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
Climate Risk Scenario Analysis Phase 4
Climate scenario analysis has become a useful tool for banks and financial institutions to understand the short- and long-term financial risks associated with climate change, particularly in light of evolving regulations and an increased emphasis on reducing the impact of...
ISDA & EMTA Market Practice 45
ISDA & EMTA jointly published the attached updated market practice regarding the determination of barrier events for Brazilian Real non-deliverable continuously monitored barrier option transactions.
Episode 54: A Modernization Agenda
ISDA’s chair Amy Hong sets out priorities for the association in 2026 and the important role that technologies like tokenization and artificial intelligence will play in modernizing derivatives markets. Please view this page via Chrome to access the recording.
Developing OTC Commodity Derivatives in India
The development of a robust and liquid over-the-counter (OTC) commodity derivatives market in India could support the continued growth of India’s economy given its significant reliance on commodities. A well-functioning OTC market in India would offer several advantages. First, it...