Interest Rate and Credit Derivatives Weekly Trading Volume: Week Ending August 25, 2023

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2023 YTD vs. 2022 YTD

  • Total IRD traded notional and trade count increased by 12% and 13%, respectively
    • Fixed-for-floating IRS traded notional and trade count decreased by 46% and 9%, respectively
    • FRA traded notional and trade count decreased by 7% and 13%, respectively
    • OIS traded notional and trade count increased by 56% and 45%, respectively
  • 78% of total traded notional was cleared vs. 75% last year
  • 53% 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 28% and 17%, respectively
    • CDX HY traded notional and trade count decreased by 23% and 14%, respectively
    • CDX IG traded notional and trade count decreased by 24% and 14%, respectively
    • iTraxx Europe traded notional and trade count decreased by 28% and 2%, respectively
  • 86% of total traded notional was cleared vs. 83% last year
  • 85% of total traded notional was executed on SEFs vs. 82% last year

 

2023 Current Week vs. 2022 Current Week

 

Credit Derivatives Reported under SEC Regulations

 

YTD Ending August 25, 2023

  • Total security-based credit derivatives traded notional totaled $455.6 billion, while trade count totaled 146.1 thousand
    • Corporate single-name CDS traded notional totaled $345.2 billion, and trade count was 112.2 thousand
    • Sovereign single-name CDS traded notional totaled $87.5 billion, and trade count was 22.0 thousand
  • 49.3% of total traded notional was cleared