USD Swap Volumes after Nov 8, 2016

Following on from US Election Live – What is Trading, lets look at USD Swap volumes in the past two weeks.

Number of Trades

Starting with SDRView and the weekly trade counts reported by US persons.

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Showing On SEF Cleared USD IRS price-forming:

  • For the eight weeks prior to Nov 7
  • Averaging 3,700 trades a week
  • Jumping to 5,500 trades in the week of Nov 7
  • Jumping again to 7,000 trades in the week of Nov 14

Daily trade counts for the past two weeks.

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Show the big jump on Nov 9, the day after the US Election and continued high volumes every day since.

Swap Rates

USD Swap Rates have continued their upwards rise.

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With 10Y Rates now above 2% and 30Y Rates above 2.4%.

CME-LCH Basis Spread

Interestingly the CME-LCH Basis Spread has also increased significantly.

On Nov 8, 5Y was trading at 1.55 bps, 10Y at 3.05bps and 30Y at 4.10 bps.

While Nov 18 prices show:

screen-shot-2016-11-21-at-20-27-35

  • 5Y   up 0.40 bps to 1.95 bps
  • 10Y up 0.75 bps to 3.80 bps
  • 30Y up 0.85 bps to 4.95 bps

Not a lot of volume in CCP Switch trades so far, but with such price moves that can only be a matter of time.

SEF Volumes

Next using SEFView lets see which SEFs have gained the most volume.

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Showing USD DV01 in millions for USD IRS.

The same data in a table with a weekly average over the first 8 weeks and then our two weeks in question.

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Showing that:

  • IGDL (ICAP) has the biggest gain with almost 3 times (281%) its average weekly volume
  • Tullet next with 2 times (220%) its average weekly volume
  • All the D2D SEFs are up
  • D2D volumes were 111% in the first week and 211% in the second
  • BBG was the biggest gainer in the first week with 166% its average and 209% in the second
  • Tradweb volumes were 146% in each week
  • D2C volumes were 147% in the first week and 171% in the second

A case of client to dealer volumes in D2C SEFs jumping quicker in the first few days and dealer to dealer volumes in D2D SEFs higher in the following days.

Global Cleared Volumes

Before we end, a quick look at CCPView and USD IRS Gross Notional volumes.

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Showing both LCH SwapClear and CME OTC IRS at almost double their weekly average.

The End

This week being Thanksgiving holiday should be a quiet week.

It will be interesting to see what December holds.

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