Analysing trends in securitized derivatives

In this article we analyse listings, total number of trades and total trading value of securitized derivatives in 2020, based on data received from 25 exchanges.

As Figure 1 shows, the number of securitized derivatives fluctuated during 2020, registering a dip in March with 2.75 million securitized derivatives listed, down from 3.67 million in February. This was due to the EMEA region where the bulk (98.7%) of securitized derivatives are listed as of November 2020.

In November 2020, the number of listed securitized derivatives was 3.26 million, 12.9% lower compared to November 2019.

Figure 1

In Figure 2 we observe that the total number of trades also fluctuated around 19 million, spanning from 15.4 million trades in January 2020 to 21 million trades in November 2020, and registering a peak in March (21.9 million) and a dip in May (15.2 million). The month-on-month change in 2020 is shown in Table 1 below.

Figure 2

Table 1: Month-on-month change in number of trades per region

More trades took place in the first 11 months of 2020 than during the same period in 2019, amounting to 208.5 million trades globally, with APAC and EMEA regions registering upticks by 25.3% and a significant 92.7% respectively, while Americas declined by 83.4%.

In November 2020 74.8% of trades took place in APAC, with EMEA accounting for 25%.

Figure 3 shows that the value traded followed a similar pattern to the number of trades, with APAC registering the highest 2020 value traded in July at US$ 71.6 billion, while EMEA in March at US$ 25.8 billion. The month-on-month change in 2020 is shown in Table 2 below.

Figure 3

Table 2: Month-on-month change in value traded per region

In the first 11 months of 2020, value traded increased by 12.1% compared with the same period in 2019, amounting to US$ 838.6 billion globally. The uptrend was due to APAC and EMEA regions which grew by 5.5% and 46.4% respectively, while Americas contracted by 77.8%.

In November 2020, APAC registered the lion’s share of value traded (79.3%), while EMEA accounted for 20.7% of the total value traded.

The average trade size in 2020 is shown is Figure 4, expressed in US$. We observe that in the EMEA region the average trade size mostly decreased from month to month, from US$ 5,183/trade in January to US$ 3,172 /trade in November. In APAC the variation was less pronounced, from US$ 4,394/trade in January to US$ 4,050/trade in November.

Relative to November 2019 the average trade size decreased in November 2020 in Americas by 39.3% and in EMEA by 33.9%, while in APAC increased by 8.1%. Globally the average trade size decreased by 2.4% in November 2020 compared to the same month a year before.

Figure 4