1Q22 CCP Volumes and Share in CRD

May 17, 2022 by No comments

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

CRD Volumes by ccy (usd millions)
  • 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 CRD Volumes by product type (usd millions)
  • 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 Indices by series (usd millions)
  • 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

USD single-name CDS by category (usd millions)
  • 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

USD CRD market share of CCPs
  • 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 CRD Volumes by product type (eur millions)
  • 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%.

EUR iTraxx

EUR Indices by series (eur millions)
  • 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

EUR CRD Index market share of CCPs
  • 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

EUR single-name CDS by category (eur millions)
  • 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

EUR Single-name CDS market share of CCPs
  • 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.

JPY CRD Volumes by product type (jpy millions)
  • 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.

That’s It

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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