Check out the latest research papers Overview of the Canadian Derivatives Market and ISDA-Clarus RFR Adoption Indicator: September 2023.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 12% and 11%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 44% and 11%, respectively
- FRA traded notional and trade count decreased by 17% and 25%, respectively
- OIS traded notional and trade count increased by 55% and 42%, 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 25% and 16%, respectively
- CDX HY traded notional and trade count decreased by 21% and 13%, respectively
- CDX IG traded notional and trade count decreased by 23% and 14%, respectively
- iTraxx Europe traded notional and trade count decreased by 30% and 16%, respectively
- 87% 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 data has been updated to include ICE Trade Vault SBSDR data. Previously published reports only included data reported to DTCC SBSDR.
YTD Ending October 27, 2023
- Total security-based credit derivatives traded notional was $644.0 billion, while trade count totaled 207.9 thousand
- Corporate single-name CDS traded notional totaled $492.9 billion, and trade count was 162.3 thousand
- Sovereign single-name CDS traded notional totaled $121.6 billion, and trade count was 30.8 thousand
- 50% of total traded notional was cleared
