

Non-Deliverable Forwards

And last but by no means least, NDFs.

Cleared NDF Volumes
  • LCH ForexClear with $629 billion in Nov 2017
  • A new record and just above the $615 billion in Sep 2017
  • Continuing to grow
  • Comder with $24 billion in Nov 2017

That’s it for today.

Thanks for staying to the end.

Our Swaps review series is published regularly.

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