A review of Credit Derivatives (CRD) and FX Derivatives (FXD) volumes and market share at Clearing Houses (CCPs) in 3Q 2023.
- CRD – Index, Single-name and Swaptions
- In USD, CDX and CDS volumes were down
- In EUR, iTraxx volumes were down, while CDS were up
- In EUR iTraxx, LCH CDSClear share has doubled from a year earlier to 26%
- In EUR CDS, share is now ICE Clear Credit 55% and LCH CSDClear 40%
- FXD – NDF, Options, Forwards and Swaps
- NDF volumes up 10% to $3.3 trillion from a year earlier
- FX Options volumes doubling with $363 billion, all at LCH ForexClear
- FX Options outsatnding notional increasing quarter on quarter
All the charts and detail from CCPView.
Credit Derivatives Volume
USD CDX, CDS and Swaptions
- USD CDX 2023Q3 volume of $3 trillion, down from $3.4 trillion in 2022Q3
- USD CDS 2023Q3 volume of $305 billion, down from $323 billion in 2022Q3
- USD CDXSwaptions 2023Q3 volume of $42 billion, up from $39 billion in 2022Q3
Overall volumes in 2023Q3 at $3.35 trillion as compared to $3.75 trillion in 2022Q3.
Market Share of USD CDX
- ICE Clear Credit with 95.8% in 2023Q3, down from 97% in 2022Q3
- LCH CDSClear with 3% in 2023Q3, up from 0.4% in 2022Q3
- ICE Clear Europe with 1.3% in 2023Q3, down from 2.6% in 2022Q3
The upcoming ICE Clear Europe shutdown later in 2023, resulting in it’s significantly reduced share and a gain for LCH CDSClear. A still hefty $35 billion of outstanding notional remaining at ICE Clear Europe to transfer out.
Market Share of USD CDS (single-name)
- ICE Clear Credit with 99.3% in 2023Q3, up from 98.4% in 2022Q3
- LCH CDSClear with 0.6% in 2023Q3, up from 0% in 2022Q3
- ICE Clear Europe with 0.1% in 2023Q3, down from 1.5% in 2022Q3
The spike in shares for ICE Clear Europe and LCH CDSClear must have been down to transfers out in preparation for the upcoming ICE Clear Europe shutdown. While ICE Clear Europe is down to $282 million in the latest quarter, there is still $5.3 billion of outstanding notional to transfer out.
USD CDXSwaptions volume of $42.2 billion, is all at ICE Clear Credit.
EUR CRD Index, CDS and Swaptions
- EUR iTraxx 2023Q3 volume of €2 trillion, is down from €2.6 trillion in 2022Q3
- EUR CDS 2023Q3 volume of €175 billion, is up from €155 billion in 2022Q3
- EUR iTraxxSwaptions 2023Q3 volume of €9.5 billion, down from €17.7 billion in 2022Q3
Overall volumes in 2023Q3 at €2.2 trillion as compared to €2.8 trillion in 2022Q3.
Market Share of EUR iTraxx
- ICE Clear Credit with 68.2% in 2023Q3, up from 64.6% in 2022Q3
- LCH CDSClear with 26.1% in 2023Q3, up from 13.6% in 2022Q3
- ICE Clear Europe with 5.6% in 2023Q3, down from 21.8% in 2022Q3
Taking 2023Q3 as our base, we can say that ICE Clear Europe volume share is down 16.2%, of which 12.5% has gone to LCH CDSClear and 3.6% to ICE Clear Credit.
With ICE Clear Europe volume of €114 billion in the quarter and €82 billion of outstanding notional at quarter end, there is still some way to go, before we reach a steady state for market share.
Market Share of EUR CDS (single-name)
- ICE Clear Credit with 55.4% in 2023Q3,up from 45.8% in 2022Q3
- LCH CDS Clear with 39.9% in 2023Q3, up from 32% in 2022Q3
- ICE Clear Europe with 4.7% in 2023Q3, down from 22.2% in 2022Q3
Taking 2023Q3 as our base, we can say that ICE Clear Europe volume share is down 17.5%, of which 7.9% has gone to LCH CDSClear and 9.6% to ICE Clear Credit, a more equal split than we saw above in ITraxx.
With ICE Clear Europe CDS volume of just €8.3 billion in the quarter and €15.4 billion of outstanding notional at quarter end, we are close to reaching a steady state for market share.
EUR iTraxxSwaptions volume of €9.5 billion in 2023Q3, is from LCH CDSClear with €7.7 billion and ICE Clear Credit with €1.8 billion, while the latest outstanding notional is €600 million at LCH CDSClear and €859 million at ICE Clear Credit.
JPY CDX and CDS
I would usually cover JPY CDX and CDS volumes, but as Sep23 volumes are not currently published, I will skip this for today’s atricle.
Onto the next Asset Class.
FX Derivatives Volumes
FXD by Product Type
Non-deliverable Forwards (NDFs), FX Options, Forwards (deliverable ccy pairs) and Spot.
- NDF by far the largest with $3.3 trillion in 2023Q3, up from $3 trillion in 2022Q3
- FX Options with $363 billion, massively up from $150 billion in 2022Q3
- Forwards with $51 billion, up from $23 billion
- Spot with $1.2 billion
Market Share of NDF
- LCH ForexClear with $3.23 trillion and 98.3% share in 2023Q3
- Comder with $55 billion and 1.7% share
- CME OTC with $2.3 billion and 0.1% share
FX Options by Ccy pair
FX Options volume is all at LCH ForexClear, so instead of market share, lets look at currency pair.
- EURUSD by far the largest with $245 billion in 2023Q3, up from $98 billion in 2022Q3
- GBPUSD next with $39 billion in 2023Q3, up from $21 billion
- AUDUSD with $28 billion in 2023Q3, up from $15 billion
- USDJPY with $25 billion in 2023Q3, up from $4.5 billion
Overall volume in 2023Q3 at $363 billion is more than double (2.43 times) the volume in 2022Q3, with increasing volumes in each quarter of 2023.
It will be interesting to see how this volume develops next quarter.
And a last chart before we end.
Showing the increasing outstanding notional each quarter, which at $228 billion is more than double the $112 billion from a year earlier.
Six charts to cover CRD and four to cover FXD.
There is a lot more data in CCPView.
Daily, weekly, monthly, quarterly or annual.
Volume, ADV, Open Interest, OI Change.
More granular data for CRD at Index Series or Single-name level.
More ganular data for FXD at currency pair level.
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