Over the past 12 months, central clearing of over-the-counter derivatives has taken hold in the interest rate swaps and credit default swaps markets. A snapshot of clearing at major clearinghouses as of September shows significant volume and open interest.
The interest rate swaps market is by far the largest segment in the OTC markets. In the month of September, LCH.Clearnet processed nearly $36 trillion of interest rate swaps for clearing, a 43% increase over a year ago. Of that amount, 42% were denominated in euros and 33% in U.S dollars. Total open interest at the end of the month was $331 trillion in notional outstanding.
At CME Group, cleared interest rate swaps volume in September reached $62 billion, bringing total open interest to $441 billion. More than half of that volume is in U.S. dollar-denominated swaps. Also in September, CME cleared $16 billion in credit default swaps, bringing open interest in that product to $44 billion.
IntercontinentalExchange cleared $438 billion in credit default swaps through its U.S. clearinghouse in September, with open interest reaching $823 billion. At ICE Clear Europe $326 billion in credit default swaps were cleared in September, and open interest stood at $735 billion at the end of the month.
Dan Mannetti is an associate relationship manager with FIA Tech.