Check out the latest research papers Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: Third Quarter of 2023 and Year-to-September 30, 2023 and ISDA-Clarus RFR Adoption Indicator: November 2023.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count both increased by 11%
- Fixed-for-floating IRS traded notional and trade count decreased by 42% and 10%, respectively
- FRA traded notional and trade count decreased by 24% and 32%, respectively
- OIS traded notional and trade count increased by 52% and 43%, respectively
- 78% of total traded notional was cleared vs. 75% last year
- 54% 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 23% and 15%, respectively
- CDX HY traded notional and trade count decreased by 18% and 12%, respectively
- CDX IG traded notional and trade count decreased by 20% and 13%, respectively
- iTraxx Europe traded notional and trade count decreased by 29% and 16%, respectively
- 86% of total traded notional was cleared vs. 84% last year
- 85% of total traded notional was executed on SEFs vs. 83% last year
2023 Current Week vs. 2022 Current Week
Credit Derivatives Reported under SEC Regulations
YTD Ending December 22, 2023
- Total security-based credit derivatives traded notional was $752.8 billion, while trade count totaled 245.8 thousand
- Corporate single-name CDS traded notional totaled $573.4 billion, and trade count was 191.7 thousand
- Sovereign single-name CDS traded notional totaled $143.0 billion, and trade count was 36.3 thousand
- 50% of total traded notional was cleared