Clarus Financial Technology

Global Swaps Volume and Market Share in Q3 2018

I last looked at the market share of cleared swaps in major currencies in my July article in Risk, which covered the period up to 2Q 2018. In today’s article I will bring that analysis up to date and follow the structure of my start of the year article, 2017 CCP Market Share Statistics.

In CCPView we collect volumes and outstanding notional for all CCPs that clear swaps and I have used this for the data and charts below.

USD Swaps

Lets’s start with the largest currency and look at volumes for all USD Swaps, including IRS, OIS, Basis, Zero Coupon, Variable Notional and Inflation.

Showing single-sided quarterly gross notional in millions of USD:

Market share unchanged over this period.

EUR Swaps

Next volumes for EUR Swaps; IRS, OIS, Basis, Zero Coupon, Variable Notional and Inflation.

Showing single-sided quarterly gross notional in millions of EUR:

No material gain at Eurex, which had 0.93% market share in 3Q17 and has 0.96% in 3Q18.

Perhaps a little surprising as over the summer months the LCH/EUX CCP Basis has narrowed significantly to the point that since August end, it has been flat out to 10Y; implying a balance between supply and demand of payers and receivers at Eurex.

Eurex have reported significant gains in IRD volumes this year, which we can get an insight into if we include FRAs and switch from volumes to outstanding notional.

Showing:

It is interesting to note that Sep 2018 is the first month that FRA outstanding notional has dropped, probably due to earlier FRAs maturing. This means that further growth in IRD volume and outstanding notional will have to come from IRS or OIS and not FRAs.

It will be interesting to see what October and November data shows for Eurex volumes.

You can wait for my next blog on this topic or subscribe to CCPView to check yourself.

JPY Swaps

Volumes for all JPY Swaps, including IRS, OIS, Basis, Zero Coupon, Variable Notional.

Showing single-sided quarterly gross notional in millions of JPY:

3Q18 volumes are down from a year earlier, market share remains unchanged, JSCC with 54%-56%.

AUD Swaps

Volumes for all AUD Swaps, including IRS, OIS, Basis, Zero Coupon, Variable Notional.

Showing single-sided quarterly gross notional in millions of AUD:

Again 3Q18 volumes are significantly down from a year earlier and market share remaining consistent over the period, with LCH in the 86% to 91% range.

CAD and GBP Swaps

In CAD and GBP Swaps LCH SwapClear has greater than 99% market share, so will dispense with the charts, except for noting that CAD volumes in 3Q18 were CAD 6.7 trillion, up 48% from a year earlier, while GBP volumes were £8.7 trillion, up 28% from a year earlier and 30% of USD Swaps.

LatAm Swaps

Next BRL, MXN, CLP, COP Swaps.

Showing single-sided quarterly gross notional in millions of USD:

3Q18 volumes are significantly higher than a year earlier and market share consistent with CME at 98%.

For more details on the new LatAm currencies launched by CME, see Non-Deliverable Swaps Clearing Volumes.

AsiaPac Swaps

Next CNY, HKD, INR, KRW, MYR, NZD, SGD Swaps.

Showing single-sided quarterly gross notional in millions of USD:

An increasing quarterly trend, driven largely by LCH SwapClear volumes and new currencies. For more details on the new Asian currencies launched by LCH and CME, see Non-Deliverable Swaps Clearing Volumes.

EMEA Swaps

And finally CHF, CZK, DKK, HUF, NOK, PLN, SEK, ZAR Swaps.

Showing single-sided quarterly gross notional in millions of USD:

That is it for the charts today.

Swap Maturities

Now we know that different Swap types and currencies have differences in the maturities that are commonly traded, so for USD IRS the largest tenor is 10-years, while for OIS it is less than 1-year.

I don’t have time in this blog to go into the tenor data.

For those interested, please consider subscribing to CCPView.

Alternatively for insights into EUR Swaps, see my article, EUR Swaps by Tenor.

Final Thoughts

LCH SwapClear dominates the majority of currencies with 90% plus share in each.

The only exceptions are JSCC in JPY and CME in LatAm.

There is a lot of press currently about Brexit and EUR Clearing.

Just today ISDA put out a paper on the cliff edge effects in a no deal brexit scenario.

Today the FT has “BoE warns EU that £41tn of derivatives at risk after Brexit” (subs required).

Earlier this week Risk had, EU clients facing axe from UK CCPs (subs required).

And from the charts above, it is clear that more than just EUR Swaps are a concern.

European members and clients at LCH SwapClear are trading many European and Asian currencies.

Most of which are not offered by a European CCP.

The potential disruption to the Swaps market is alarmingly high.

Time for regulators to reach a resolution.

Stay informed with our FREE newsletter, subscribe here.

Exit mobile version