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
- 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
2024 Current Week vs. 2023 Current Week
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