Check out the latest SwapsInfo Full Year 2022 and the Fourth Quarter of 2022 Review: Summary and Transition to RFRs Review: Full Year 2022 and the Fourth Quarter of 2022.

 

Interest Rate Derivatives

2023 YTD vs. 2022 YTD

  • Total IRD traded notional decreased by 2%, while trade count increased by 12%
    • Fixed-for-floating IRS traded notional and trade count decreased by 46% and 4%, respectively
    • FRA traded notional and trade count increased by 18% and 26%, respectively
    • OIS traded notional and trade count increased by 45% and 64%, respectively
  • 77% of total traded notional was cleared vs. 73% last year
  • 57% of total traded notional was executed on SEFs vs. 59% last year

 

2023 Current Week vs. 2022 Current Week

 

Interest Rate Derivatives: Benchmark Data

YTD Ending January 27, 2023

  • SOFR traded notional totaled $5.8 trillion, including $697.9 billion of basis swaps. Trade count totaled 56.4 thousand, including 4.5 thousand basis swaps
  • SONIA traded notional totaled $2.3 trillion, including $76.3 billion of basis swaps. Trade count totaled 18.3 thousand, including 509 basis swaps
  • SARON traded notional totaled $55.3 billion, including $9.2 billion of basis swaps. Trade count totaled 1.4 thousand, including 110 basis swaps
  • TONA traded notional totaled $656.4 billion, including $107.2 billion of basis swaps. Trade count totaled 8.1 thousand, including 1.0 thousand basis swaps
  • €STR traded notional totaled $3.3 trillion, including $149.6 billion of basis swaps. Trade count totaled 7.4 thousand, including 1.1 thousand basis swaps

Click here to view RFR data by product and tenor and RFR historical data

 

Credit Derivatives Reported under CFTC Regulation

2023 YTD vs. 2022 YTD

  • Total credit derivatives traded notional and trade count decreased by 36% and 23%, respectively
    • CDX HY traded notional and trade count decreased by 38% and 28%, respectively
    • CDX IG traded notional and trade count decreased by 38% and 21%, respectively
    • iTraxx Europe traded notional and trade count decreased by 32% and 10%, respectively
  • 82% of total traded notional was cleared vs. 80% last year
  • 78% of total traded notional was executed on SEFs vs. 80% last year

 

2023 Current Week vs. 2022 Current Week

 

Credit Derivatives Reported under SEC Regulation

YTD Ending January 27, 2023

  • Credit derivatives traded notional totaled $45.7 billion, while trade count totaled 15.5 thousand
    • Corporate single-name CDS traded notional totaled $34.5 billion, and trade count was 11.8 thousand
    • Sovereign single-name CDS traded notional totaled $8.4 billion, and trade count was 2.0 thousand
  • 49% of total traded notional was cleared