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2021 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 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 CDX is up
  • ICE Clear Europe with 23.4% in EUR CDX 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 CDXSwaptions all at LCH CDSClear
  • JPY CDX and CDS at JSCC

All the charts and detail from CCPView.

CRD by Currency

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

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

USD CRD market share of CCPs
  • 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 CRD Volumes by product type (eur millions)
  • EUR CDX 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 CDXSwaptions 2021 volume of €82 billion, up from €35 billion and €8.5 billion

EUR CDX volumes at €6.7 trillion, representing 94% of EUR volume, single-name just over 5% and CDXSwaptions with 1%.

EUR CRD Indices

EUR Indices by series (eur millions)
  • 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 CRD Indices

EUR CRD Index market share of CCPs
  • 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 ICE Clear Europe, a Brexit related effect due to some volume moving onto US SEFs from EU MTFs and the associated change in CCP.

EUR Single-name CDS

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

EUR Single-name CDS market share of CCPs
  • 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, down 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 CDXSwaptions 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 CRD Volumes by product type (jpy millions)
  • 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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