Eurex Clearing - Partnership Programme - February 2021 - Deutsche Börse Cash Market
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Eurex Clearing – Partnership Programme February 2021
“Thanks to you for your contribution”
Selected quotes from Risk.Net article1:
“Eurex has earned the praise of many dealers
thanks to its adaptive and conservatively
calibrated margin model, as well as its
willingness to learn from the crisis.”
“What is better with Prisma is that it’s fully
predictable,” says a senior source at a large
European clearing member. “Prisma is a
positive achievement and clearly leading the
way versus the Span model.”
“Some of Eurex Clearing’s expansion efforts
also stood out last year. The CCP gained
market share in the clearing of over-the-
counter rates products…”
1 Clearing house of the year: Eurex Clearing - Risk.net
23rd February 2021This industry partnership programme is designed to benefit
the broader market
Programme designed to deliver benefits for all
Direct rewards to 10 most active participants…
Eurex Clearing clients
▪ Price transparency and tight bid-offer spreads for Eurex Revenue Sharing
cleared swaps Attractive Performance Based Sharing
▪ Cross-Margining across listed and OTC optimizes margin Turning into Perpetual Revenue Share after year 4
requirements „PRISMA“
▪ Broad eligible collateral spectrum reduces funding costs +
and liquidity needs
Governance
▪ Innovative direct buy-side access models reduce capital
requirements and improve asset protection “ISA Direct” Representation on Eurex Clearing Supervisory Board
Participation in FIC Board Advisory Committee
All Eurex Clearing Members and Registered Clients are
eligible to participate in the Partnership Programme
3 1 April 2021TOP Performers will be represented in the FIC Board
Advisory Committee and the Supervisory Board
Scope Permanent Partnership 2018-2021 Perpetual Phase
▪ Will consist of 10 members ▪ TOP 10 performers based ▪ TOP 10 performers based
▪ Advised the Executive Board of on time-weighted on time-weighted
Eurex Clearing on 10 Seats multiplied undiscounted multiplied undiscounted
Eurex FIC Board ▪ the general Fixed Income and assigned to gross revenues during gross revenues during
Advisory Commitee applicable measuring Phase 1
Currencies strategy and TOP performers
period
▪ product and service expansions in
Fixed Income and Currencies ▪ 2 terms of each 2 years
starting June 20181
▪ Currently 12 members ▪ TOP 5 performers based ▪ TOP 10 performers based
▪ Appoints the Executive Board on time-weighted on time-weighted
multiplied undiscounted multiplied undiscounted
▪ Appoints chairman/ -woman
gross revenues during gross revenues over
▪ Approves important decisions and 5 Seats applicable measuring Phase 1 receive
Eurex Clearing planning assigned to period nomination right
Supervisory Board TOP performers ▪ 2 terms of each 2 years ▪ 5 representatives are
starting June 20181 elected
▪ Right to nominate
Chairman/ -woman
