Eurex Clearing Partnership Program - OTC Interest Rate Derivatives
←
→
Page content transcription
If your browser does not render page correctly, please read the page content below
Eurex Clearing Partnership Program OTC Interest Rate Derivatives May 2020
Eurex Clearing Partnership Program 2
“Thanks to you - our most supportive
partners in the Partnership Program”Eurex Clearing Partnership Program 3
OTC IRD Volumes Continue to Grow
Volumes as of 30th April 2020 Participants Development
Average Daily Volume in € bn Price
1
240
+5%
+203
transparency &
competitive
quotes
✔
142 117 145
€93.7bn ADV 87
✔
124 119 126 121 Establish
82
101
114 116
94
57 For April 2020
Clearing 2 significant FRA
80 75 74 76
71 67 64 64 69 57 Members Market Share
52 EUR
38 35 38 52
Market Share
7.7% For April
2020
✔
Jul-18
Jul-19
Jan-18
Jun-18
Jan-19
Jun-19
Jan-20
Aug-18
Sep-18
Aug-19
Sep-19
Nov-19
Dec-19
Feb-18
Mar-18
Apr-18
Oct-19
Feb-20
Mar-20
May-18
Oct 18
Nov 18
Dec 18
Feb-19
Mar-19
Apr-19
May-19
Apr-20
Onboard Buy-
3 Side clients
FRA OIS IRS ADV due to Compression
Notional Outstanding2 in € tn
17.0
18.1
17.6
18.0
€18.0tn
Notional
+26%
+2003 4 CCP switch, Live
Run April 2019 ✔
>330
15.1
14.1
13.2 Outstanding
12.7 12.7
12.5 12.4 12.6 12.2
For April
12.0 2020
11.0
10.4 10.2
8.3
9.0 8.99.7 Disclosed
7.8
Clients4 Grow open interest On
5.2
6.5
7.1
EUR
Market Share
5 in IRS/OIS Track
2.7
3.3
4.7
17.2% For April 2020
Jul-18
Jul-19
Jun-18
Jun-19
Apr-18
May-18
Nov-18
Apr-19
May-19
Nov-19
Aug-18
Dec-18
Aug-19
Dec-19
Apr-20
Jan-18
Feb-18
Mar-18
Sep-18
Jan-19
Feb-19
Mar-19
Sep-19
Jan-20
Feb-20
Mar-20
Oct-18
Oct-19
Build Non-EUR
% YoY: ADV YTD April ‘20 vs April ‘19
6 Liquidity Started
FRA IRS OIS % YoY: Notional Outstanding April ’20 vs April ‘19
Market share source: Clarus FT
1 Due to a tri-party multilateral portfolio compression in December, new trades have been opened at Eurex Clearing AG, resulting in total of 18 billion EUR ADV
2 Reduction of notional outstanding at end-December 2018 mainly driven by tri-party multilateral portfolio compression
3 Reflects newly admitted clients since 1 Jan 19, as of 20.03.2020
4 Multiple Clearing relations of the same entity are not counted4
Eurex’ Partnership Programme gains broad market support with
40 participants around the globe
Clients registered for the Partnership Programme[1]
35 OTC IRD
Participants
31 Repo
Participants
Approved Platforms at Eurex Clearing for OTC IRS Approved Platforms at Eurex Clearing for Repo
[1] OTC IRD and Repo Clients, as of 07 May 2020Eurex Clearing Partnership Program 5
All Mandatory OTC Interest Rate Derivatives Covered
Type Currencies Maturity (years)[1] Supported types Stub type
EUR GBP USD
≤ 50 ▪ Plain vanilla (fixed/float)
▪ Compounding float legs
short first, short last
CHF JPY DKK NOK SEK ▪ Zero coupon fixed or float
long first, long last
IRS ≤ 30 legs
▪ Variable notional, coupon rate
PLN and/or index spread
short long first predetermined
≤ 10 ▪ Forward starting
first fixing
EUR GBP USD ▪ Float/Float
≤ 50* ▪ Variable notional and/or Index spread
Basis ▪ Forward starting
CHF JPY ▪ *EURIBOR vs EURIBOR & EURIBOR vs ESTR up to 50yrs
≤ 30 & EURIBBOR vs EONIA is up to 30yrs
EUR GBP USD CHF JPY ▪ Plain vanilla (fixed/float)
OIS ≤ 50* ▪ Forward starting
short first, short last
long first, long last
