Check out the latest Key Trends in the Size and Composition of OTC Derivatives Markets in the First Half of 2022.

 

Interest Rate Derivatives

2023 YTD vs. 2022 YTD

  • Total IRD traded notional and trade count both increased by 10%
    • Fixed-for-floating IRS traded notional and trade count decreased by 53% and 12%, respectively
    • FRA traded notional and trade count increased by 96% and 57%, respectively
    • OIS traded notional and trade count increased by 58% and 37%, respectively
  • 80% of total traded notional was cleared vs. 77% last year
  • 60% of total traded notional was executed on SEFs vs. 66% last year

 

 

Interest Rate Derivatives: Benchmark Data

YTD Ending January 6, 2023

  • SOFR traded notional totaled $1.3 trillion, including $174.7 billion of basis swaps. Trade count totaled 12.8 thousand, including 991 basis swaps
  • SONIA traded notional totaled $454.3 billion, including $15.5 billion of basis swaps. Trade count totaled 3.9 thousand, including 113 basis swaps
  • SARON traded notional totaled $13.7 billion, including $2.5 billion of basis swaps. Trade count totaled 359, including 25 basis swaps
  • TONA traded notional totaled $159.8 billion, including $22.1 billion of basis swaps. Trade count totaled 1.4 thousand, including 187 basis swaps
  • €STR traded notional totaled $779.1 billion, including $33.7 billion of basis swaps. Trade count totaled 1.7 thousand, including 252 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 17% and 11%, respectively
    • CDX HY traded notional and trade count decreased by 20% and 8%, respectively
    • CDX IG traded notional and trade count decreased by 21% and 0.1%, respectively
    • iTraxx Europe traded notional decreased by 2%, while trade count increased by 23%
  • 81% of total traded notional was cleared vs. 76% last year
  • 78% of total traded notional was executed on SEFs, flat compared with last year

 

 

Credit Derivatives Reported under SEC Regulation

SEC data is currently not available due to the changes in data reporting fields as the result of the CFTC Rewrite that went live on December 5, 2022.