Eurex Clearing Partnership Program OTC Interest Rate Derivatives. August 2018

Transcription

1 Eurex Clearing Partnership Program OTC Interest Rate Derivatives August 2018

2 Safety Innovation Scale Clients Eurex Clearing Partnership Program Deutsche Börse Grou 1 Eurex Clearing, a cross asset class CCP delivering safety and efficiency to financial markets ~200 clearing members with 400 clearing licenses in 19 countries Over 500 disclosed clients from 35 countries globally 180 million transactions cleared per month in 2017 across asset classes Over 200 trillion cleared notional per year across asset classes Client centric innovation focusing on capital, margin and collateral efficiencies Cross Margining: Eurex Clearing Prisma Innovative direct buy-side access: ISA Direct Broad eligible collateral spectrum (ECB access) EMIR authorized QCCP with robust default management process and strong lines of defence Over 50 billion initial margin and 4 billion default fund (mutual lines of defence exceeding 12 billion) Permanent access to European Central Bank ensuring access to liquidity in periods of stress

3 Objective Eurex Clearing Partnership Program Deutsche Börse Grou 2 EU based liquidity pool for interest rate derivatives is key to address broader market challenges Choice and competition are beneficial to the market place and drive innovation and efficiency Effectively managing concentration risks is important for clients and financial market stability? Political and regulatory landscape requires optionality for clients to manage uncertainties Accelerate development of EU based alternative for clearing OTC IRS

4 Governance Revenue Sharing Eurex Clearing Partnership Program Deutsche Börse Grou 3 Benefits for the Buy Side: the Partnership Programme acts as a catalyst for price discovery & transparency within the market Program designed to deliver benefits for all Eurex Clearing clients Direct rewards to 10 most active participants $ Price transparency and tight bid-offer spreads for Eurex cleared swaps 1 Attractive Performance- Based Sharing Cross-Margining across listed and OTC optimizes margin requirements Prisma Turning into Perpetual Revenue Share after year 4 Broad eligible collateral spectrum reduces funding costs and liquidity needs Innovative direct buy-side access models reduce capital requirements and improve asset protection ISA Direct 2 + Representation on Eurex Clearing Supervisory Board Participation in FIC Board Advisory Committee

5 Eurex Clearing Partnership Program Deutsche Börse Grou 4 Eurex Clearing Industry platform for an EU-based liquid alternative for interest rate derivatives EU OTC Derivatives Eco-System Govt Agencies Debt Issuance Pension Funds LDI Insurance Companies Dealers & International Banks Action Market-Making Client facilitation Objective Run balanced book to maximise netting efficiencies and to minimise cost Regional Banks Mortgages & Savings Corporates Corporate / Hedging Asset Managers Asset Purchases Hedge Funds [1] Fixed Receiver Fixed Payer Eurex Clearing - world class IT and Risk Management Systems + Eurex Clearing Partnership Program + Balanced European OTC Derivatives Eco-System = Liquid, EU-based alternative for the clearing of OTC interest rate derivatives Note: Some client types can operate on either side of the market 1] Primarily domiciled outside EU, but likely to be attracted by natural liquidity pool within EU and margin efficiencies across OTC and ETD

6 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Eurex Clearing Partnership Program 5 OTC IRD Volume Development Volumes e/o July 2018 Participants Average Daily Volume in bn ~ 5bn ADV bn % ADV July % EUR Market Share July 2018 > 60 Clearing Members Notional Outstanding & Notional Cleared in tn tn 9.0% + 344% Notional Outstanding EUR Market Share e/o July 2018 > 130 Registered Clients Total Notional Outstanding Total Notional Cleared % change ADV compared to ADV FY 2017 % change Notional Outstanding compared to e/o year 2017 Market share source: Clarus FT

