Check out the latest research papers SwapsInfo Third Quarter of 2023 and Year-to-September 30, 2023 Review and Overview of the Canadian Derivatives Market.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 12% and 11%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 44% and 11%, respectively
- FRA traded notional and trade count decreased by 19% and 26%, respectively
- OIS traded notional and trade count increased by 54% and 43%, respectively
- 78% of total traded notional was cleared vs. 75% last year
- 54% 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 25% and 15%, respectively
- CDX HY traded notional and trade count decreased by 20% and 13%, respectively
- CDX IG traded notional and trade count decreased by 22% and 13%, respectively
- iTraxx Europe traded notional and trade count decreased by 30% and 15%, respectively
- 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 data has been updated to include ICE Trade Vault SBSDR data. Previously published reports only included data reported to DTCC SBSDR.
YTD Ending November 3, 2023
- Total security-based credit derivatives traded notional was $661.0 billion, while trade count totaled 214.1 thousand
- Corporate single-name CDS traded notional totaled $504.4 billion, and trade count was 166.7 thousand
- Sovereign single-name CDS traded notional totaled $125.4 billion, and trade count was 31.8 thousand
- 50% of total traded notional was cleared
