My Monthly Swaps Data Review for Risk Magazine was published this week.
This looks at 2017 CCP Volumes for:
- Interest Rate Swaps, in major and minor currencies
- Credit Derivatives, index and single-name
- Non-Deliverable Forwards
It shows the dominance of one global CCP in each asset class and significant share by other CCPs in a specific currency, product or region.
Please click here for free access to the full article on Risk.net.
Hi Amir,
I read your useful and interesting article in Risk mentioned below.
Have you / anyone else estimated the IM cost (=> risk gross up) of Eurex taking a large slice of EUR IRS clearing?
In particular the cross currency risk netting effect in SwapClear is interesting as I recall LCH’s model for this is quite simplistic (=> they may be mis-representing the risk & netting effect).
Your article makes it plain that clearing is largely monopoly not oligopoly despite the nationalist intentions of politicians and it is also clear that incentives on all clearing participants are to keep it that way.
It’s notable that thecurrency where nationalism has succeeded (JPY) has no client clearing mandate. Is this also true of the few minor currencies not dominated by LCH?
A reason CME didn’t take more USD share is that clients migrated to the cheaper option SwapClear except where futures offsets made CME cheaper.
If true this suggests that EU politicians client clearing mandate will be in direct opposition to their intent to onshore EU clearing to the Eurozone….