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 11% and 19%, respectively
- OIS traded notional and trade count increased by 53% and 42%, 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
Credit Derivatives Reported under CFTC Regulations
2023 YTD vs. 2022 YTD
- Total index credit derivatives traded notional and trade count decreased by 28% and 18%, respectively
- CDX HY traded notional and trade count decreased by 23% and 16%, respectively
- CDX IG traded notional and trade count decreased by 25% and 16%, respectively
- iTraxx Europe traded notional decreased by 26%, 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 September 29, 2023
- Total security-based credit derivatives traded notional was $549.3 billion, while trade count totaled 172.4 thousand
- Corporate single-name CDS traded notional totaled $418.2 billion, and trade count was 133.0 thousand
- Sovereign single-name CDS traded notional totaled $104.0 billion, and trade count was 25.9 thousand
- 49% of total traded notional was cleared
