A review of Credit Derivatives (CRD) and FX Derivatives (FXD) volumes and market share at Clearing Houses (CCPs) in 2023.
- CRD – Index, Single-name and Swaptions
- In USD, CDX volumes were down, with CDS volumes up
- In EUR, iTraxx volumes were down, with CDS volumes up
- In EUR iTraxx, LCH CDSClear share is up to 23%, with ICE Clear Credit at 67%
- In EUR CDS, share is now ICE Clear Credit 47% and LCH CSDClear 34%
- FXD – NDF, Options, Forwards and Swaps
- NDF volumes up 5%, with INR, TWD and KRW each with $2.5 trillion in 2023
- Options volume up 160%, all at LCH ForexClear
- FX Options outstanding notional increased to $238 billion
All the charts and detail from CCPView.
Credit Derivatives Volume
USD CDX, CDS and Swaptions
- USD CDX 2023 volume of $11 trillion, down from 2022 volume of $12.9 trillion, a decrease of 15%
- USD Single-name CDS 2023 volume of $1.14 trillion, up from $1.06 trillion, an increase of 7.5%
- USD CDXSwaptions 2023 volume of $174 billion, down from $186 billion, a decrease of 6%
CDX volumes at $11 trillion, representing 89% of USD volume with single-name 9% and CDXSwaptions just 1%.
Market Share of USD CDX
- ICE Clear Credit with 96.2% in 2023, down from 97.3% in 2022
- LCH CDSClear with 2.3% in 2023, up from 0.5% in 2022
- ICE Clear Europe with 1.5% in 2023, down from 2.3% in 2022
ICE Clear Europe is now closed with it’s final volume in October 2023 and while a little early to say, it looks as if more of it’s volume has gone to LCH CDSClear than ICE Clear Credit.
Market Share of USD CDS (single-name)
- ICE Clear Credit with 95.9% in 2023, down from 97.8% in 2022
- ICE Clear Europe with 2.7% in 2023, up from 2.1% in 2022
- LCH CDSClear with 1.4% in 2023, up from 0.1% in 2022
USD CDXSwaptions volume is all at ICE Clear Credit.
EUR CRD Index, CDS and Swaptions
- EUR iTraxx 2023 volume of €7.6 trillion is down from €10.4 trillion, a decrease of 27%
- EUR Single-name CDS 2023 volume of €856 billion is up €502 billion, an increase of 71%
- EUR iTraxxSwaptions 2023 volume of €47 billion, is down from €90 billion, a decrease of 48%
EUR iTraxx volumes at €7.6 trillion, representing 89.4% of EUR volume, single-name 10.1% and iTraxxSwaptions with 0.6%.
Market Share of EUR iTraxx
- ICE Clear Credit with 66.9% in 2023, up from 63.9% and 62.8% in prior years
- ICE Clear Europe with 9.7% in 2023, down from 23.1% and 23.3% in prior years
- LCH CDSClear with 23.4% in 2023, up from 13% and 13.9% in prior years
The ICE Clear Europe shutdown resulting in a greater increase at LCH CDSClear over ICE Clear Credit.
Market Share of EUR CDS (single-name)
- ICE Clear Credit with 47% in 2023, up from 41.8% and 41% in prior years
- ICE Clear Europe with 19.3% in 2023, down from 27.7% and 30.4% in prior years
- LCH CDSClear with 33.8% in 2023, up from 30.5% and 28.5% in prior years
More of the 2023 change in share going to ICE Clear Credit than LCH CDSClear.
EUR iTraxxSwaptions share in 2023 is 92.4% at LCH CDSClear and 7.6% at ICE Clear Credit.
JPY CDX and CDS
- JPY CDX volume in 2023 was Y1.6 trillion, down from Y1.8 trillion and Y1.7 trillion in prior years
- JPY CDS volume in 2023 was Y451 billion, up from Y426 billion and Y394 billion in prior years.
All the volume is at JSCC.
FX Derivatives Volumes
FXD by Product Type
Non-deliverable Forwards (NDFs), FX Options, Forwards (deliverable ccy pairs) and Spot.
- NDF by far the largest with $12.5 trillion in 2023, up from $11.9 trillion, an increase of 5%
- FX Options with $1.3 trillion, massively up from $505 billion, an increase of 160%
- Forwards with $188 billion, up from $81 billion
- Spot with $4.6 billion, up from $1.7 billion
NDF by Currency pair
- INR the largest (just) in 2023 with $2.61 trillion
- TWD close behind with $2.58 trillion
- KRW with $2.48 trillion
- BRL with $1.53 trillion
- IDR with $0.81 trllion, making up the top 5
Market Share of NDF
- LCH ForexClear with $12.3 trillion and 98.4% share in 2023
- Comder with $187 billion and 1.5% share
- CME OTC with $7.3 billion and 0.1% share
FX Options by Ccy pair
- EURUSD by far the largest with $835 billion in 2023, up from $333 billion, an increase of 150%
- GBPUSD next with $123 billion in 2023, up from $57 billion, an increase of 116%
- AUDUSD with $111 billion in 2023, up from $54 billion, an increase of 105%
- USDJPY with $98 billion in 2023, up from $20 billion, an icrease of almost 400%
FX Options volume is all at LCH ForexClear.
And a last chart before we end, the outstanding notional at year end for each currency pair.
- EURUSD with $150 billion at end 2023, up from $78 billion and $43 billion in prior years
- GBPUSD with $22 billion in 2023, up from $13.5 billion and $6.1 billion in prior years
- AUDUSD with $21 billion in 2023, up from $11 billion and $7 billion in prior years
- USDJPY with $21 billion in 2023, up from $6 billion
Total Outstanding Notional at end 2023 is $238 billion, up from $116 billion.
That’s It
7 charts to cover CRD and 5 to cover FXD.
There is a lot more data in CCPView.
Daily, weekly, monthly, quarterly or annual.
Volume, ADV, Open Interest, OI Change.
More granular data for CRD at Index Series or Single-name level.
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