The Markets ConversatION Podcast

Quick Takes: 3Q23 CCP Volumes and Share in IRD

November 3, 2023 | Duration: 8 minutes

Speakers: Amir Khwaja and Chris Barnes


In this week’s Quick Takes, Amir will discuss Clarus CCPView daily volume and open interest data published by each CCP, which is filtered, normalized and aggregated to allow meaningful comparisons of volumes.

He will further explore 3Q23 volume and market share in IRD for:

  • USD Swaps (SOFR, FF)
  • EUR Swaps (EURIBOR, €STR)
  • GBP Swaps (SONIA)
  • JPY Swaps (TONA)
  • AUD Swaps (BBSW, AONIA)
  • CAD Swaps (CDOR, CORRA)
  • EMEA Swaps
  • AsiaPac Swaps
  • LatAm Swaps
  • Cross Currency Swaps


Quick Takes: 3Q23 CCP Volumes and Share in IRD

Ali Curi: Hi, everyone, and welcome to ION Markets Quick Takes. I’m Ali Curi, and every week, along with my guests, Amir Khwaja and Chris Barnes, we take a quick dive into the headlines on the ClarusFT blog. Let’s get started.

Hi, Amir. Hi, Chris.

Amir Khwaja: Hey, Ali.

Chris Barnes: How are you doing?

Ali Curi: Doing great. Welcome back to Quick Takes. Amir, let’s start with you.

What are your quick takes for this week? Which headline from the ClarusFT blog would you like to discuss?

Amir Khwaja: Yeah, sure Ali, yes. The headline is Third Quarter ’23 CCP Volumes and Share in IRD.

Ali Curi: All right.

Amir Khwaja: So that’s a blog I wrote a few weeks ago. And quick summary, I look once a quarter at the volumes and market share interest rate swaps at the clearing houses.

So in third quarter, I normally compare to the same quarter year earlier and the prior quarter. In most major currencies in dollar OIS, in Euro OIS, the volumes are much higher than a year earlier. So I think up to 50 percent higher volumes in SOFR and USTR swaps. And primarily because of higher rates, there’s been more activity in the rates market.

So I think that’s SONIA is up about 25 percent from a year earlier. Yen even higher, there’s this little happening in yen rates currently. I’m looking at how much has the volume increased quarter on quarter, year on year and has a market share change, right? So market share tends to be pretty stable between CCPs.

So LCH, CME, EURX, JSCC, ASX are the major ones we cover in the major currencies. So I think market shares is pretty steady. I think in Europe, there has been a sort of a drift back from Eurex. So I think Eurex gained a bit of share in 2023 over LCH. So that’s now reverting back to LCH. So really I look at the major currencies dollars, euros, sterling, yen, AUD, CAD.

And then I then look at EMEA, LATAM, etc, AsiaPac also to the volumes market share, which also pretty large markets. But yeah, I just want to give it a chance to ask some questions. I think that’s a quick summary.

Chris Barnes: I really like these blogs because it’s a presentation of our data, very factual, but it also raises a hell of a lot of questions.

It’s very difficult to look at these data points and not think, why is that? And why is that? I think particularly on this one, it’s interesting in Euro swaps, where you look at the Eurex market share in Euribor, which is significantly higher than the Eurex market share in ESTR. I’m still not a hundred percent sure why that is, whether it’s solely as a result of FRAs at Eurex, but it does seem like all markets are on this march towards RFR trading.

And if there is going to be some type of mandated Euro clearing in Europe, it feels to me like there needs to be a concerted effort to increase the amount of ESTR clearing at Eurex.

Amir Khwaja: Yeah, so in the charts I’ve used, I’ve ignored FRAs, so it’s only IRS. So I can only assume that maybe there’s more clients still doing Euribor and LCH has larger share in dealers that are doing ESTR.

That’s a possible reason. I think the thing I wanted to point out was that also, the markets outside, the major cuts are also pretty large, right? So if we look at EMEA, for example, the rand is the biggest currency and, in substantial amounts of trade. So I think in Q3 rand, there was 1. 7 trillion of gross national traded rand.