1Subject to minimum average daily volume during applicable measuring period of €35BN; otherwise mearing period and
assignment shifted by 12 months for Supervisory Board and extended by 6 months for FIC Board Advisory Committee
4 1 April 2021Eurex’ Partnership Programs gains broad market support
with 40 participants around the globe
31 Repo
Participants
35OTC IRD
Participants
Approved Platforms at Eurex Clearing for OTC IRS Approved Platforms at Eurex Clearing for Repo
5 1 April 2021OTC IRD Volume Development at Eurex Clearing (1/2)
Volumes as of 26th February 2021
Average Daily Volume in € bn
240
249 ↗ +15% YoY3 ↗ +7%YTD YoY4
199 13.3% 17.8%
28 173 EUR Market Share1
164
as of 26th February EUR Market Share1
142 144 142 145 30
124 126 32 2021 YTD 2021
121 124
117 119 114 115 30 110
101 99
33 19 94
84
€ 164bn
82 80
€ 190bn
71 67 75 75 72 34
64 64 69
52 57 12 26
37 36 38 42
ADV Average ADV
18
as of 26th February
2021 20212 YTD
Jul 18
Jul-19
Jul-20
Jun 18
Jun-19
Jun-20
May 18
Nov 18
Jan-19
Apr-19
May-19
Nov-19
Jan-20
Apr-20
May-20
Nov-20
Jan 18
Aug 18
Aug-20
Feb 18
Mar 18
Dec 18
Apri 18
Sep 18
Feb-19
Mar-19
Aug-19
Sep-19
Dec-19
Feb-20
Mar-20
Sep-20
Dec-20
Jan-21
Feb-21
Oct 18
Oct-19
Oct-20
FRA OIS IRS Basis Compression cycle
1)
Based on ADV and subject to the ECAG Trading Calendar 2020/2021
2) Average ADV Excludes volume due to compression
% YoY3 : ADV Feb 21 vs Feb ’20 excluding volumes due to compression
% YoY4: Average YTD ADV ‘21 vs Average YTD ADV ’20 excluding volumes due to compression
Market share source: Eurex, LCH and CME Website
Market share excludes volumes generated from post trading events
Based on ADV and subject to the ECAG Trading Calendar 2019/2020
6OTC IRD Volume Development at Eurex Clearing (2/2)
Volumes as of 26th February 2021
Notional Outstanding in € tn
↗ +10% YoY
20.4 19.9
19.0 18.9 19.5 19.3 18.9 18.5
17.0
18.1 17.6 17.9 17.8
16.6 18.7%
15.2
14.3 14.3 EUR Market Share as
12.9 12.7 12.8 12.3 12.5 12.9
12.2 of 26th February 2021
10.5 11.2
9.8 10.4
9.2 9.1
8.3 7.9
7.2
6.5
2.7
3.3
4.7 5.2 € 19.9trn
Notional Outstanding
as of 26th February 2021
Jul 18
Jul-19
Jul-20
Jun 18
Jun-19
Jun-20
May 18
May-19
Apr-20
May-20
Aug 18
Nov 18
Dec 18
Apr-19
Jan-19
Aug-19
Nov-19
Dec-19
Jan-20
Aug-20
Nov-20
Dec-20
Jan 18
Feb 18
Mar 18
Jan-21
Apri 18
Sep 18
Feb-19
Mar-19
Sep-19
Feb-20
Mar-20
Sep-20
Feb-21
Oct 18
Oct-19
Oct-20
FRA OIS IRS Basis
% YoY: Notional Outstanding Feb ’21 vs Feb ‘20
Market share source: Eurex, LCH and CME Website
7Since launch, no. of Disclosed Clients tripled; new initiatives
such as activation of buy-side on track
~200 to 1 Price transparency & competitive quotes
2 Establish significant FRA Market Share
>500 3 Onboard Buy-Side clients
Clearing Members1 and disclosed 4 Activation of Buy-Side clients on track
Clients1,2
5 Grow open interest in IRS/OIS on track
Activation rate3: 6 Build Non-EUR Liquidity started
~54% 8
1) Period from October 2017 to February 2021
