Interest Rate Derivatives

2024 YTD vs. 2023 YTD

  • Total IRD traded notional and trade count both increased by 6%
    • Fixed-for-floating IRS traded notional and trade count increased by 21% and 2%, respectively
    • FRA traded notional and trade count decreased by 51% and 67%, respectively
    • OIS traded notional and trade count increased by 15% and 21%, respectively
  • 74% of total traded notional was cleared vs. 79% last year
  • 58% of total traded notional was executed on SEFs vs. 54% last year

 

 

Credit Derivatives Reported under CFTC Regulations

2024 YTD vs. 2023 YTD

  • Total index credit derivatives traded notional and trade count decreased by 8% and 15%, respectively
    • CDX HY traded notional and trade count decreased by 18% and 20%, respectively
    • CDX IG traded notional and trade count decreased by 13% and 17%, respectively
    • iTraxx Europe traded notional and trade count decreased by 14% and 19%, respectively
  • 83% of total traded notional was cleared vs. 87% last year
  • 82% of total traded notional was executed on SEFs vs. 85% last year

 

2024 Current Week vs. 2023 Current Week

 

Credit Derivatives Reported under SEC Regulations

2024 YTD vs. 2023 YTD

  • Total security-based credit derivatives traded notional and trade count decreased by 10% and 12%, respectively
    • Corporate single-name CDS traded notional and trade count decreased by 13% and 15%, respectively
    • Sovereign single-name CDS traded notional and trade count decreased by 8% and 7%, respectively
  • 52% of total traded notional was cleared vs. 51% last year

 

2024 Current Week vs. 2023 Current Week