Following on from our blog, SEFs in Japan: ETP Data, I wanted to look at the first month of trade activity.
Japanese Electronic Trading Platforms (ETPs) commenced operation on 1 Sep 2015, with trading in Vanilla JPY Fixed vs Libor Swaps, Cleared at JSCC with 5Y, 7Y, 10Y tenors and trades executed between large Japanese Financial Institutions.
ETPs are required to publicly report information on trades and do so without delay.
For more background, please see SEFs in Japan.
First Months Data
We have been diligently collecting the data and authorised users of SEFView can use a new filter.
Selecting Venue Type ETP and the period 1 Sep to 30 Sep, we get the following chart.
(Please note the data below has been corrected on 15 Oct from that originally published on 6 Oct).
- 2.2 trillion yen was reported by 5 ETPs (equivalent to $18.8b)
- ICAP had the highest volume at 776 billion yen
- Tradeweb was a close second at 765 billion yen
- Tradition third with 507 billion yen
- Then Tullets with 177b
- And finally Bloomberg with 30 billion
- D2C ETPs had 35% share vs 65% for D2D
So on the face of it a decent amount of volume.
As the data reported by ETPs is trade level, it is possible in SEFView to pick the highest volume day, which is 28 Sep with 307 billion yen and then drill-down to all reported trades to see their size and price.
Interesting data indeed.
For September the Average Daily Volume (ADV) is 119 billion yen or 1 billion dollars.
There were 443 trades reported in the month, an average of 23 trades per day.
JSCC Cleared Swap Volumes
To understand what portion of the market this represents, lets now use CCPView to see the volume of vanilla IRS reported by JSCC.
Showing that 54.8 trillion of Libor Swap volume was Cleared by JSCC in September.
Meaning that the 2 trillion of ETP volume only represents 4% of the total volume.
(This is consistent with the 3% noted by Tod in his blog on the first weeks data).
So some way to go to get close to the 60% of USD IRS we see On SEF in the US.
Or even the 11 trillion yen of Cleared JPY Swaps traded On SEF by US persons in September.
However, it is only the first month, so there is time.
We expect that JFSA will mandate more tenors and more participants will join and current exemptions for packages (curves, flys) will expire or be removed.
Resulting in volumes increasing significantly, to be much higher than the 11 trillion yen on US SEFs.