▪ *ESTR up to 50yrs & EONIA up to 30yrs
EUR
≤ 30
▪ Plain vanilla (fixed/float)
ZC ▪ HICPxT (Euro-zone), FRCPIx
Inflation GBP (France), UK RPI (UK)
≤ 50
EUR GBP USD CHF JPY SEK
≤3
▪ Plain vanilla (fixed/float) Settlement:
FRA ▪ Forward starting
T+1 currencies =
DKK NOK PLN EUR, USD, GBP, CHF, PLN
≤2 T+2 currencies =
JPY, DKK, SEK, NOK
[1] All dates + 10 business daysEurex Clearing Partnership Program 6
OTC IRD Market Share Continues to Grow
EUR Market Share – by CCP and by product
Notional Outstanding
• Increase in IRS market share from 3.7% 30th April
2020
IRS
to 12.4% from January 2018 to 30th April IRD 1.6% 12.4%
(Eurex)
2020. 17.2%
(Eurex)
1.0%
•
86.0%
Increase in FRA market share from 3.2%
to 40.8% from January 2018 to 30th April
FRA
2020. 81.9%
40.8%
(Eurex)
• Increase in IRD market share from 2.6% 59.2%
to 17.2% from January 2018 to 30th April
2020. CME Eurex LCH
Products include IRS, OIS, Basis, ZC, FRA, VNS & Inflation
Notional Outstanding IRS Market Share Notional Outstanding FRA Market Share
14.0%
12.0% 50.0%
45.0%
10.0% 40.0%
35.0%
8.0% 30.0%
6.0% 25.0%
20.0%
4.0% 15.0%
10.0%
2.0%
5.0%
0.0% 0.0%
Apr-18
Apr-19
Apr-20
Jan-18
Jun-18
Oct-18
Jan-19
Jun-19
Oct-19
Jan-20
Jul-18
Jul-19
Feb-18
Mar-18
Feb-19
Mar-19
Feb-20
Mar-20
Aug-18
Sep-18
Nov-18
Dec-18
Aug-19
Sep-19
Nov-19
Dec-19
May-18
May-19
Apr-18
Apr-19
Apr-20
Oct-18
Oct-19
Jan-18
Jun-18
Jan-19
Jun-19
Jan-20
Mar-18
Jul-18
Mar-19
Jul-19
Mar-20
Feb-18
Aug-18
Sep-18
Nov-18
Dec-18
Feb-19
Aug-19
Sep-19
Nov-19
Dec-19
Feb-20
May-18
May-19
Notional Outstanding Notional Outstanding
Source: Clarus FTLarge dealers provide similar liquidity for Eurex Clearing compared to
LCH for Euro Swaps
Eurex-LCH Price Comparison 5000
RFQ MoM Performance 100%
2yr 5yr 10yr 30yr 4500 90%
EUREX LCH EUREX LCH EUREX LCH EUREX LCH 4000 80%
0.6 0.6 0.5 0.3 0.5 0.4 0.8 1.7 3500 70%
3000 60%
0.7 0.7 0.6 0.6 0.6 0.9 0.8 0.8
2500 50%
0.7 0.5 0.6 0.6 0.6 0.6 0.8 0.8
2000 40%
0.7 0.4 0.6 0.5 0.6 0.6 1 1
1500 30%
0.8 0.8 0.7 0.9 0.6 0.4 1 1
1000 20%
0.8 0.7 0.7 0.7 0.7 0.7 1.1 1.1
500 10%
0.9 0.9 0.8 0.8 0.8 0.8 1.1 0.8
0 0%
1 1 0.8 0.8 0.8 0.8 1.4 1.4
Feb-18
Mar-18
Feb-19
Mar-19
Feb-20
Mar-20
May-18
Jun-18
Jan-19
May-19
Jun-19
Jan-20
Apr-18
Oct-18
Oct-19
Apr-20
Jul-18
Nov-18
Dec-18
Apr-19
Aug-18
Sep-18
Jul-19
Nov-19
Dec-19
Aug-19
Sep-19
1 1 1 1 1 1 1.5 1.5
1.3 1.3 1 1 1 1 1.7 1.7
Total Requests Received Total Requested Responded
Total Trades Executed Responded : Received
Top 10 quotes per tenor as of 06/05/2020 Executed : Responded
Requests received, responded and
executed up 85%, 64% and 63%
respectively from Apr-19
Central Limit Order Book (CLOB) Disclosed Streaming (DS) Request for Quote (RfQ)
(D2C) dealer to clients
D2D CLOB 5 13 23
Banks1 Banks1 Banks1
Hybrid Order Book
combining voice/Trad-X
“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
7
1 Number of banks providing EUR price data for Eurex Clearing8
LCH-Eurex Basis Development
LCH-Eurex Basis Development Eurex-LCH Basis
PBI Client DV01 balance vs EUREX-LCH Basis Basi
Eurex-LCH Basis in bps s
Date 2yr 5yr 10yr 20yr 30yr 70% 4.00
5
As of 5th May +0.30 +0.85 +1.45 +1.60 +1.90
65% 3.00
4
60% 2.00
3 55% 1.00
50% 0.00
50% = full balance of payer and receiver flow
2
45% -1.00
1
Portfolio balance indicator (PBI) Basis
0
LCH-Eurex Basis by Month
