CCP Volumes and Share in CRD and FXD – 2Q 2020

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.

USD CRD

Starting with Credit Derivatives in USD, both Indices and Single-names.

USD CRD Cleared Volume (single-sided in usd millions)
  • 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

EUR CRD

EUR CRD Cleared Volume (single-sided in eur millions)
  • 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.

iTraxx Options volume at LCH CDSClear (eur millions)

A product to watch closely going forward.

FXD

Cleared Non-Deliverable Forwards and FX Options.

Cleared FXD volumes in usd millions
  • 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.

Cleared FXD volumes by product type in usd millions
  • 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.

Cleared FXD volumes by currency pair in usd millions
  • 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 It

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.

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