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1Q22 CCP Volumes and Share in CRD

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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

1Q22 CCP Volumes and Share in CRD Fintech CoinGenius Hosts Virtual Crypto Event The Road To Mass Adoption
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

1Q22 CCP Volumes and Share in CRD Fintech CoinGenius Hosts Virtual Crypto Event The Road To Mass Adoption
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

1Q22 CCP Volumes and Share in CRD Fintech CoinGenius Hosts Virtual Crypto Event The Road To Mass Adoption
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

1Q22 CCP Volumes and Share in CRD Fintech CoinGenius Hosts Virtual Crypto Event The Road To Mass Adoption
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

1Q22 CCP Volumes and Share in CRD Fintech CoinGenius Hosts Virtual Crypto Event The Road To Mass Adoption
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

1Q22 CCP Volumes and Share in CRD Fintech CoinGenius Hosts Virtual Crypto Event The Road To Mass Adoption
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

1Q22 CCP Volumes and Share in CRD Fintech CoinGenius Hosts Virtual Crypto Event The Road To Mass Adoption
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

1Q22 CCP Volumes and Share in CRD Fintech CoinGenius Hosts Virtual Crypto Event The Road To Mass Adoption
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

1Q22 CCP Volumes and Share in CRD Fintech CoinGenius Hosts Virtual Crypto Event The Road To Mass Adoption
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.

1Q22 CCP Volumes and Share in CRD Fintech CoinGenius Hosts Virtual Crypto Event The Road To Mass Adoption
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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  • Source: https://www.clarusft.com/1q22-ccp-volumes-and-share-in-crd/?utm_source=rss&utm_medium=rss&utm_campaign=1q22-ccp-volumes-and-share-in-crd

This Post was originally published on Clarus

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