7 Eurex Clearing Partnership Program 6 OTC IRD EUR Market Share Update Notional Cleared by CCP Notional Cleared 0.62% 6.15% (Eurex) YTD e/o July 2018 Breakdown of EUR IRS Notional Cleared by CCP 1.36% 1.12% (Eurex) Breakdown of EUR FRA Notional Cleared by CCP 17.80% (Eurex) 93.23% 97.52% 82.20% CME Eurex LCH CME Eurex LCH Eurex LCH 12% 10% 8% 6% 4% 2% 0% Eurex Clearing Market Share Trend Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May June July Source: Clarus FT

8 Eurex Clearing Partnership Program 7 OTC IRD EUR Market Share Update Notional Outstanding by CCP Notional Outstanding 1.79% 8.99% (Eurex) YTD e/o July 2018 Breakdown of EUR IRS Notional Outstanding by CCP 2.85% 4.74% (Eurex) Breakdown of EUR FRA Notional Outstanding by CCP 26.37% (Eurex) 89.22% 73.63% 92.40% CME Eurex LCH CME Eurex LCH Eurex LCH 10% 8% 6% 4% 2% 0% Eurex Clearing Market Share Trend Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Products include IRS, OIS, Basis, ZC, FRA, VNS & Inflation Source: Clarus FT

9 Eurex Clearing Partnership Program Deutsche Börse Grou 8 Cooperation with trading venues facilitates liquidity & competition Increased price quality, transparency and choice for D2D and D2C Central Limit Order Book (CLOB) Transparent and anonymous MIFID 2 compliant MTF/OTF Firm prices for Best Execution Disclosed Streaming Streaming firm & last look prices 16+ Liquidity Providers Direct to End-Clients Request for Quote Most used execution protocol 18+ Liquidity Providers All Eurex products & currencies Provider (D2C) dealer to clients D2D CLOB Hybrid Order Book combining voice/trad-x LCH-Eurex Price Comparison Similar Bid-Offer Spreads* 2yr 5yr 10yr Eurex LCH Eurex LCH Eurex LCH 0,34 0,34 0,28 0,28 0,42 0,42 0,24 0,24 0,20 0,35 0,42 0,30 0,25 0,25 0,24 0,24 0,20 0,35 0,20 0,30 0,25 0,25 0,60 0,60 0,60 0,60 0,60 0,60 0,40 0,40 0,30 0,30 0,70 0,40 0,26 0,26 * Bloomberg [BBTI] 15 May 2018 Decreasing Basis Basis per Tenor 2yr 5yr 10yr 30yr Max End of June Reduction** 80% 85% 65% 42% **Compared to highest value Eurex is working with other market leading trading venues/ platforms with the objective to establish additional cooperations under the partner program framework

10 Eurex Clearing Partnership Program Deutsche Börse Grou 9 Partnership Program gains broad market support with 29 participants around the globe Clients registered for the Partnership Program [1] [1] as at 3 July 2018

11 Eurex Clearing Partnership Program Deutsche Börse Group 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 opportunity for greater risk diversification and resiliency. We view these as important developments to benefit all market participants. Charles Bristow, Co-Head of Global Rates Trading, J.P. Morgan We welcome the broad market support as a design partner for the Eurex Clearing partnership program. This market-led initiative will bring greater choice, transparency and competition to the market place and benefit our global client 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. This program is a constructive contribution to help the market place navigate the political and regulatory challenges facing our industry. Sam Wisnia, Global Head of Rates and FX at Deutsche Bank Clients are looking for a market-led alternative to clear interest rate swaps and we are a committed partner. This way we support the financial industry in times of enduring uncertainty and foster choice and competition in the interest rate swap market together with our clients. Erik Mueller, CEO Eurex Clearing

