Check out the latest research paper IRD Trading Activity Reported in EU, UK and US Markets: First Quarter of 2024.

 

Interest Rate Derivatives

2024 YTD vs. 2023 YTD
  • Total IRD traded notional and trade count increased by 9% and 10%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 28% and 7%, respectively
    • FRA traded notional and trade count decreased by 47% and 65%, respectively
    • OIS traded notional and trade count increased by 16% and 23%, respectively
  • 74% of total traded notional was cleared vs. 78% last year
  • 58% of total traded notional was executed on SEFs vs. 53% last year

 

 

Credit Derivatives Reported under CFTC Regulations

2024 YTD vs. 2023 YTD

  • Total index credit derivatives traded notional and trade count decreased by 5% and 13%, respectively
    • CDX HY traded notional and trade count decreased by 16% and 20%, respectively
    • CDX IG traded notional and trade count decreased by 10% and 15%, respectively
    • iTraxx Europe traded notional and trade count decreased by 8% and 14%, respectively
  • 83% of total traded notional was cleared vs. 86% 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 16% and 19%, respectively
    • Corporate single-name CDS traded notional and trade count decreased by 20% and 22%, respectively
    • Sovereign single-name CDS traded notional and trade count both decreased by 12%
  • 52% of total traded notional was cleared vs. 51% last year

 

2024 Current Week vs. 2023 Current Week