October 1, 2013

Client Clearing of Interest Rate Swaps at CME and LCH

As two months have passed since my article USD IRSwap Client Clearing, CME or LCH?, I wanted to see what the data now shows. Having diligently collected daily figures for the past 2 months from the CME and LCH websites, I have produced weekly volumes for USD IRS and EUR IRS for the 8-week period 5-Aug-13 to 27-Sep-13.

One note before we start, I missed two days for one of the CCPs in my sample, 23-Aug and 5-Sep, so have also removed the corresponding day for the other in the respective weeks. (Note to one of the CCPs, it would be helpful if you provided not just the prior data figures but prior three days).

So what does the data show?

Lets start with comparing LCH Client Clearing volumes for US IRS with CME Volumes, on the assumption that USD IRS is the biggest volume product and that CME Volumes are purely Client Clearing. AugSep - USD - CMELCH From this we can make the following observations for USD IRS:

  • September has seen record volumes at both CME and LCH
  • The week of Sep 9th had the highest volumes at $450b for LCH and $277b at CME
  • CME Volumes are 67% or two thirds of LCH Client Clearing Volumes over the period
  • This is a change from my prior post where between 10-Jun and 12-Jul, the proportion was 46%
  • So while both CME and LCH have gained volumes, the proportion going to CME has increased more.

And observations from the data, but not shown in the chart

  • LCH Client Volume for USD IRS is 20% or one fifth of LCH All Volumes, which is similar to the June period.
  • CME Volumes for USD IRS are 15% of LCH All Volumes.

Now lets look at EUR IRS.

From this we can make the following observations for EUR IRS:

  • CME Volumes are 40% or two fifths of LCH Client Volumes over the period
  • EUR Volumes are between 20% to 25% of USD Volumes

And observations from the data, but not shown in the chart.

  • LCH Client Volume for EUR IRS is 8% or less than one tenth of LCH All Volumes.
  • So Client Clearing in EUR has some way to go to catch up with USD
  • Not surprising when EMIR mandatory deadlines are still out there in 2014.

So there you have it.

An update on what the data shows for USD IRS and EUR IRS. Of-course there are more products in USD & EUR and many more currencies to look at. But I leave that to those of you that have an interest in specific ones. The data is out there, you just need to collect it each day, and analyse it. For more analysis, industry observations and public OTC derivatives data tools pop over to

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