12 Eurex Clearing Partnership Program Deutsche Börse Group 11 flexibility to pro-actively navigate through times of regulatory uncertainty DZ BANK is highly appreciating the new market solution to support the development of an alternative liquidity pool in the EU. To be part of the EU based liquidity pool gives our customers and us the needed flexibility to deal with the prolonged uncertainty. We welcome this initiative which is a positive step towards greater client choice, flexibility and portfolio diversification when looking to navigate the current regulatory landscape. Nikolaus Giesbert, Divisional Board Member Fixed Income & Currencies at Commerzbank Michael Engbers, Head of Interest Rates Trading at DZ BANK Deutsche Bank has engaged early as a design partner in the program. Our global clients value choice and transparency and the program is designed to deliver this. Dr. Stefan Hoops, Global Co-Head of Institutional Client Group at Deutsche Bank Our clients are interested in an alternative solution to clear OTC interest rate swaps within Europe. Eurex Clearing's ISA Direct offers significant benefits in the domain of counterpart exposure and balance sheet management. We are pleased to extend our clearing 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. Julio Sobremazas, Global Head of Interest Rates at BBVA HSBC is pleased to be part of this initiative offering more 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 HSBC Liquidity is key to successfully build an alternative liquidity pool for OTC interest rate swaps. The partnership program sets the right focus points and incentives for further improving the price transparency and price quality for Eurex cleared swaps. Dr. Thilo Roßberg, Head of Fixed Income Currency & Commodity Markets at LBBW

13 Eurex Clearing Partnership Program 12 Contacts at Eurex Eurex Fixed Income Derivatives Sales & Business Development Global Head Fixed Income Sales Head of FI Sales Americas Head of FI Sales Asia (Hong Kong) Head of FI Sales Europe Philip Simons T +44 (0) M +44 (0) philip.simons@deutsche-boerse.com Tim Gits T +1 (312) M +1 (312) tim.gits@deutsche-boerse.com Markus Georgi T: M: markus.georgi@deutsche-boerse.com Fiona Tramontana T +44 (0) M +44 (0) fiona.tramontana@deutsche-boerse.com Deputy Head of Global FI Sales Head of Sales Singapore Partnership Program Sell Side Sales Head of Buy Side Sales Byron Baldwin T +44 (0) M +44 (0) byron.baldwin@deutsche-boerse.com Mezhgan Qabool T M mezhgan.qabool@deutsche-boerse.com Adam Husted T +44 (0) M +44 (0) adam.husted@deutsche-boerse.com Ricky Maloney T +44 (0) M +44 (0) ricky.maloney@deutsche-boerse.com Algo, Prop & HF Germany + Austria Belgium, France, Lux + Iberia Germany Buy Side Catherine Alexander T +44 (0) M +44 (0) catherine.alexander@deutsche-boerse.com Andreas Stadelmaier T +49 (0) M +49 (0) andreas.stadelmaier@deutsche-boerse.com David Carretero T +49 (0) M +49 (0) david.carretero@deutsche-boerse.com Lothar Kloster T +49 (0) M +49 (0) lothar.kloster@deutsche-boerse.com Italy, Mediterranean, Switzerland Nordics Netherlands Buy Side Americas Francesca Dell Era T +41 (0) M +41 (0) francesca.dellera@deutsche-boerse.com Eva Barber T +44 (0) M +44 (0) eva.barber@deutsche-boerse.com Eva Haupt T +44 (0) M +44 (0) eva.haupt@deutsche-boerse.com Christian Dopp T +1 (312) M +1 (312) chris.dopp@deutsche-boerse.com Buy Side Americas Americas Head of Business Development & SI Clearing Business Development Matthew Scharpf T +1 (312) M +1 (312) matthew.scharpf@deutsche-boerse.com Ebru Ciaravino T +1 (212) M +1 (917) ebru.ciaravino@deutsche-boerse.com Danny Chart T +44 (0) M +44 (0) danny.chart@deutsche-boerse.com OTC Business Development Sales Initiatives FI Trading Sales Associate Sales Support Michael Boroughs T +44 (0) M+44 (0) michael.boroughs@deutsche-boerse.com Vassily Pascalis T +44 (0) M +44 (0) vassily.pascalis@deutsche-boerse.com Nicholas Smith T +44 (0) M +44 (0) nicholas.smith@deutsche-boerse.com Michael Hildebrand T +44 (0) M +44 (0) michael.hildebrand@deutsche-boerse.com Charmaine Newman T +44 (0) M +44 (0) charmaine.newman@deutsche-boerse.com

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