Date 2yr 5yr 10yr 20yr 30yr
End of September -0.10 -0.25 -0.55 -0.60 -0.65
2019
End of October -0.05 -0.05 -0.15 -0.15 -0.20
-1
End of November -0.05 -0.15 -0.30 -0.30 -0.35
End of December -0.05 -0.20 -0.35 -0.35 -0.40
End of January +0.05 +0.10 +0.20 +0.25 +0.45
-2
Aug 18
Sep 18
Aug 19
Sep 19
Jan 18
Jun 18
Jan 19
Jun 19
Jan 20
May 18
May 19
May 20
Mar 18
Mar 19
Mar 20
Feb 18
Jul 18
Feb 19
Jul 19
Feb 20
Apr 18
Oct 18
Nov 18
Dec 18
Apr 19
Oct 19
Nov 19
Dec 19
Apr 20
2020
End of February +0.05 +0.05 +0.10 +0.10 +0.20
End of March +0.25 +0.40 +0.70 +0.95 +1.20
2 Year 5 Year 10 Year 20 Year 30 Year
End of April +0.25 +0.95 +1.45 +1.65 +1.90
Source: BloombergEurex Clearing Partnership Program 9
Extension of Successful Partnership Program to Repo and
OTC FX
Repo OTC FX
“J.P. Morgan has been an
▪ Cross-currency Swaps early supporter and design
▪ Special Repo ▪ FX Spot partner for the OTC interest
Scope
▪ GC Repo ▪ FX Forward rate derivatives clearing
▪ Dealer-to-client repo incl. GC ▪ FX Swaps segment of the Partnership
Pooling Program. We welcome the
➢ For EUR, USD and GBP planned extension of this
successful program which is
aimed at broadening market
participants’ clearing options
Revenue
▪ Revenue sharing with 10 most active participants
sharing
for the new asset classes and
▪ Attractive monthly performance-based scheme increasing resiliency.”
▪ Turning into perpetual revenue share after year 4 Charles Bristow,
Co-Head of Global
Rates Trading, J.P. Morgan
Governance
▪ Repo Board Advisory Committee ▪ FIC Board Advisory Committee 1
“The extension of the
Partnership Program further
▪ Eurex Clearing Supervisory Board 2
enhances choice and
innovation in the marketplace.
Market participants now can
proposition
tap the full benefits of Eurex
▪ Integrated service offering with
Clearing’s integrated value
Value
Special, GC and GC Pooling ▪ Delivering CCP clearing benefits to
proposition across fixed
delivering superior capital and the uncleared OTC FX markets
income derivatives, Repo and
collateral efficiencies
FX markets.”
Erik Mueller, CEO
Eurex Clearing
[1] Cumulative performance across growth products OTC IRD and OTC FX
[2] Cumulative performance across all growth products; currently OTC IRD, OTC FX, Repo Trading and Repo ClearingEurex Clearing Partnership Program 10
Market participants value greater choice, competition as well
as…
“This initiative will bring greater choice and
transparency to the market as well providing the “We welcome the broad market support as a design partner for
opportunity for greater risk diversification and the Eurex Clearing partnership program. This market-led
resiliency. We view these as important initiative will bring greater choice, transparency and
developments to benefit all market participants.” competition to the market place and benefit our global client
Charles Bristow, Co-Head of Global Rates Trading, J.P. Morgan base.”
Jerome Kemp, Global Head of Futures, Clearing & Collateral at Citigroup
“Eurex Clearing’s offer to accelerate the development of a
liquid, EU based alternative for the clearing of interest
rate swaps gains broad market support. Around 20
market participants from the US, the United Kingdom and
Continental Europe already decided to participate in
Eurex Clearing’s partnership program.”
