I recently looked at CCP Swap Volumes and Share – 2Q 2020 for Interest Rate Swaps, so today I will do the same analysis for Credit Derivatives and FX Derivatives.
Starting with Credit Derivatives in USD, both Indices and Single-names.
- 2Q 2020 with $2.65 trillion, up from the $2 trillion in 2Q 2019
- But well below the record $4.4 trillion in 1Q 2020
- ICE Clear Credit with 97% share in 2Q 2020
- CDX volume at $2.37 trillion and CDS at $280 billion in 2Q 2020
- 2Q 2020 with €1.5 trillion, up from €1.25 trillion in 2Q 2019
- But well below the record €2.8 trillion in 1Q 2020
- ICE Clear Credit with 50% in 2Q 2020 down from 54% 2Q 2019
- ICE Clear Europe with 30% in 2Q 2020, down from 32% 2Q 2019
- LCH CDSClear with 20% in 2Q 2020, up from 14% 2Q 2019
- iTraxx volume at €1.41 trillion and CDS at €89 billion in 2Q 2020
Interestingly LCH CDSClear with iTraxx Options volume of €21 billion in 1H 2020, up from €8.5 billion in 2019.
A product to watch closely going forward.
Cleared Non-Deliverable Forwards and FX Options.
- 2Q 2020 with $2.3 trillion, same as 2Q 2019 and down from the record $2.8 trillion in 1Q 2020
- LCH ForexClear with 97.6% share in 2Q 2020
The same data but split by product types.
- NDF by far the largest with $2.2 trillion in 2Q 2020
- FX Options next with $60.6 billion
- Forwards with $10.4 billion
Next by currency pair.
- USDINR and USDTWD the largest pairs with $470 billion each in 2Q 2020
- USDKRW, USDBRL, USDIDR, USDCNY the next largest
- 29 currency pairs covering NDF, FXO and Forwards
That’s all for today.
There is a lot more data in CCPView.
Open Interest as well as Volume.
And more granularity: monthly/weekly/daily.
Please contact us if you would like to track more closely.