SwapsInfo Full Year 2024 and the Fourth Quarter of 2024

Interest rate derivatives (IRD) trading activity increased in 2024, driven by interest rate volatility, adjustments in central bank policies and shifting market expectations on inflation and economic growth. Index credit derivatives also saw increased activity, as measured by traded notional, as market participants responded to a changing macroeconomic environment. Factors including credit spread fluctuations, corporate default concerns and geopolitical uncertainties led to higher demand for credit hedging.

Key highlights for the full year 2024, include:

  • IRD traded notional rose by 15.6% to $366.6 trillion in 2024 from $317.1 trillion in 2023. Trade count grew by 8.2% to 2.7 million from 2.5 million over the same period.
  • 68.2% of IRD traded notional had a tenor up to and including one year, 22.1% had a tenor between one and five years and 9.7% had a tenor over five years.
  • Cleared IRD transactions made up 81.7% of total IRD traded notional and 83.6% of trade count. 90.6% of fixed-for-floating interest rate swaps (IRS), 95.4% of forward rate agreements (FRA), 89.2% of overnight index swaps (OIS) and 10.4% of other IRD traded notional was cleared.
  • IRD transactions executed on swap execution facilities (SEFs) comprised 57.1% of total IRD traded notional and 74.5% of trade count. 53.1% of fixed-for-floating IRS, 83.6% of FRA, 59.3% of OIS and 37.1% of other IRD traded notional was executed on SEFs.
  • Index credit derivatives traded notional climbed by 14.7% to $12.7 trillion in 2024 from $11.1 trillion in 2023. Trade count fell by 6.9% to 316.8 thousand from 340.3 thousand.
  • Security-based credit derivatives traded notional declined by 11.7% to $669.1 billion from $758.1 billion in 2023. Trade count fell by 16.6% to 208.2 thousand from 249.6 thousand over the same period.

Click on the attached PDF to read the full report.

Documents (1) for SwapsInfo Full Year 2024 and the Fourth Quarter of 2024

Expanding the Universe of Eligible VM

ISDA conducted a series of interviews with buy- and sell-side firms to understand the drivers of a growing use of non-cash assets as variation margin (VM) for non-cleared over-the-counter (OTC) derivatives and the barriers that remain to expanding the use...

ISDA Response on Hedge Accounting Guidance

On August 14, ISDA responded to an exposure draft from the Financial Accounting Standards Board (FASB). ISDA broadly supports the FASB’s proposed targeted improvements to hedge accounting, including allowing interest rate hedging of held-to-maturity (HTM) debt securities, recognizing all Secured...

Joint Response to EBA Consultation

On August 12, ISDA and the Association for Financial Markets in Europe (AFME) responded to the European Banking Authority’s discussion paper on certain taxonomy key performance indicators (KPIs) and other aspects of the Disclosures Delegated Act  under Article 8 of...

Response to JSCC on Clearing Fund Consolidation

On August 12, ISDA responded to the Japan Securities Clearing Corporation’s (JSCC) consultation on its proposal to consolidate clearing fund consumption, calculation and deposit segmentation across six clearing qualifications under the Financial Instruments and Exchange Act. ISDA members broadly support...