May 13, 2015

CCP Notionals Scoresheet

An update to our collation of the CCP notional figures. as of February.

CCP Notionals Scoresheet (as of Feb 2015)

The figures for the CCPs are all over the place this time – some up, some down, some sideways. The increased figures from Eurex IRS and ASX IRS are due to these being new business lines, they are taking on customers and chasing market share. In the case of ASX this is the first time there has been a public disclosure of their progress in clearing IRS.

A decline of $65trn in the notional at SwapClear (Global) is due to a range of new compression methods being used to terminate or merge the stock of swaps down to a lower inventory of contracts, also causing an indirect reduction in capital charges too. Coverage of these methods is on and our own website.

The figure for Singapore IRS is a correction in our reporting, the previous figure was a on a cumulative basis, but is now the actual open notional. The launch of a CCP in Chile for IRS has moved into 2015, the date was never announced or certain though.

On a net basis across all assets classes there doesn’t seem to be a massive increase in cleared business – most CCPs are now engaging with compression methods, and firms who are mandated to clear will be doing so. The next big change to the figures will come when mandatory clearing begins in Europe, next year, and the first wave of smaller firms begin clearing.

And finally, our thanks go to John Kiff and the team at ClarusFT, we did a tri-party reconciliation of all the data we had between us to spot any discrepancies.

This article was first published in edition 3 of Rocket, our magazine. Download your copy here, or save your address in your profile to receive a printed copy.

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