Check out the latest research paper Examining IRD Trading Activity in Response to Rising Interest Rates and RFR Transition.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count both increased by 12%
- Fixed-for-floating IRS traded notional and trade count decreased by 45% and 10%, respectively
- FRA traded notional and trade count decreased by 13% and 21%, respectively
- OIS traded notional and trade count increased by 54% and 43%, respectively
- 78% of total traded notional was cleared vs. 75% last year
- 53% of total traded notional was executed on SEFs vs. 59% last year
2023 Current Week vs. 2022 Current Week
Credit Derivatives Reported under CFTC Regulations
2023 YTD vs. 2022 YTD
- Total index credit derivatives traded notional and trade count decreased by 27% and 17%, respectively
- CDX HY traded notional and trade count decreased by 22% and 15%, respectively
- CDX IG traded notional and trade count decreased by 24% and 15%, respectively
- iTraxx Europe traded notional decreased by 25%, while trade count increased by 1%
- 87% of total traded notional was cleared vs. 84% last year
- 85% of total traded notional was executed on SEFs vs. 83% last year
2023 Current Week vs. 2022 Current Week
Credit Derivatives Reported under SEC Regulations
YTD Ending October 6, 2023
- Total security-based credit derivatives traded notional was $568.9 billion, while trade count totaled 179.1 thousand
- Corporate single-name CDS traded notional totaled $432.2 billion, and trade count was 138.2 thousand
- Sovereign single-name CDS traded notional totaled $108.7 billion, and trade count was 27.1 thousand
- 49% of total traded notional was cleared
