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 CDS Market Dynamics: Analyzing Trends in Single-name CDS and Index CDS Market Activity.

 

Interest Rate Derivatives

2024 YTD vs. 2023 YTD
  • Total IRD traded notional and trade count increased by 28% and 18%, respectively
    • Fixed-for-floating IRS traded notional and trade count increased by 52% and 17%, respectively
    • FRA traded notional and trade count decreased by 25% and 46%, respectively
    • OIS traded notional and trade count increased by 31% and 20%, respectively
  • 73% of total traded notional was cleared vs. 77% last year
  • 56% 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 15%, while trade count decreased by 5%
    • CDX HY traded notional and trade count decreased by 10% and 18%, respectively
    • CDX IG traded notional increased by 6%, while trade count decreased by 8%
    • iTraxx Europe traded notional and trade count increased by 18% and 0.5%, respectively
  • 80% of total traded notional was cleared vs. 86% last year
  • 79% 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 20%, respectively
    • Sovereign single-name CDS traded notional and trade count both decreased by 11%
  • 55% of total traded notional was cleared vs. 50% last year

 

2024 Current Week vs. 2023 Current Week