Interest Rate and Credit Derivatives Weekly Trading Volume: Week Ending January 5, 2024

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Credit Derivatives Reported under CFTC Regulations

2023 YTD vs. 2022 YTD

  • Total index credit derivatives traded notional and trade count decreased by 13% and 3%, respectively
    • CDX HY traded notional decreased by 13%, while trade count increased by 0.2%
    • CDX IG traded notional and trade count decreased by 4% and 5%, respectively
    • iTraxx Europe traded notional and trade count decreased by 16% and 12%, respectively
  • 86% of total traded notional was cleared vs. 81% last year
  • 86% of total traded notional was executed on SEFs vs. 79% last year

 

Credit Derivatives Reported under SEC Regulations

YTD Ending January 5, 2024

  • Total security-based credit derivatives traded notional was $10.3 billion, while trade count totaled 3.8 thousand
    • Corporate single-name CDS traded notional totaled $7.8 billion, and trade count was 3.1 thousand
    • Sovereign single-name CDS traded notional totaled $2.1 billion, and trade count was 0.5 thousand
  • 47% of total traded notional was cleared