A review of Credit Derivatives (CRD) volumes and market share at Clearing Houses (CCPs) in 2022.
- Index, Single-name and Swaptions
- Volumes in USD of $14.2 trillion, up 42%
- Volumes in EUR of €10.4 trillion or $11.6 trillion, are up 55%
- Index is 91% in USD and 94% in EUR
- Single-name is 7.5% in USD and 4.5% in EUR
- Swaptions volume of $186 billion in USD and €90 billion in EUR
- ICE Clear Credit with 97.3% market share in USD CDX and CDS
- ICE Clear Credit with 63.9% in EUR iTraxx is up
- ICE Clear Europe with 23.05% in EUR iTraxx is down
- LCH CDSClear with 13.05% in EUR iTraxx is down
- ICE Clear Credit with 41.8% in EUR CDS is up
- ICE Clear Europe with 27.7% in EUR CDS is down
- LCH CDSClear with 30.5% in EUR CDS is up
- USD CDXSwaptions all at ICE Clear Credit
- EUR iTraxxSwaptions 97.7% at LCH CDSClear
- JPY CDX and CDS at JSCC
All the charts and detail from CCPView.
CRD by Currency
- USD CRD 2022 volume of $14.2 trillion, up from $10 trillion in 2021 and $11 trillion in 2020
- An increase of 42% in 2022 (YoY)
- EUR CRD 2022 volume of $11.6 trillion, up from $8.5 trillion in 2021 and $8.25 trillion in 2020
- An increase of 36% in 2022 (YoY)
- JPY CRD 2022 volume of $17 billion, down from $19 billion and $27 billion
USD CDX, CDS and Swaptions
- USD CDX 2022 volume of $12.9 trillion, up from $9 trillion in 2021 and $10 trillion in 2020
- A 2022 YoY increase of 43%
- USD Single-name CDS 2022 volume of $1.06 trillion, down from $0.93 trillion and $1 trillion in prior years
- A 2022 YoY increase of 14%
- USD CDXSwaptions 2022 volume of $186 billion, up from $29.4 billion in 2021 and $110 million in 2020
- A 2022 YoY increase of >600%
CDX volumes at $12.9 trillion, representing 91% of USD volume with single-name 7.5% and CDXSwaptions volumes six times higher in 2022.
USD CRD Index Series
- USD CDX.IG 2022 volume of $9.5 trillion, up from $6.6 trillion in 2021 and $7.3 trillion in 2020
- A 2022 YoY increase of 44%
- USD CDX.HY 2022 volume of $3 trillion, up from $2 trillion and up from $2.2 trillion in prior years
- A 2022 YOY increase of 50%
- USD CDX.EM 2022 volume of $330 billion, down from $340 billion in 2021 and $303 billion in 2020
- USD iTraxx.Asia 2022 volume of $111 billion, up from $93 billion and $100 billion in prior years
- USD iTraxx.Australia 2022 volume of $48 billion, up from $40.5 billion and $44.7 billion in prior years
CDX.IG volumes at $9.5 trillion, representing 73% of USD Index volumes.
USD Single-name CDS
- Single-name Soverign volume of $560 billion, up from $460 billion and $540 billion in prior years
- Single-name Corporate volume of $475 billion, up from $447 billion and $439 billion in prior years
- Single-name CP Financials volume of $26.8 billion, simialr to $26 billion and $28.5 billion in prior years
Soverign volumes at $560 billion, are up 22% in 2022 and represent 53% of USD CDS volumes.
USD Market Share by CCP
- ICE Clear Credit with 97.3% in 2022, a touch up from 97.1% and 96.9% in prior years
- ICE Clear Europe with 2.2% in 2022, a touch down from 2.7% and 3% in prior years
- LCH CDSClear with 0.4% in 2022, a touch up from 0.2% and 0.2% in prior years
ICE Clear Credit share in single-name slightly higher than in Indices and it is the only CCP with USD CDXSwaption volume.
EUR CRD Index, CDS and Swaptions
- EUR iTraxx 2022 volume of €10.4 trillion, up from €6.7 trillion in 2021 and €6.9 trillion in 2020
- A 2022 YoY increase of 55%
- EUR Single-name CDS 2022 volume of €502 billion, up from €370 billion and €335 billion in prior years
- A 2022 YoY increase of 36%
- EUR iTraxxSwaptions 2022 volume of €90 billion, up from €82 billion and €35 billion
EUR iTraxx volumes at €10.4 trillion, representing 94.5% of EUR volume, single-name 4.5% and iTraxxSwaptions with 1%.
EUR iTraxx
- iTraxx Europe 2022 volume of €8.5 trillion, up from €5.6 trillion in 2021 and €5.7 trillion in 2020
- A 2022 YoY increase of 52%
- iTraxx Crossover 2022 volume of €1.85 trillion, up from €1.1 trillion in 2021 and €1.2 trillion in 2020
- A 2022 YoY increase of 68%
- iTaxx MSCI ESG 2022 volume of €23 million, down from €38 million and €70 million
iTraxx Europe volumes at €8.5 trillion, representing 82% of EUR Index volumes.
Market Share of EUR iTraxx
- ICE Clear Credit with 63.9% in 2022, up from 62.8% and 55.2% in prior years
- ICE Clear Europe with 23.05% in 2022, down from 23.3% and 29.2% in prior years
- LCH CDSClear with 13.05% in 2022, down from 13.9% and 15.6% in prior years
ICE Clear Credit share increasing 1.1% in absolute terms from 2021, with both ICE Clear Europe and LCH CDSClear down, most likely a continued result from the announced closure of Credit Derivatives clearing at ICE Clear Europe from March 2023.
ICE Clear Credit seeming to grab more share as ICE Clear Europe winds down, but a lot of volume yet to find a new home. Monthly volume for Jan 2023 will give a good pointer on whether more of the remianing volumes goes to ICE Clear Credit or LCH CDSClear.
EUR Single-name CDS
- Single-name Corporate volume of €487 billion, up from €358 billion and €324 billion in prior years
- A 2022 YoY increase of 36%
- Single-name CPFinancial volume of €14 billion, up from €11 billion and €10 billion in prior years
Market Share of EUR Single-name CDS
- ICE Clear Credit with 41.8% in 2022, up from 41% and 36.9% in prior years
- ICE Clear Europe with 27.7% in 2022, down from 30.4% and 40.5% in prior years
- LCH CDSClear with 30.5% in 2022, up from 28.5% and 22.6% in prior years
In single-name LCH CDSClear grabbing more share than ICE Clear Credit as ICE Clear Europe credit derivatives clearing winds down before closure in March 2022.
EUR iTraxxSwaptions volume of €90 billion in 2022 is 99.7% at LCH CDSClear and 0.3% at ICE Clear Credit, so no need to chart that.
JPY CDX and CDS
And for our final chart, JPY CDX and CDS volumes.
- JPY CDX volume in 2022 was Y1.8 trillion, down from Y1.7 trillion and Y2.4 trillion in the prior years
- JPY CDS volume in 2022 was Y426 billion, down from Y394 billion and Y 415 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 a single-name level.
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