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 13% and 11%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 45% and 10%, respectively
- FRA traded notional and trade count decreased by 15% and 23%, respectively
- OIS traded notional and trade count increased by 56% and 43%, 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 26% 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 15%, respectively
- iTraxx Europe traded notional decreased by 24%, while trade count increased by 1%
- 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 20, 2023
- Total security-based credit derivatives traded notional was $629.1 billion, while trade count totaled 202.8 thousand
- Corporate single-name CDS traded notional totaled $480.9 billion, and trade count was 158.1 thousand
- Sovereign single-name CDS traded notional totaled $119.2 billion, and trade count was 30.2 thousand
- 50% of total traded notional was cleared
