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
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