News: CCP Notionals Chart | July 2013 | Shocking Graph

18 July 2013 | Bill Hodgson

With the help of Will Woodward at Aite Group the CCP chart is now updated from the February CCP status chart. Highlights in comparison show that:

  • ICE Clear US & EU Open Interest in CDS has declined, could this be an outcome of offsetting positions?
  • CME US IRS Clearing has rocketed from $1.6trn in Feb 2013 to $6.9trn
  • Eurex IRS clearing volumes are now public - they stand at $1bn
  • LCH.Clearnet have increased business on all three business lines, IRS, CDS and FX NDFs
  • SwapClear LLC, the US version of SwapClear now holds $2bn of IRS (up from zero in Feb)
  • JSCC IRS has increased from $2.4trn to $6.7trn
  • SGX IRS increased from $264bn to $281bn

July 19th Correction: JSCC should have been $6.7 rather than $3.5trn, a note on their stats says they report single sided notionals.


In various presentations I have explained the figures above, and warned that tear-ups by TriOptima may reduce notionals, in which case more notional isn't always 'better'. In addition as another illustration of the relative progress of the various CCPs, it's a shocking chart, one I resisted doing for a year, now I've done it, I'm amazed. If I had time I'd do another graph of the total notional by asset class showing the proportion of business cleared, something for another day. Total notional for the OTC market is taken from the ISDA 2012 year end analysis. If any CCPs are reading and want to get these numbers updated or corrected, contact me straight away.

CCP Graph



One interesting point not widely publicised is that CME actually started to close the notional gap on Swapclear. If you look at the client clearing open interest figures on the respective websites CME started to increase faster than Swapclear in about mid May...

Don't say that in public ;-)

Bill, no one knows for sure. The Tier 1 and Tier 2 mandatory clearing has been done, but I am seeing a lot of uncleared trades. The block reporting hides a lot of what is going on. The buy side has not bought in completely.

We have to distinguish open notional (which is encumbered by all the trades done before the mandate date) from new trade volume (which would show a much higher volume of cleraed trades although would still show trades who's product is not clearable or done by a pair of counterparties neither of which are a US person. The CCP open notionals tie out with their websites-ish no? Worth looking at Amir Kwaja's tool for the new trade volume to compare.Block trades underreporting doesn't affec the BIS figures I don't think...

See on Scoop.it The FIX Protocol and multi asset electronic trading.With the help of Will Woodward at http://www.aitegroup.com the CCP chart is now updated from the February CCP status chart. Highlights in comparison show that: ICE Clear US & EU Open Interest iSee on theotcspace.com

Those numbers aren't public, too sensitive per bank

do you happen to know if CME is clearing any dealer to dealer volume?

One point that doesn't stick out but worth mentioning is that CCP IRS client open interest has begun to catch up on Swapclear's (excluding D2D trades which are the vast majority of their open notionsl). Following the figures on both websites in a spreadsheet shows that this happened in around mid-May.

Bill,Any way to gather the total IM on these CCPs? Would be a good guide to risk. I know that margin totals are buried in summary in the annual reports. Wondering if we can get anything more granular?Jon

Cheers for this, Bill, as always. Like Michael, I've my doubts we are yet seeing the whole picture.

been a few months since we last updated the CCP chart, and in that time clearing has become mandated in the US. In most cases the quantity of trades in