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 29, 2023

  • Total security-based credit derivatives traded notional was $755.2 billion, while trade count totaled 246.8 thousand
    • Corporate single-name CDS traded notional totaled $574.2 billion, and trade count was 192.0 thousand
    • Sovereign single-name CDS traded notional totaled $143.3 billion, and trade count was 36.4 thousand
  • 50% of total traded notional was cleared