Clarus Financial Technology

CNY Swaps – What’s New?

Chris Barnes

When I last wrote about CNY Swaps back in 2020, I found that CNY swaps were the 9th most traded currency in cleared Interest Rate Derivatives. They have since increased in size significantly, and are now the 7th largest swaps market.

Updating the data from CCPView;

Average Daily Volumes in $m notional of OTC Interest Rate Derivatives. Source: CCPView

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CCP Market Share

CNY is one of the seven currencies that I monitor in terms of shifting market shares at different CCPs. These seven currencies (AUD, BRL, CNY, EUR, INR, JPY and MXN) see at least 5% of volumes trade away from the “major” CCP and therefore present particular market dynamics.

Refreshing the market share of CNY swaps between Shanghai Clearing (onshore) and LCH SwapClear (offshore) shows a remarkably resilient 60/40 share:

Average Daily Volume in $m of cleared CNY Swaps. Source: CCPView

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Most Offshore CNY Swaps are Cleared

In a big change from our previous blog, the take-up of CNY clearing has increased from ~60% to 90% in 2025:

Percentage of CNY IRS and OIS notional reported as Cleared to US SDRs. Source: SDRView

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Given the large increase in ADVs we have seen at both SwapClear and Shanghai Clearing, it is likely that this behaviour is repeated for both Onshore and Offshore markets.

New Bilateral Margin Rules Coming in 2026

I admit that it wasn’t 100% of a surprise to see record volumes in clearing. At the beginning of this year, I learned that Uncleared Margin Rules would be rolled out for Chinese market participants:

Risk.net: China finalises IM rules

Summarising;

The Risk article makes some really interesting points, including whether ISDA SIMM will gain regulatory approval.

As readers well know, I always like it when regulatory change shows up in the data. It is great to witness such a large increase in the percentage of the market being cleared ahead of a planned implementation of uncleared margin rules for the local market.

Product Types

I have tended to overlook an analysis of the types of product that trade in this “What’s New” series (8 blogs in 2024). My previous blog uncovered the fact that there used to be a CNY OIS market, but it virtually died out. That is still largely true, with OIS being only as large as Swaptions – which basically means very small:

Notionals traded in $m equivalent of CNY OTC derivatives reported to US SDRs. Source: SDRView

The only product that can hold a candle to the volumes traded in Fixed-Float IRS in CNY markets are Fixed-Float Cross Currency Swaps. 93% of derivatives volumes in the past three years have been in Fixed-Float IRS, with most of the remaining 7% in Fixed-Float Cross Currency swaps.

Given that CNY trades against a term index – the market standard is a 7-day repo fixing that compounds and pays quarterly – I thought we might see a FRA market, but no such luck. I guess a 7D fixing is too short to warrant an active market?

There is finally a SEF Market in CNY!

The popularity of SEF-execution, largely for the workflow benefits, has been a real feature in this series of blogs. I am pleased to report this is no different for CNY. SEF trading now makes up a significant portion of volumes:

CNY IRS volumes on-SEF and off-SEF in $m. Source: SDRView

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From SEFView;

ADVs in CNY swaps as reported by SEFs. Source: SEFView

Should I be surprised? Repeating the pattern that we have seen in at least INR, MXN, GBP and CAD markets, volumes on Tradeweb in “other” currencies (i.e. outside of USD) continue to grow.

In Summary

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