Interest Rate Derivatives

2024 YTD vs. 2023 YTD
  • Total IRD traded notional and trade count increased by 19% and 17%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 45% and 15%, respectively
    • FRA traded notional and trade count decreased by 34% and 54%, respectively
    • OIS traded notional and trade count increased by 21% and 24%, respectively
  • 72% of total traded notional was cleared vs. 77% last year
  • 58% of total traded notional was executed on SEFs vs. 52% last year

 

 

Credit Derivatives Reported under CFTC Regulations

2024 YTD vs. 2023 YTD

  • Total index credit derivatives traded notional increased by 9%, while trade count decreased by 3%
    • CDX HY traded notional and trade count decreased by 6% and 13%, respectively
    • CDX IG traded notional increased by 2%, while trade count decreased by 5%
    • iTraxx Europe traded notional increased by 11%, while trade count decreased by 0.1%
  • 82% of total traded notional was cleared vs. 86% last year
  • 81% of total traded notional was executed on SEFs vs. 84% 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 11% and 14%, respectively
    • Corporate single-name CDS traded notional and trade count decreased by 15% and 18%, respectively
    • Sovereign single-name CDS traded notional and trade count both decreased by 7%
  • 53% of total traded notional was cleared vs. 50% last year

 

2024 Current Week vs. 2023 Current Week