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 SwapsInfo Third Quarter of 2024 and Year-to-September 30, 2024 Review.
Interest Rate Derivatives
- Total IRD traded notional and trade count increased by 28% and 19%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 53% and 18%, respectively
- FRA traded notional and trade count decreased by 26% and 49%, respectively
- OIS traded notional and trade count increased by 30% and 22%, respectively
- 73% of total traded notional was cleared vs. 77% last year
- 57% of total traded notional was executed on SEFs vs. 53% 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 13%, while trade count decreased by 6%
- CDX HY traded notional and trade count decreased by 10% and 19%, respectively
- CDX IG traded notional increased by 5%, while trade count decreased by 8%
- iTraxx Europe traded notional increased by 15%, while trade count decreased by 1%
- 81% of total traded notional was cleared vs. 86% last year
- 80% of total traded notional was executed on SEFs vs. 85% 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 16%, 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%
- 54% of total traded notional was cleared vs. 50% last year
2024 Current Week vs. 2023 Current Week