Mandatory Clearing, June 10, the first two days

Category II firms were required to clear Interest Rate Swaps from June 10th.

As his deadline impacted a lot more firms than the prior March 11th, I decided to look at the data.

Firstly the reported Uncleared USD Swap daily trade counts.

This shows a drop of 44% on June 10th, from the week earlier June 3rd figure.

Uncleared USD Swap Trade Counts - Jun 11

The count on June 11th was also similar to June 10th, so the average daily uncleared trade count over these two days dropped to 168 trades, as compared to the daily average in the week prior of 316 trades; so a drop of 47%.

Secondly the Cleared USD Swap daily trade counts.

The shows  an unchanged count on June 10th (from June 3rd) and a large 49% increase on June 11th from June 4th.

Cleared USD Swap Trade Counts - Jun 11

So while it is surprising that the Cleared trade count remained unchanged on June 10th, as we would have expected it to increase by roughly the same amount as the drop in Uncleared, the figures on June 11th show the effect we were expecting; a sharp rise in the count by 49% to 965 trades from 648 trades on June 4th.

Thirdly we can determine that on June 11th, 85% of USD Swap trades are Cleared and 15% Uncleared.

We need at least a few more days of data, to see whether all or part of the Uncleared Swap trade activity has moved to Cleared Swap trades or whether it has migrated to other products.

You may check yourself using SDR View (just login, tab to history, change start date, currency and status to cleared, display to counts). As well as looking at impact on EUR, JPY, GBP and other currencies.

Or you may wait for my next blog.

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