“Liquidity is key to successfully build an alternative liquidity “Clients are looking for a market-led alternative to
pool for OTC interest rate swaps. The partnership program clear interest rate swaps – and we are a committed
sets the right focus points and incentives for further partner. This way we support the financial industry
improving the price transparency and price quality for in times of enduring uncertainty and foster choice
Eurex cleared swaps.” and competition in the interest rate swap market
together with our clients.”
Dr. Thilo Roßberg, Head of Fixed Income Currency &
Commodity Markets at LBBW Erik Mueller, CEO Eurex ClearingEurex Clearing Partnership Program 11
…flexibility to pro-actively navigate through times of
regulatory uncertainty
“We welcome this initiative which is a positive step towards
“DZ BANK is highly appreciating the new market solution greater client choice, flexibility and portfolio diversification
to support the development of an alternative liquidity pool when looking to navigate the current regulatory landscape.”
in the EU. To be part of the EU based liquidity pool gives Nikolaus Giesbert, Divisional Board Member Fixed Income & Currencies at
Commerzbank
our customers and us the needed flexibility to deal with
the prolonged uncertainty.“
Michael Engbers, Head of Interest Rates Trading at DZ BANK
“Our clients are interested in an alternative solution to
clear OTC interest rate swaps within Europe. Eurex
“Deutsche Bank has engaged early as a design partner in the Clearing's ISA Direct offers significant benefits in the
program. Our global clients value choice and transparency and domain of counterpart exposure and balance sheet
the program is designed to deliver this.” management. We are pleased to extend our clearing
Dr. Stefan Hoops, Global Co-Head of Institutional Client Group at Deutsche Bank
services on Eurex and welcome the partnership proposal
as a positive development for the market.”
Alexander Jacobs, Head of OTC Derivatives at ABN AMRO Clearing
“We are very pleased to be involved in this initiative in order to
support our customers in their business.” “HSBC is pleased to be part of this initiative offering more
Julio Sobremazas, Global Head of Interest Rates at BBVA transparency and choice to our clients and market
participants. We see it as an important step for European
derivative markets.“
Christophe Rivoire, Global Head of Rates at HSBCEurex Clearing Partnership Program 12
Eurex FIFF Q1 2020 Timeline of Events
Eurex Market Events
Cross Cross
Cross CCP IMR CCP IMR
CCP IMR Run Run
Run Capitalab* Capitalab*
Reset Capitalab* Reset 10th, 24th Reset 9th, 23rd
Runs 20th Jan Runs Feb Runs Mar
7th, 14th, 4th, 11th, 3rd, 10th,
21st & 28th 18th & 25th 17th, 24th &
Jan Feb 31st Mar
Jan Feb Mar
DBG Lunar
2020 New Year 2020 SIFMA
Derivatives 2020 ESG
breakfast
Luncheon Central FIA FOW
Forum Seminar
Asia Bank & California Amsterdam
Opening Derivatives New York
15th Jan Sovereign 5th -7th Feb 5th March
Reception Forum 11th March
Sponsored Conferences
Wealth Fund
Frankfurt BOCA
& Events Participating
Forum 2020 Frankfurt
GFF Summit 26th Feb 27th Feb Miami
Luxembourg
Luxembourg Nordic Post 10th – 12th
Derivatives 28th Jan
Eurex Events,
Breakfast 28th – 30th Trade 2020 March EQD
Briefing Jan Helsinki Australia
Copenhagen 12th Feb Melbourne
21st Jan 24th – 25th
March
*Submission date as stated above. Execution date, day after.Eurex Clearing Partnership Program 13 Contacts at Eurex
Disclaimer
© Deutsche Börse AG 2019. All rights reserved.
Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered
under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. Deutsche Boerse Asia
Holding Pte. Ltd., Eurex Clearing Asia Pte. Ltd. and Eurex Exchange Asia Pte. Ltd are corporate entities and are registered under Singapore law. Eurex Frankfurt AG (Eurex) is the administrating and operating
institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the “Eurex Exchanges”.
All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below) are owned by DBAG and its
affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care has been taken in the preparation of this publication to
provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Bonds, Eurex Repo as well as the Eurex Exchanges and their respective
servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of merchantability
or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party’s
use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication.
This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any
investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained in this
publication are for illustrative purposes only.
No obligation to update information: Deutsche Börse AG does not assume any obligation and does not intend to update any information contained herein.
No investment advice: This presentation is for information only and shall not constitute investment advice. It is not intended for solicitation purposes but only for use as general information.
All descriptions, examples and calculations contained in this presentation are for illustrative purposes only.You can also read
