04.09.2020
By Shanny Basar

Swap Trading, Clearing Hits Record

Dealer to dealer swap trading volume and swap clearing reached records last month as volatility increased due to the impact of the Covid-19 pandemic.

Chris Barnes of Clarus Financial Technology said on the derivatives analytics provider’s blog that dealer-to-dealer volumes for US dollar swaps on swap execution facilities reached a new high of $1 trillion last month.

Barnes wrote: “March was a record month ever for volumes across US dollar, euro, sterling, Japanese yen, Australian dollar, and Canadian rates markets.”

“The big SEF winners were ICAP, Bloomberg and Tradeweb,” he added.

Tradeweb, the electronic trading platform, reported for March that interest rate derivatives trading rose 70.5% year-on-year to average daily volume of $319.2bn.

“Markets saw unprecedented volatility during the month, and Tradeweb activity was elevated throughout,” added the report. “On March 3rd, the day of the emergency rate cut by the Federal Reserve, a record $1.5 trillion was traded across the Tradeweb platform globally.”

Clearing

Barnes continued that clearing houses also saw combined volume records with more than $50 trillion cleared in a month in the top six currencies.

“Over $4.5 trillion cleared in currencies outside of the top-six for the first time,” he added. “CME and Shanghai Clearing saw notable increases due to increased volumes in Latin American and Chinese yen clearing.”

CME market share of these non-major currencies increased from 16.2% to 19.7% and Shanghai Clearing market share increased from 3% to 7% according to Barnes. He added that this suggests that the larger increases in volumes have not been in European currencies where London Stock Exchange’s LCH is strongest.

LCH reported a record quarter at SwapClear, with $402 trillion in notional cleared in the first three months of this year, up 26% from the same period in 2019.

“The first quarter saw three record days for notional cleared and 10 March was a record day for number of trades cleared,” added LCH.

Related articles

  1. MarketAxess Expands in Asia

    Phase 5 of the uncleared margin rules (UMR) took effect from September 2021.

  2. Temporary equivalence is set to expire on June 30 2022.

  3. Margins Raised Ahead of Brexit Vote

    IRS trading volumes have fragmented without an equivalence agreement.

  4. New Collateral Transformers To Emerge

    Phase 5 of the uncleared margin rules came into effect on 1 September.

  5. Buy Side Forced to Review Collateral Arrangements

    Triparty repos can be executed across U.S. Treasury securities to central clearing.