2) Multiple clearing relations of the same entity are not counted
3) Active clients (>100 mn cumulated cleared IRS volumes) and clearing
members
04 March 2021-
1.00
2.00
3.00
4.00
Date
(2.00)
(1.00)
Jan 18
Feb 18
Mar 18
Apr 18
As of 12th March 2021
May 18
Jun 18
Jul 18
Aug 18
Sep 18
LCH-Eurex Basis Development
Oct 18
Nov 18
Dec 18
Jan 19
2yr
Feb 19
2 Year
+0.05
Mar 19
Apr 19
May 19
5 Year
Jun 19
Jul 19
9
5yr
Aug 19
+0.20
10 Year
Sep 19
Oct 19
Nov 19
20 Year
Dec 19
Jan 20
10yr
+0.20
Feb 20
30 Year
Mar 20
Apr 20
May 20
LCH-Eurex Basis is flattening for all Tenors (I)
Jun 20
Jul 20
20yr
+0.20
Aug 20
Sep 20
Oct 20
Nov 20
Dec 20
Jan 21
30yr
+0.25
Feb 21
Mar 21
Source: BloombergLCH-Eurex Basis is flattening for all Tenors (II)
Client DV01 balance vs EUREX-LCH Basis
PBI Portfolio balance indicator (PBI) Basis
Basis
70% 4.00
65% 3.00
60% 2.00
55% 1.00
50% 0.00
50% = full balance of payer and receiver flow
45% -1.00
Client Absolute Net DV01
10LCH-Eurex Basis is flattening for all Tenors (1/3)
LCH-Eurex Basis by Month
Date 2yr 5yr 10yr 20yr 30yr
End of January +0.05 +0.10 +0.20 +0.25 +0.45
End of February +0.05 +0.05 +0.10 +0.10 +0.20
End of March +0.20 +0.50 +0.70 +0.90 +1.20
End of April +0.30 +0.95 +1.45 +1.55 +1.80
End of May +0.15 +0.40 +0.55 +0.65 +0.85
End of June +0.05 +0.20 +0.35 +0.40 +0.55
2020
End of July +0.10 +0.15 +0.40 +0.50 +0.60
End of August +0.05 +0.20 +0.30 +0.40 +0.50
End of September +0.05 -0,05 -0.05 +0.15 +0.05
End of October 0.00 0.00 0.00 0.00 -0.05
End of November +0.05 +0.05 +0.05 +0.05 +0.05
End of December +0.20 +0.45 +0.40 +0.20 +0.20
End of January +0.05 +0.20 +0.20 +0.10 +0.15
2021
End of February +0.05 +0.20 +0.20 +0.30 +0.30
11 1 April 2021Large dealers provide similar liquidity for Eurex Clearing
compared to LCH for Euro Swaps
Eurex-LCH Price Comparison1
2yr 5yr 10yr 30yr
Eurex LCH Eurex LCH Eurex LCH Eurex LCH
0,3 0,4 0,2 0,3 0,3 0,4 0,4 0,6
0,4 0,7 0,3 0,4 0,3 0,3 0,4 0,5
0,5 0,6 0,3 0,3 0,3 0,3 0,5 0,5
0,5 0,5 0,4 0,7 0,4 0,7 0,5 0,5
0,5 0,5 0,4 0,4 0,4 0,4 0,6 0,9
0,5 0,5 0,4 0,4 0,4 0,4 0,6 0,6
0,5 0,5 0,5 0,5 0,5 0,5 0,6 0,6
0,6 0,6 0,5 0,5 0,5 0,5 0,6 0,6
0,6 0,6 0,5 0,5 0,5 0,5 0,7 0,7
0,6 0,6 0,5 0,5 0,5 0,5 0,7 0,6
1) Top 10 quotes per tenor as of 1st March 2021
12 04 March 2021Large dealers provide similar liquidity for Eurex Clearing
compared to LCH for Euro Swaps(2/2)
RFQ MoM Performance
5000 100%
4500 90%
4000 80%
3500 70%
3000 60%
2500 50%
2000 40%
1500 30%
1000 20%
500 10%
0 0%
Total Requests Received Total Requested Responded Total Trades Executed Responded : Received Executed : Responded
“We offer the same bid-offer spreads and sizes for Eurex and LCH in Euro Swaps
and see no disadvantage in terms of liquidity for clients using Eurex Clearing”*
*Statement from several trading desks of global dealers
13 1 April 2021Large dealers provide similar liquidity for Eurex Clearing
compared to LCH for Euro Swaps
Central Limit Order Book (CLOB) Disclosed Streaming (DS) Request for Quote (RfQ)
