Swap Trading, Clearing Hits Record

Shanny Basar

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.”


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.

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