A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 2021.
- Index, Single-name and Swaptions
- Volumes in USD of $10 trillion, down 9%
- Volumes in EUR of €6.7 trillion or $8.5 trillion, flat on the year
- Index is 90% in USD and 94% in EUR
- Single-name is 9% in USD and 5% in EUR
- Swaptions volume of $29 billion in USD and €82 billion in EUR
- ICE Clear Credit with 97% market share in USD CDX and CDS
- ICE Clear Credit with 62.7% in EUR iTraxx is up
- ICE Clear Europe with 23.4% in EUR iTraxx is down
- ICE Clear Credit with 41% in EUR CDS is up
- LCH CDSClear with 28.5% in EUR CDS is up
- USD CDXSwaptions all at ICE Clear Credit
- EUR iTraxxSwaptions all at LCH CDSClear
- JPY CDX and CDS at JSCC
All the charts and detail from CCPView.
CRD by Currency
- USD CRD 2021 volume of $10 trillion, down from $11 trillion in 2020 and up from $9.2 trillion in 2019
- EUR CRD 2021 volume of $8.5 trillion, up from $8.25 trillion in 2020 and $6.4 trillion in 2019
- JPY CRD 2021 volume of $19 billion, down from $27 billion and $21.5 billion
USD CDX, CDS and Swaptions
- USD CDX 2021 volume of $9 trillion, down from $10 trillion in 2020 and up from $8 trillion in 2019
- USD Single-name CDS 2021 volume of $0.93 trillion, down from $1 trillion and $1.1 trillion in prior years
- USD CDXSwaptions 2021 volume of $29.4 billion, up from $110 million in 2020 and nothing in 2019
CDX volumes at $9 trillion, representing just over 90% of USD volume, single-name just over 9% and CDXSwaptions with material volume for the first time in 2021.
USD CRD Index Series
- USD CDX.IG 2021 volume of $6.6 trillion, down from $7.3 trillion in 2020 and up from $5.8 trillion in 2019
- USD CDX.HY 2021 volume of $2 trillion, down from $2.2 trillion and up from $1.8 trillion in prior years
- USD CDX.EM 2021 volume of $340 billion, up from $303 billion in 2020 and $315 billion in 2019
- USD iTraxx.Asia 2021 volume of $93 billion, down from $100 billion and $105 billion in prior years
- USD iTraxx.Australia 2021 volume of $40.5 billion, down from $44.7 billion and $46.3 billion in prior years
CDX.IG volumes at $6.6 trillion, representing 73% of USD Index volumes.
USD Single-name CDS
- Single-name Soverign volume of $460 billion, down from $540 billion and $680 billion in prior years
- Single-name Corporate volume of $447 billion, up from $439 billion and $422 billion in prior years
- Single-name CP Financials volume of $26 billion, simialr to $28.5 billion and $26 billion in prior years
CDX.IG volumes at $6.6 trillion, representing 73% of USD Index volumes.
USD Market Share by CCP
- ICE Clear Credit with 97.1% in 2021, very similar to the 96.9% and 98% in prior years
- ICE Clear Europe with 2.7% in 2021 and 3% and 2% in prior years
- LCH CDSClear with 0.2% in 2021 and 0.2% and 0.1% in prior years
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 iTaxx 2021 volume of €6.7 trillion, similar to €6.9 trillion in 2020 and up from €5.4 trillion in 2019
- EUR Single-name CDS 2021 volume of €370 billion, up from €335 billion and €340 billion in prior years
- EUR iTraxxSwaptions 2021 volume of €82 billion, up from €35 billion and €8.5 billion
EUR iTraxx volumes at €6.7 trillion, representing 94% of EUR volume, single-name just over 5% and iTraxxSwaptions with 1%.
EUR iTraxx
- iTraxx Europe 2021 volume of €5.6 trillion, similar to €5.7 trillion in 2020 and up from €4.5 trillion in 2019
- iTraxx Crossover 2021 volume of €1.1 trillion, similar to €1.2 trillion in 2020 and up from €0.9 trillion in 2019
- iTaxx MSCI ESG 2021 volume of €38 million, down from €70 million
iTraxx Europe volumes at €5.6 trillion, representing 84% of EUR Index volumes.
Market Share of EUR iTraxx
- ICE Clear Credit with 62.7% in 2021, up from 55.2% and 56.1% in prior years
- ICE Clear Europe with 23.4% in 2021, down from 29.2% and 31.3% in prior years
- LCH CDSClear with 13.9% in 2021, down from 15.6% and 12.6% in prior years
The ICE Clear Credit share increase in 2021 over both ICE Clear Europe and LCH CDSClear, as a result of Brexit and absence of a Derivatives Trading Obligation (DTO) equivalence leading to volumes moving to the US trading-wise and clearing-wise, but with LCH CDSClear losing less market share than ICE Clear Europe.
EUR Single-name CDS
- Single-name Corporate volume of €358 billion, a touch up from €324 billion and €327 billion in prior years
- Single-name CPFinancial volume of €11 billion, similar to €10 billion and €12.5 billion in prior years
Market Share of EUR Single-name CDS
- ICE Clear Credit with 41% in 2021, up from 36.9% and 38.8% in prior years
- ICE Clear Europe with 30.4% in 2021, down from 40.5% and 41.5% in prior years
- LCH CDSClear with 28.5% in 2021, up from 22.6% and 19.7% in prior years
A similar effect as in Index with ICE Clear Credit increasing share, but in single-name LCH CDSClear also with increased share to reach near parity with ICE Clear Europe.
EUR iTraxxSwaptions volume of €82 billion in 2021 is all at LCH CDSClear, so no need to chart that.
JPY CDX and CDS
And for our final chart, JPY CDX and CDS volumes.
- JPY CDX volume in 2021 was Y1.7 trillion, down from Y2.4 trillion and Y1.8 trillion in the prior years
- JPY CDS volume in 2021 was Y394 billion, down from Y415 billion and Y 518 billion
All the volume is at JSCC.
That’s It
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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