Growth through the year for Eurex in interest rates swaps were among the trends in the world’s derivatives clearing market through 2022, or at least until end-September, according to initial-margin data disclosures collected by oversight body CPMI-IOSCO and summarised by Clarus Financial Technology. Several CCPs reported record highs on various metrics.
Writing frequently for his company’s own blog, Clarus CEO Amir Khwaja keeps regular track of global derivatives clearing volumes. While this season is one for summing up the whole year on many accounts, the complete overview of the clearing market builds on disclosures that come with a delay, so in this context we are looking at numbers as per 30 September. And most numbers are up. You find the full blog post here.
The big chunk: ETDs
By order of their initial-margin totals, the derivative categories looked at were …
– exchange-traded derivatives (“ETD”), with total initial margin at USD 547 billion, which is up 4 percent quarter-on-quarter, 16 percent year on year,
– interest rate swaps (“IRS”), with total initial margin at USD 281 billion, a record notation just above the previous quarter, and 12 percent up over the year, and
– credit-default swaps (“CDS”), with initial margin totalling USD 74 billion – down 3 percent quarter-on-quarter but up 23 percent year on year.
The price of an issued derivative contract can be a poor measure of its potential value or risk – so to compare clearing volumes, it is common to look instead at the value of collateral assets required from the trading parties, by the clearinghouses: the “initial margin”. While the way to calculate it could differ, it will always take some measures of probable outcomes into account, based on volumes and volatilities of the assets that underlie the derivative.