The number of OTC interest rate swaps (IRSs) cleared at CME Group has jumped by 64%, after the latest stage in the clearing of swaps took effect.
The US-based derivatives exchange today released volume figures for June that showed it cleared an average of US$66 billion a day of notional value of OTC IRSs, up 64% from US$40 billion in May.
The increase follows the latest rules that took effect under the Dodd-Frank, which requires standardised OTC derivatives to be centrally cleared and reported.
Clearing for the largest users of index credit default swaps and IRSs came into force in March, while most buy-side firms were required to clear from 10 June. The next deadline for all other participants is on 9 September.
The figures also showed volume averaged 16.9 million contracts per day last month, an increase of 29% on June 2012. Total volume was more than 339 million contracts, of which 86% was traded electronically.
Interest rate volume averaged 8.6 million contracts per day in June, up 70% from June 2012 – the highest monthly average daily volume since January 2008.
Treasury futures volumes rose 42% from the same time last year, sitting at an average of 3.3 million. While treasury options volumes averaged a record 811,000 contracts per day, up 164% from June 2012.
Eurodollar futures volumes went up 91% from the same period last year, with volumes averaging 3.5 million contracts per day. Eurodollar options volume averaged 977,000 contracts per day, up 66% from June last year.
The 2013 second-quarter volumes averaged 14.3 million contracts per day, up 16% from the same period last year, with the main highlights including quarterly records in the FX and metals product lines. Other records include 10-year Treasury note futures, Eurodollar futures and copper futures.