Interest rate derivatives (IRD) trading activity grew in the year-to-September 2024 compared to the same period in 2023, driven by interest rate volatility and adjustments to central bank policies. Index credit derivatives also saw increased trading activity as market participants sought to hedge against credit risk in a shifting macroeconomic environment.
Key highlights for the year-to-September 30, 2024, include:
- IRD traded notional rose by 21.2% to $311.9 trillion in the nine months to September 30 from $257.3 trillion in the nine months to September 30, 2023. Trade count grew by 17.8% to 2.3 million from 2.0 million over the same period.
- Cleared IRD transactions accounted for 72.3% of total IRD traded notional and 75.8% of trade count. 83.4% of fixed-for- floating IRS, 78.9% of FRA, 82.7% of OIS and 6.7% of other IRD traded notional was cleared.
- IRD transactions executed on swap execution facilities (SEFs) comprised 57.7% of total IRD traded notional and 72.2% of trade count.
- Index credit derivatives traded notional increased by 11.8% to $9.6 trillion in the nine months to September 30 from $8.6 trillion in the nine months to September 30, 2023. Trade count fell by 1.6% to 258.4 thousand from 262.6 thousand over the same period.
- Security-based credit derivatives traded notional fell by 9.8% to $532.0 billion in the nine months to September 30 from $589.7 billion in the year to September 30, 2023. Trade count fell by 12.9% to 166.7 thousand from 191.4 thousand over the same period.
Click on the attached PDF to read the full report.
Documents (1) for SwapsInfo Third Quarter of 2024 and Year-to-September 30, 2024 Review
Latest
Transition to Mandatory Central Clearing
US Treasury securities sit at the heart of global financial markets and serve as one of the primary forms of high-quality collateral across derivatives and securities financing markets. The transition to mandatory central clearing of US Treasuries therefore has implications...
ISDA Publishes Updated ISDA SIMM Governance
ISDA has published an updated version of the ISDA SIMM® Governance Framework, which sets out the principles under which the ISDA Standard Initial Margin Model® operates and the process through which it will be reviewed and amended on a consistent...
ISDA Response to PRA IMA Consultation
On September 18, ISDA, the Association for Financial Markets in Europe, the Institute of International Finance and UK Finance submitted a joint response to the UK Prudential Regulation Authority consultation on adjustments to the internal model approach (IMA) for the...
Calibration Test – IQ September 2026
Calibrating capital requirements is a highly complex undertaking and getting it wrong can have serious consequences. Too much lenience might lead to banks holding insufficient capital to mitigate their risks. But excess conservatism can put balance sheets under strain, forcing...