Clearly, some of those currencies, depending on the quarter, are substantial. And that’s up hugely from the same quarter in 2023, 2022. So I think there are some large, obviously, grand Swiss, Polish, Czech. So actually they’re pretty major currencies, similar APAC, CNY and NZD, of course, KRW, INR, big currencies, LatAm, we know, Mexico and Brazil, are pretty huge markets.

So really, those are also substantial volume in those currencies are cleared either at LCH or CME or some of the local clearinghouses.

Chris Barnes: And you’ve made the point in the blog there as well that APAC is now bigger than the other EMEA currencies, right? It’s hard to believe for me when I was trading at 15 years ago, and SEK and NOK were big markets that now the likes of CNY and Kiwi and INR are so much bigger.

Amir Khwaja: Yeah, so I think, that reflects their economies and trade and those economies are now substantially higher than they were 20 years ago. And obviously, much bigger economy, much bigger exports, much bigger need for hedging. And I guess we’ve talked about the blog, I try and keep it very objective, just every quarter’s figures, same chart, same presentation.

And you’re right. It opens up a lot of questions for people, in terms of why, when there’s a change.

Chris Barnes: I think, the obvious thing that people will think about seeing this is that the growth in APAC is so great. Has there been an introduction of a clearing mandate in one of those jurisdictions between 2022 and 2023, which has driven this, or is this all just organic growth?

And those types of market structure questions are very difficult to answer unless you’re really in the weeds of that market.

Amir Khwaja: Yes, correct. So I’m not sure I know, there may have been in some of those currencies that they lost. I’m not sure we know.

Chris Barnes: If you look at LATAM, I’m pretty sure that there haven’t been any new clearing mandates in LATAM recently, but the growth there, particularly from what Q3 2022 is huge, right?

Another couple of trillion has traded in the quarter. So it’s very interesting to see the data presented in this kind of, “this is the data.” Some of them are definitely due to pure organic growth, which is a real sign that, that interest rate swap markets in particular really suit the clearing model I think.

Amir Khwaja: Yeah, I think also, I think this is a blog that I do every quarter and I must admit, sometimes I do it a few weeks later and then people do email me and say. “You haven’t done your blog yet on quarterly volumes, right?” It’s one that a lot of the blog readers expect to see on a regular basis, to see change in share, et cetera.

I think people are very keen to see change in CCP market share and of course the volumes.

Chris Barnes: Yeah. In terms of market share, historically, the hottest topic was dollars and what the market share of CME is.

Obviously at the moment, people are very closely monitoring the European markets. I do remember a while ago looking at Yen and the split of LCH and JSCC. I see there’s been a big change, LCH were or are at 33.8 percent this time around. I seem to remember that with yen swaps there’s a big difference between the short end and the long end. It seems to be, I think LCH has a bigger share in the long end of yen.

Amir Khwaja: You may be right, Chris. Yes, you may be right. Yes, I recollect onshore, offshore, participants. There is some differences too. I think depending on, whether the offshore firms are doing more in yen or the onshore firms, I think share does change a bit. But JSCC is larger, but it goes up and down on a quarterly, monthly basis.

Chris Barnes: And remind me, Amir, do we monitor the year to date market shares as well?

Amir Khwaja: Not necessarily, no. I present these quarterly charts, so I just have the last five quarters. So we’re just looking at, yeah, I don’t tend to look at year to date, but yeah, it is possible. Obviously all the figures are there in CCP view.

This is all based on data we have in CCP view, which we collect on a daily basis. So we’re able to do that. Anyway Ali, so I think back to you, so that’s a quick summary of the blog I did a couple of weeks ago.

Ali Curi: Well, thank you, Amir. And please share with us again the title of your blog post.

Amir Khwaja: It’s called “Third Quarter 2023 CCP Volumes and Share in IRD.”

Ali Curi: Great, that works.

Chris, Amir, thank you both for sharing your quick takes. Let’s do it again next week.

Amir Khwaja: Thank you.

Chris Barnes: Look forward to it, Ali. Thank you.

Ali Curi: And that’s our episode for today. You can read more about these topics on the ClarusFT blog, and you can follow ION Markets on X and on LinkedIn.

Until next week, thank you for joining us.