(D2C) dealer to clients
D2D CLOB 5 14 23
Banks1 Banks1 Banks1
Hybrid Order Book
combining
voice/Trad-X
Top 10 quotes per tenor as of 01/07/2020
Requests received, responded and executed up
30%, 26% and 21% respectively from Aug-20
1) Number of banks providing EUR price data for Eurex Clearing
14 1 April 2021OTC IRS Analytics
OTC EUR IRS IRS Notional Outstanding in trillion EUR
ADV in Market Trn EUR Market
bn EUR Share Share
60 18.0% 9.0 16%
16.0% 8.0 14%
50
14.0% 7.0
12%
40 12.0% 6.0
10%
10.0% 5.0
30 8%
8.0% 4.0
6%
20 6.0% 3.0
4%
4.0% 2.0
10
1.0 2%
2.0%
0 0.0% 0.0 0%
Oct
Oct
Oct
Nov
Dec
Nov
Dec
Nov
Dec
Jan
Feb
Jun
Jun
Apr
Aug
Sep
Jan
Feb
Aug
Sep
Jan
Feb
Jun
Jan
Feb
Jul
Apr
Jul
Apr
Aug
Sep
Jul
Mar
May
Mar
May
Mar
May
Feb
Oct
Apr
Aug
Sep
Nov
Dec
Feb
Apr
Aug
Sep
Oct
Nov
Dec
Feb
Apr
Aug
Sep
Oct
Nov
Dec
Feb
Jan
Jun
Jul
Jan
Jun
Jul
Jan
Jun
Jul
Jan
Mar
May
Mar
May
Mar
May
2018 2019 2020 2021 2018 2019 2020 2021
ADV Market Share Notional Outstanding Market Share
* Dealer = global or local liquidity provider
15 ** Client = traditional buy side clientOTC OIS Analytics
OTC EUR OIS OIS Notional Outstanding in trillion EUR
ADV in Market Bn EUR Market
bn EUR Share Share
8 3.5% 800 5.0%
4.5%
7 700
3.0%
4.0%
6 600
2.5% 3.5%
5 500
3.0%
2.0%
4 400 2.5%
1.5%
2.0%
3 300
1.0% 1.5%
2 200
1.0%
1 0.5%
100
0.5%
0 0.0% 0 0.0%
Oct
Oct
Oct
Feb
Apr
Aug
Sep
Nov
Dec
Feb
Apr
Aug
Sep
Nov
Dec
Feb
Apr
Aug
Sep
Nov
Dec
Feb
Jan
Jun
Jan
Jun
Jan
Jun
Jan
Jul
Jul
Jul
May
May
May
Mar
Mar
Mar
Oct
Nov
Dec
Oct
Nov
Dec
Oct
Nov
Dec
Jan
Feb
Apr
Jun
Aug
Sep
Jan
Feb
Apr
Jun
Aug
Sep
Jan
Feb
Apr
Jun
Aug
Sep
Jan
Feb
Jul
Jul
Jul
Mar
May
Mar
May
Mar
May
2018 2019 2020 2021 2018 2019 2020 2021
ADV Market Share
Notional Outstanding Market Share
* Dealer = global or local liquidity provider
16 ** Client = traditional buy side clientActive clients have been steadily increasing
Active Client Count based on Cleared IRS & OIS Volumes
201
194 196
189
184
179
175 175
171
164
160
155
148
141
137
132
127
119
110
104
94
89
82
73
63
47
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
2019 2020 2021
>100mn Cumulated
17OTC FRA Analytics
OTC EUR FRA FRA Notional Outstanding in trillion EUR
Market
ADV in Market Share
Trn EUR
bn EUR Share
250 50% 12 50%
45%
10
200 40% 40%
35%
8
150 30% 30%
6 25%
100 20% 20%
4
15%
50 10% 10%
2
5%
0 0% 0 0%
Feb
Apr
Aug
Sep
Oct
Nov
Dec
Feb
Apr
Aug
Sep
Oct
Nov
Dec
Feb
Apr
Aug
Sep
Oct
Nov
Dec
Feb
Jan
Jun
Jul
Jan
Jun
Jul
Jan
Jun
Jul
Jan
Mar
May
Mar
May
Mar
May
Feb
Apr
Aug
Sep
Oct
Nov
Dec
Feb
Apr
Aug
Sep
Oct
Nov
Dec
Feb
Apr
Aug
Sep
Oct
Nov
Dec
Feb
Jan
Jun
Jul
Jan
Jun
Jul
Jan
Jun
Jul
Jan
Mar
May
Mar
May
Mar
May
2018 2019 2020 2021 2018 2019 2020 2021
ADV Market Share Notional Outstanding Market Share
18Thank you!
Disclaimer
© Eurex 2020
Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG equity options and equity index options pursuant to the terms of the SEC’s July 1, 2013 Class No-Action Relief. A
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