The CFTC’s updated post-initial minimum block and cap sizes, effective October 7, 2024, have resulted in higher year-over-year disclosed traded notional for IRD and index credit derivatives.
Check out the latest research paper Key Trends in the Size and Composition of OTC Derivatives Markets in the First Half of 2024.
Interest Rate Derivatives
- Total IRD traded notional and trade count increased by 31% and 18%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 53% and 18%, respectively
- FRA traded notional and trade count decreased by 23% and 45%, respectively
- OIS traded notional and trade count increased by 34% and 21%, respectively
- 74% of total traded notional was cleared vs. 77% last year
- 56% of total traded notional was executed on SEFs vs. 52% last year
2024 Current Week vs. 2023 Current Week
Credit Derivatives Reported under CFTC Regulations
2024 YTD vs. 2023 YTD
- Total index credit derivatives traded notional increased by 19%, while trade count decreased by 4%
- CDX HY traded notional and trade count decreased by 9% and 17%, respectively
- CDX IG traded notional increased by 9%, while trade count decreased by 7%
- iTraxx Europe traded notional and trade count increased by 21% and 2%, respectively
- 79% of total traded notional was cleared vs. 85% last year
- 78% 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 12% and 17%, respectively
- Corporate single-name CDS traded notional and trade count decreased by 15% and 21%, respectively
- Sovereign single-name CDS traded notional and trade count decreased by 8% and 9%, respectively
- 55% of total traded notional was cleared vs. 50% last year
2024 Current Week vs. 2023 Current Week
