A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 1Q 2022.
- Index, Single-name and Swaptions
- Volumes significantly higher in 1Q22 than a year earlier
- USD CDX up 50% and CDS up 37%
- EUR iTraxx up 80% and CDS 27%
- ICE Clear Credit 97.5% in USD CDX
- ICE Clear Credit 67% in EUR iTraxx
- LCH CDSClear gaining in EUR CDS, now with 34%
- Swaptions in EUR & USD
All the charts and detail from CCPView.
CRD by Currency
- USD CRD 2022Q1 volume of $4.5 trillion, is up 50% from $3 trillion in 2021Q1
- EUR CRD 2022Q1 volume of $3.8 trillion, is up 65% from $2.3 trillion in 2021Q1
- JPY CRD 2022Q1 volume of $2.5 billion, is marginally up from $2.3 billion
USD CDX, CDS and Swaptions
- USD CDX 2022Q1 volume of $4.15 trillion, up from $2.76 trillion in 2021Q1
- USD CDS 2022Q1 volume of $324 billion, up from $265 billion in 2021Q1
- USD CDXSwaptions 2022Q1 volume of $23.3 billion, up from $5.4 billion
CDX volumes in 2022Q1 were 92.3% of USD volume, single-name 7.2% and CDXSwaptions 0.5%, making CDX higher than the 91% average over since Jan 2021.
USD CRD Index Series
- USD CDX.IG 2022Q1 volume of $3.1 trillion, up 52% from $2.05 trillion in 2021Q1
- USD CDX.HY 2022Q1 volume of $0.88 trillion, up 54% from $0.57 trillion in 2021Q1
- USD CDX.EM 2022Q1 volume of $97.6 billion, down from $100.3 billion in 2021Q1
- USD iTraxx.Asia 2022Q1 volume of $40.2 billion, up from $24 billion
- USD iTraxx.Australia 202Q1 volume of $14.7 billion, up from $13.7 billion
CDX.IG volumes representing 75% of USD Index volumes.
USD Single-name CDS
- Single-name Soverign volume of $186 billion, up 37% from $136 billion in 2021Q1
- Single-name Corporate volume of $129 billion, up 7% from $121 billion in 2021Q1
- Single-name CP Financials volume of $8.3 billion, similar to $7.6 billion in 2021Q1
CDS Soverign volume of $186 billion, representing 57% of total USD single-name volume.
USD Market Share by CCP
- ICE Clear Credit with 97.5% in 2022Q1, up from 96.9% in 2021Q1
- ICE Clear Europe with 2.1% in 2022Q1 and a high of 3.5% in 2021Q4
- LCH CDSClear with 0.4% in 2022Q1, up from 0.2% in 2021Q1
ICE Clear Credit share in single-name slightly lower than in Indices and it is the only CCP with USD CDXSwaption volume.
EUR CRD Index, CDS and Swaptions
- EUR iTraxx 2022Q1 volume of €3.2 trillion, up 80% from €1.8 trillion in 2021Q1
- EUR CDS 2022Q1 volume of €134 billion, up 27% from €105 billion in 2021Q1
- EUR iTraxxSwaptions 2022Q1 volume of €31 billion, up 72% from €18 billion in 2021Q1
EUR iTraxx volumes representing 95% of EUR volume, single-name just under 4% and iTraxxSwaptions 1%.
- iTraxx Europe 2022Q1 volume of €2.65 trillion, up 81% from €1.47 trillion in 2021Q1
- iTraxx Crossover 2022Q1 volume of €566 billion, up 75% from €323 billion in 2021Q1
- iTaxx MSCI ESG 2022Q1 volume of €9 million in 2021Q4 but nothing in 2022Q1
iTraxx Europe volumes in 2022Q1 representing 82% of EUR Index volumes.
Market Share of EUR iTraxx
- ICE Clear Credit with 67.4% in 2022Q1, up from 58.4% in 2021Q1
- ICE Clear Europe with 21.4% in 2022Q1, down from 26.8% in 2021Q1
- LCH CDSClear with 11.2% in 2022Q1, down from 14.8% in 2021Q1
ICE Clear Credit share increasing over the period, as a result of Brexit and absence of a Derivatives Trading Obligation (DTO) equivalence leading to some volume moving to the US trading-wise and clearing-wise.
EUR Single-name CDS
- Single-name Corporate volume of €129 billion, up 26% from €102 billion in 2021Q1
- Single-name CPFinancial volume of €4.8 billion, up from €2.8 billion in 2021Q1
Market Share of EUR Single-name CDS
- ICE Clear Credit with 37.4% in 2022Q1, down from 47.8% in 2021Q1
- LCH CDSClear with 34% in 2022Q1, up from 24.1% in 2021Q1
- ICE Clear Europe with 28.6% in 2022Q1, up from 28.1% in 2021Q1
LCH CDSClear increasing it’s share massively in EUR single-name CDS, now above ICE Clear Europe and close to ICE Clear Credit.
EUR iTraxxSwaptions volume of €31 billion in 2022Q1 is all at LCH CDSClear and up from €18 billion in 2021Q1.
JPY CDX and CDS
And for our final chart, JPY CDX and CDS volumes.
- A lumpy chart to say the least
- JPY CDX volume in 2022Q1 was Y167 billion, up from Y127 billion in 2021Q1
- 2021Q2 and 2021Q4 much higher at Y821 billion and Y670 billion respectively
- JPY CDS volume in 2022Q1 was Y115 billion, same as 2021Q1
All the volume is at JSCC.
11 charts to cover CRD.
There is a lot more data in CCPView.
Daily, weekly, monthly, quarterly or annual.
Volume, ADV, Open Interest, OI Change.
More granular data at name level.
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