01.14.2022

OTC Clearing at Eurex Grew Over 20%

OTC Clearing at Eurex continued its strong showing in 2021 with overall notional outstanding volumes growing by over 20 percent – from 16,560 billion EUR to 20,077 billion EUR – over the full year. Over the same period, average daily cleared volumes grew by 9 percent from 122 billion EUR to 133 billion EUR.

Looking at specific products, the Overnight Index Swaps business grew by 169 percent in terms of notional outstanding – from 721 billion EUR to 1,941 billion EUR – and by 74 percent in terms of average daily cleared volumes – from 5 billion EUR to 8 billion EUR. Notional outstanding and average daily cleared volumes for Interest Rate Swaps grew by 36 percent and 20 percent year-on-year, respectively.

In terms of traded contracts, European interest rate derivatives were the standout performer, growing by 14 percent from 528.5 million in 2020 to 603.2 million in 2021. European equity derivatives contracts traded also grew – by 11 percent – from 273.8 million to 304.8 million year-on-year. European equity index derivatives showed negative growth of 25 percent, falling from 1,050.7 million traded contracts to 793.1 million.

Overall volumes across all products fell 8 percent, from 1,861.4 million traded contracts in 2020 to 1,703.3 million in 2021. 2020 was, of course, an exceptional year in terms of the unprecedented volatility seen at the start of the pandemic.

At Eurex Repo, the leading electronic marketplace for secured funding and financing, average monthly term-adjusted volumes in GC Pooling dropped by 32 percent year-on-year from 71.0 billion EUR to 48.1 billion. In the Repo Market, there was modest growth of 2 percent compared to the previous year, from 88.4 billion EUR to 90.4 billion EUR.

Business overview – full year 2021

2021 2020 Change
Financial derivatives: Traded contracts Eurex Exchange
European equity index derivatives (million) 793.1 1,050.7 -25%
European interest rate derivatives (million) 603.2 528.5 +14%
European equity derivatives (million) 304.8 273.8 +11%
Total (million)1 1,703.3 1,861.4 -8%
OTC Clearing2
Notional outstanding volumes (billion EUR) 20,077 16,580 +21%
  • Of which Interest Rate Swaps (billion EUR)
11,013 8,116 +36%
  • Of which Overnight Index Swaps (billion EUR)
1,941 721 +169%
Average daily cleared volumes (billion EUR) 133 122 +9%
  • Of which Interest Rate Swaps (billion EUR)
23 19 +20%
  • Of which Overnight Index Swaps (billion EUR)
8 5 +74%
Repo: Average monthly term-adjusted volume on Eurex Repo
GC Pooling3 (billion EUR) 48.1 71.0 -32%
Repo Market (billion EUR) 90.4 88.4 +2%

Business overview – December 2021

December 2021 December 2020 Change
Financial derivatives: Traded contracts Eurex Exchange
European equity index derivatives (million) 74.8 78.0 -4%
European interest rate derivatives (million) 46.8 46.6
European equity derivatives (million) 24.4 24.1 +1%
Total (million)1 146.2 148.9 -2%
OTC Clearing2
Notional outstanding volumes (billion EUR) 20,077 16,580 +21%
  • Of which Interest Rate Swaps (billion EUR)
11,013 8,116 +36%
  • Of which Overnight Index Swaps (billion EUR)
1,941 721 +169%
Average daily cleared volumes (billion EUR) 78 76 +3%
  • Of which Interest Rate Swaps (billion EUR)
38 17 +130%
  • Of which Overnight Index Swaps (billion EUR)
23 6 +253%
Compression volumes 74 34 +118%
Repo: Average monthly term-adjusted volume on Eurex Repo
GC Pooling3 (billion EUR) 26.7 36.4 -27%
Repo Market (billion EUR) 79.9 55.7 +43%

 

1 The total number of contracts traded includes other asset classes such as commodities.

2 Notional cleared volumes including post trading events such as compression.

3 Includes all currencies.

Source: Eurex

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