A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 2Q 2022.
- Index, Single-name and Swaptions
- Volumes lower in 2Q than 1Q but massively higher than 2Q 2021
- USD CDX volumes up 100% in 2Q 2022 than 2Q 2021
- ICE Clear Credit with 97.2% share of volume in USD CDX
- EUR iTraxx volumes up 133% and EUR CDS up 39%
- ICE Clear Credit volume share is 61% in EUR iTraxx and 37.9% in EUR CDS
- Swaptions volume in both EUR & USD
All the charts and detail from CCPView.
CRD by Currency
- USD CRD 2022Q2 volume of $3.35 trillion, is up 85% from $1.8 trillion in 2021Q2
- EUR CRD 2022Q2 volume of $3.0 trillion, is up 101% from $1.48 trillion in 2021Q2, while in EUR terms the increase is 125%, from €1.2 trillion to €2.8 trillion
- JPY CRD 2022Q2 volume of $7.2 billion, is down from $8.4 billion, though this is exaggerated due to FX rates, as in JPY it is Y910 billion, pretty similar to the Y920 billion in 2021Q2.
So while down from the highs in Q1, massive increases in both USD and EUR from 2021Q2.
USD CDX, CDS and Swaptions
- USD CDX 2022Q2 volume of $3.1 trillion, up from $1.5 trillion in 2021Q2
- USD CDS 2022Q2 volume of $219 billion, similar to $216 billion in 2021Q2
- USD CDXSwaptions 2022Q2 volume of $19.5 billion, up from $4.9 billion
CDX volumes in 2022Q2 were 92.8% of USD volume, single-name 6.5% and CDXSwaptions 0.6%.
USD CRD Index Series
- USD CDX.IG 2022Q2 volume of $2.25 trillion, up 96% from $1.15 trillion in 2021Q2
- USD CDX.HY 2022Q2 volume of $0.76 trillion, up 112% from $0.36 trillion in 2021Q2
- USD CDX.EM 2022Q2 volume of $64.5 billion, up 28% from $50.5 billion in 2021Q2
- USD iTraxx.Asia 2022Q2 volume of $21.7 billion, down from $24 billion
- USD iTraxx.Australia 2022Q2 volume of $8.9 billion, up from $7.8 billion
CDX.IG volumes representing 72% of USD Index volumes and up almost 100% from 2021Q2.
USD Single-name CDS
- Single-name Sovereign volume of $122 billion, up 20% from $101 billion in 2021Q2
- Single-name Corporate volume of $92 billion, down 15% from $109 billion in 2021Q2
- Single-name CP Financials volume of $4.6 billion, similar to $5.2 billion in 2021Q2
USD Single-name volume flat compared to 2021Q2, very different to the 100% increases in CDX.
CDS Sovereign volume of $122 billion, represents 55% of total USD single-name volume in the quarter.
USD Market Share by CCP
- ICE Clear Credit with 97.2% in 2022Q2, same as the 97.2% in 2021Q2
- ICE Clear Europe with 2.4% in 2022Q2 and a high of 3.5% in 2021Q4
- LCH CDSClear with 0.4% in 2022Q2, up from 0.2% in 2021Q2
ICE Clear Credit share in single-name is very slightly lower (96.9%) than in Indices and it is the only CCP with USD CDXSwaption volume.
EUR CRD Index, CDS and Swaptions
- EUR iTraxx 2022Q2 volume of €2.66 trillion, up 133% from €1.14 trillion in 2021Q2
- EUR CDS 2022Q2 volume of €103 billion, up 39% from €74 billion in 2021Q2
- EUR iTraxxSwaptions 2022Q2 volume of €15 billion, up 9% from €14 billion in 2021Q2
EUR iTraxx volumes representing 96% of EUR volume, single-name just under 4%.
- iTraxx Europe 2022Q2 volume of €2.17 trillion, up 127% from €0.96 trillion in 2021Q2
- iTraxx Crossover 2022Q2 volume of €491 billion, up 163% from €187 billion in 2021Q2
- iTaxx MSCI ESG with no volume compared to a high of €25 million in 2021Q3
iTraxx Europe volumes in 2022Q2 representing 81.5% of EUR Index volumes and while down from Q1 (which was the series roll quarter inflating volumes) are massively up from 2021Q2.
Market Share of EUR iTraxx
- ICE Clear Credit with 60.9% in 2022Q2, down from 62.7% in 2021Q2
- ICE Clear Europe with 26.0% in 2022Q2, up from 22.7% in 2021Q2
- LCH CDSClear with 13.1% in 2022Q2, down from 14.6% in 2021Q2
ICE Clear Europe share increasing in the quarter from a year earlier, with others down.
However as recently reported, ICE will stop CDS clearing fom March 2023 in London based ICE Clear Europe and consolidate into Chicago based ICE Clear Credit.
One to watch in subsequent quarters this year to see when volume moves and how much moves to ICE Clear Credit and how much to LCH CDSClear.
EUR Single-name CDS
- Single-name Corporate volume of €100 billion, up 39% from €72 billion in 2021Q2
- Single-name CPFinancial volume of €2.6 billion, up from €2.3 billion in 2021Q2
Market Share of EUR Single-name CDS
- ICE Clear Credit with 37.9% in 2022Q2, up from 35.0% in 2021Q2
- ICE Clear Europe with 36.1% in 2022Q2, up from 35.5% in 2021Q2
- LCH CDSClear with 26.0% in 2022Q2, down from 29.4% in 2021Q2
ICE Clear Europe regaining it’s position from LCH CDSClear, which had moved higher in 2022Q1.
EUR iTraxxSwaptions volume of €15.2 billion in 2022Q2, is from LCH CDSClear with €14.9 billion and for the first time volume at ICE Clear Credit with €265 million.
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 2022Q2 was Y769 billion, down from Y821 billion in 2021Q2
- JPY CDS volume in 2022Q2 was Y140 billion, up from Y101 billion 2021Q2
- Overall volumes in the quarter similar to a year earlier
All the volume is at JSCC.
11 charts to cover CRD.
There is a lot more data in CCPView.
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Volume, ADV, Open Interest, OI Change.
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